Related papers: Fluctuation Analysis for the Loss From Default
We compare systematically several classes of stochastic volatility models of stock market fluctuations. We show that the long-time return distribution is either Gaussian or develops a power-law tail, while the short-time return distribution…
Predicting corporate default risk has long been a crucial topic in the finance field, as bankruptcies impose enormous costs on market participants as well as the economy as a whole. This paper aims to forecast frailty correlated default…
The probability minimizing problem of large losses of portfolio in discrete and continuous time models is studied. This gives a generalization of quantile hedging presented in [3].
A simple graphical model for correlated defaults is proposed, with explicit formulas for the loss distribution. Algebraic geometry techniques are employed to show that this model is well posed for default dependence: it represents any given…
A probabilistic method for solving time-dependent load-transfer models of fracture is developed. It is applicable to any rule of load redistribution, i.e, local, hierarchical, etc. In the new method, the fluctuations are generated during…
In recent years research on credit risk modelling has mainly focused on default probabilities. Recovery rates are usually modelled independently, quite often they are even assumed constant. Then, however, the structural connection between…
Exact theoretical results for the violation of time dependent fluctuation-dissipation relations in driven dissipative systems are presented. The ratio of correlation to delayed response in the stochastic model introduced in [Phys. Rev.…
This work has the objective of estimating default probabilities and correlations of credit portfolios given default rate information through a Bayesian framework using Stan. We use Vasicek's single factor credit model to establish the…
We study the role of fluctuations in percolation of sparse complex networks. To this end we consider two random correlated realizations of the initial damage of the nodes and we evaluate the fraction of nodes that are expected to remain in…
Based on the well-known Detrended Fluctuation Analysis (DFA) for time series, in this work we describe a DFA for continuous real variable functions. Under certain conditions, DFA accurately predicts the long-term auto-correlation of the…
We study large and moderate deviations for a life insurance portfolio, without assuming identically distributed losses. The crucial assumption is that losses are bounded, and that variances are bounded below. From a standard large…
Statistical fluctuation problems are faced by all quantum key distribution (QKD) protocols under finite-key condition. Most of the current statistical fluctuation analysis methods work based on independent random samples, however, the…
This article gives a probabilistic overview of the widely used method of default probability estimation proposed by K. Pluto and D. Tasche. There are listed detailed assumptions and derivation of the inequality where the probability of…
We examine the weak noise limit of an overdamped dissipative system within a semiclassical description and show how quantization influences the growth and decay of fluctuations of the thermally equilibrated systems. We trace its origin in a…
A quantitatively reliable theoretical description of the dynamics of fluctuations in non-equilibrium is indispensable in the experimental search for the QCD critical point by means of ultra-relativistic heavy-ion collisions. In this work we…
The aim of this paper is first the detection of multiple abrupt changes of the long-range dependence (respectively self-similarity, local fractality) parameters from a sample of a Gaussian stationary times series (respectively time series,…
The fluctuation-dissipation (F-D) theorem is a fundamental result for systems near thermodynamic equilibrium, and justifies studies between microscopic and macroscopic properties. It states that the nonequilibrium relaxation dynamics is…
We extend the Vasi\v{c}ek loan portfolio model to a setting where liabilities fluctuate randomly and asset values may be subject to systemic jump risk. We derive the probability distribution of the percentage loss of a uniform portfolio and…
We study the response of dynamical systems to finite amplitude perturbation. A generalized Fluctuation-Response relation is derived, which links the average relaxation toward equilibrium to the invariant measure of the system and points out…
We present an empirical study of the subordination hypothesis for a stochastic time series of a stock price. The fluctuating rate of trading is identified with the stochastic variance of the stock price, as in the continuous-time random…