Related papers: Fluctuation Analysis for the Loss From Default
Understanding how systems respond to external perturbations is a fundamental challenge in physics, particularly for non-equilibrium and non-stationary processes. The fluctuation-dissipation theorem provides a complete framework for…
Evaluation of default correlation is an important task in credit risk analysis. In many practical situations, it concerns the joint defaults of several correlated firms, the task that is reducible to a first passage time (FPT) problem. This…
We study local power fluctuations in numerical simulations of stationary, homogeneous, isotropic turbulence in two and three dimensions with Gaussian forcing. Due to the near-Gaussianity of the one-point velocity distribution, the…
We present a general model for default time, making precise the role of the intensity process, and showing that this process allows for a knowledge of the conditional distribution of the default only "before the default". This lack of…
Stochastic fluctuations are central to the understanding of extinction dynamics. In the context of population models they allow for the description of the transition from the vicinity of a non-trivial fixed point of the deterministic…
This article studies typical dynamics and fluctuations for a slow-fast dynamical system perturbed by a small fractional Brownian noise. Based on an ergodic theorem with explicit rates of convergence, which may be of independent interest, we…
We present a fluctuation relation for heat dissipation in a nonequilibrium system. A nonequilibrium work is known to obey the fluctuation theorem in any time interval $t$. A heat, which differs from a work by an energy change, is shown to…
We consider the limiting behavior of fluctuations of small noise diffusions with multiple scales around their homogenized deterministic limit. We allow full dependence of the coefficients on the slow and fast motion. These processes arise…
A Fluctuation Theorem (FT), both Classical and Quantum, describes the large-deviations in the approach to equilibrium of an isolated quasi-integrable system. Two characteristics make it unusual: (i) it concerns the internal dynamics of an…
We find approximate solutions of partial integro-differential equations, which arise in financial models when defaultable assets are described by general scalar L\'evy-type stochastic processes. We derive rigorous error bounds for the…
The objective of this work is the investigation of complexity, asymmetry, stochasticity and non-linearity of the financial and economic systems by using the tools of statistical mechanics and information theory. More precisely, this thesis…
We show that the numerical method based on the off-equilibrium fluctuation-dissipation relation does work and is very useful and powerful in the study of disordered systems which show a very slow dynamics. We have verified that it gives the…
This paper investigates a financial market where returns depend on an unobservable Gaussian drift process. While the observation of returns yields information about the underlying drift, we also incorporate discrete-time expert opinions as…
In this paper, we propose a method that provides a useful technique to compare relationship between risks involved that takes customer become defaulter and debt collection process that might make this defaulter recovered. Through estimation…
We consider a general tractable model for default contagion and systemic risk in a heterogeneous financial network, subject to an exogenous macroeconomic shock. We show that, under some regularity assumptions, the default cascade model…
This article traces the development of fluctuation theory and its deep connection to irreversibility, from equilibrium to near-equilibrium, and finally to far-from-equilibrium systems. Classical fluctuation theorems, which capture the…
The distribution of price returns for a class of uncorrelated diffusive dynamics is considered. The basic assumptions are (1) that there is a "consensus" value associated with a stock, and (2) that the rate of diffusion depends on the…
We analyze the fluctuations of the dissipated energy in a simple and general model where dissipation, diffusion and driving are the key ingredients. The large deviation function for the dissipation follows from hydrodynamic fluctuation…
Fluctuation scaling is observed phenomenon from complex networks through finance to ecology. It means that the variance and the mean of a specific quantity are related as $\ev{\sigma^2|n}\propto \ev{n|A}^{2\alpha}$ with $1/2\geq \alpha \geq…
We study the influence of a dissipation process on diffusion dynamics triggered by fluctuations with long-range correlations. We make the assumption that the perturbation process involved is of the same kind as those recently studied…