Related papers: Fluctuation Analysis for the Loss From Default
The Fluctuation Relation (FR) is an asymptotic result on the distribution of certain observables averaged over time intervals T as T goes to infinity and it is a generalization of the fluctuation--dissipation theorem to far from equilibrium…
Condensation of fluctuations is an interesting phenomenon conceptually distinct from condensation on average. One stricking feature is that, contrary to what happens on average, condensation of fluctuations may occurr even in the absence of…
We consider a large collection of dynamically interacting components defined on a weighted directed graph determining the impact of default of one component to another one. We prove a law of large numbers for the empirical measure capturing…
The fluctuation theorems have remained one of the cornerstones in the study of systems that are driven far out of equilibrium, and they provide strong constraints on the fraction of trajectories that behave atypically in light of the second…
We establish a unified fluctuation-response relation for Langevin dynamics. By exploiting the common mathematical structures underlying fluctuations and responses of empirical density and current, we derive a unified identity that…
We extend and test empirically the multifractal model of asset returns based on a multiplicative cascade of volatilities from large to small time scales. The multifractal description of asset fluctuations is generalized into a multivariate…
The current research on credit risk is primarily focused on modeling default probabilities. Recovery rates are often treated as an afterthought; they are modeled independently, in many cases they are even assumed constant. This is despite…
We consider a structural credit model for a large portfolio of credit risky assets where the correlation is due to a market factor. By considering the large portfolio limit of this system we show the existence of a density process for the…
In this review, we scrutinize historical and modern results on the linear response of dynamical systems to external perturbations with a particular emphasis on the celebrated relationship between fluctuations and dissipation expressed by…
We study the influence of a dissipation process on diffusion dynamics triggered by slow fluctuations. We study both strong- and weak-friction regime. When the latter regime applies, the system is attracted by the basin of either Gauss or…
We present cross and time series analysis of price fluctuations in the U.S. Treasury fixed income market. By means of techniques borrowed from statistical physics we show that the correlation among bonds depends strongly on the maturity and…
We investigate the impact of available information on the estimation of the default probability within a generalized structural model for credit risk. The traditional structural model where default is triggered when the value of the firm's…
To describe dynamics of bulk and fluctuations near the QCD critical point we develop general relativistic fluctuation formalism for a fluid carrying baryon charge. Feedback of fluctuations modifies hydrodynamic coefficients including bulk…
It is becoming more and more clear that complex networks present remarkable large fluctuations. These fluctuations may manifest differently according to the given model. In this paper we re-consider hidden variable models which turn out to…
The Fluctuation Theorem (FT) gives an analytic expression for the probability, in a nonequilibrium system of finite size observed for a finite time, that the dissipative flux will flow in the reverse direction to that required by the Second…
We study the convergence of statistical estimators used in the estimation of large deviation functions describing the fluctuations of equilibrium, nonequilibrium, and manmade stochastic systems. We give conditions for the convergence of…
The non-equilibrium fluctuation dissipation theorem is applied to predict how critically ill patients respond to treatment, based upon data currently collected by standard hospital monitoring devices. This framework is demonstrated on a…
Using the fluctuation theorem supplemented with geometric arguments, we derive universal features of the (long-time) efficiency fluctuations for thermal and isothermal machines operating under steady or periodic driving, close or far from…
There is an abundance of useful fluctuation identities for one-sided L\'evy processes observed up to an independent exponentially distributed time horizon. We show that all the fundamental formulas generalize to time horizons having matrix…
We calculate the fluctuation of the energy of a system in Tsallis statistics following the finite heat bath canonical ensemble approach. We obtain this fluctuation as the second derivative of the logarithm of the partition function plus an…