Related papers: Fluctuation Analysis for the Loss From Default
We propose a method to calculate the large deviations of current fluctuations in a class of stochastic particle systems with history-dependent rates. Long-range temporal correlations are seen to alter the speed of the large deviation…
We introduce a continuum model describing data losses in a single node of a packet-switched network (like the Internet) which preserves the discrete nature of the data loss process. {\em By construction}, the model has critical behavior…
We consider the problem of concurrent portfolio losses in two non-overlapping credit portfolios. In order to explore the full statistical dependence structure of such portfolio losses, we estimate their empirical pairwise copulas. Instead…
The experimental search for the QCD critical point by means of relativistic heavy-ion collisions necessitates the development of dynamical models of fluctuations. In this work we study the fluctuations of the net-baryon density near the…
We study the impact of contagion in a network of firms facing credit risk. We describe an intensity based model where the homogeneity assumption is broken by introducing a random environment that makes it possible to take into account the…
Excessive leverage, i.e. the abuse of debt financing, is considered one of the primary factors in the default of financial institutions. Systemic risk results from correlations between individual default probabilities that cannot be…
Multivariate probability density functions of returns are constructed in order to model the empirical behavior of returns in a financial time series. They describe the well-established deviations from the Gaussian random walk, such as an…
In this Letter we show that the analysis of Lyapunov-exponents fluctuations contributes to deepen our understanding of high-dimensional chaos. This is achieved by introducing a Gaussian approximation for the large deviation function that…
We study the effect of parameter fluctuations on synchronization of a coupled chaotic system. The fluctuations to the parameter can be random or it can be a periodic modulation. For random fluctuations we introduce a new quantity, the…
Out of equilibrium quantum systems, on top of quantum fluctuations, display complex temporal patterns. Such time fluctuations are generically exponentially small in the system volume and can be therefore safely ignored in most of the cases.…
We study the equilibrium fluctuations for a gradient exclusion process with conductances in random environments, which can be viewed as a central limit theorem for the empirical distribution of particles when the system starts from an…
In this paper we investigate the normal and the large fluctuations of additive functionals associated with a stochastic process under a general non-Poissonian resetting mechanism. Cumulative functionals of regenerative processes are very…
We analytically study a one dimensional compaction model in the glassy regime. Both correlation and response functions are calculated exactly in the evolving dense and low tapping strength limit, where the density relaxes in a $1/\ln t$…
Quantitative studies of irreversibility in statistical mechanics often involve the consideration of a reverse process, whose definition has been the object of many discussions, in particular for quantum mechanical systems. Here we show that…
This paper considers the Cram\'er-Lundberg model, with the additional feature that the number of clients can fluctuate over time. Clients arrive according to a Poisson process, where the times they spend in the system form a sequence of…
For systems close to equilibrium, the relaxation properties of measurable physical quantities are described by the linear response theory and the fluctuation-dissipation theorem (FDT). Accordingly, the response or the generalized…
We obtain an explicit formula for the bilateral counterparty valuation adjustment of a credit default swaps portfolio referencing an asymptotically large number of entities. We perform the analysis under a doubly stochastic intensity…
We analyze the fidelity of a quantum simulation and we show that it displays fractal fluctuations iff the simulated dynamics is chaotic. This analysis allows us to investigate a given simulated dynamics without any prior knowledge. In the…
To integrate hydrodynamic fluctuations, namely thermal fluctuations of hydrodynamics, into dynamical models of high-energy nuclear collisions based on relativistic hydrodynamics, the property of the hydrodynamic fluctuations given by the…
We employ the macroscopic fluctuation theory to study fluctuations of integrated current in one-dimensional lattice gases with a step-like initial density profile. We analytically determine the variance of the current fluctuations for a…