Related papers: Default Clustering in Large Pools: Large Deviation…
We prove a large deviation principle for the point process associated to $k$-element connected components in $\mathbb R^d$ with respect to the connectivity radii $r_n\to\infty$. The random points are generated from a homogeneous Poisson…
Birth-death processes form a natural class where ideas and results on large deviations can be tested. In this paper, we derive a large deviation principle under the assumption that the rate of a jump down (death) is growing asymptotically…
We analyse large deviations of the dynamical activity in one-dimensional systems of diffusing hard particles. Using an optimal-control representation of the large-deviation problem, we analyse effective interaction forces which can be added…
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…
The existence of asymmetric information has always been a major concern for financial institutions. Financial intermediaries such as commercial banks need to study the quality of potential borrowers in order to make their decision on…
Clustering is one of the mayor collective phenomena observed in active matter. We study the overdamped motion of interacting active Brownian particles in two dimensions. An instability in the pair correlation function causes the onset of…
In complex networks, the failure of one or very few nodes may cause cascading failures. When this dynamical process stops in steady state, the size of the giant component formed by remaining un-failed nodes can be used to measure the…
We establish sample-path large deviation principles for the centered cumulative functional of marked Poisson cluster processes in the Skorokhod space equipped with the M1 topology, under joint regular variation assumptions on the marks and…
Information flow provides a natural measure for the causal interaction between dynamical events. This study extends our previous rigorous formalism of componentwise information flow to the bulk information flow between two complex…
In this paper we propose a new nonparametric approach to interacting failing systems (FS), that is systems whose probability of failure is not negligible in a fixed time horizon, a typical example being firms and financial bonds. The main…
It is shown that preferential concentrations of inertial (finite-size) particle suspensions in turbulent flows follow from the dissipative nature of their dynamics. In phase space, particle trajectories converge toward a dynamical fractal…
In this paper, we deal with an axiomatic approach to default risk. We introduce the notion of a default risk measure, which generalizes the classical probability of default (PD), and allows to incorporate model risk in various forms. We…
For large-scale power networks, the failure of particular transmission lines can offload power to other lines and cause self-protection trips to activate, instigating a cascade of line failures. In extreme cases, this can bring down the…
Networks of person-person contacts form the substrate along which infectious diseases spread. Most network-based studies of the spread focus on the impact of variations in degree (the number of contacts an individual has). However, other…
A system of interacting multiclass finite-state jump processes is analyzed. The model under consideration consists of a block-structured network with dynamically changing multi-colors nodes. The interaction is local and described through…
The community structure of complex networks reveals both their organization and hidden relationships among their constituents. Most community detection methods currently available are not deterministic, and their results typically depend on…
In this paper, we are concerned with the reliability assessment of redundant multi-channel systems having multiple controllers with overlapping functionality -- where all controllers are required to respond optimally to the non-faulty…
A standard quantitative method to access credit risk employs a factor model based on joint multivariate normal distribution properties. By extending a one-factor Gaussian copula model to make a more accurate default forecast, this paper…
We introduce a model for the loss distribution of a credit portfolio considering a contagion mechanism for the default of names which is the result of two independent components: an infection attempt generated by defaulting entities and a…
In this paper we prove scalar and sample path large deviation principles for a large class of Poisson cluster processes. As a consequence, we provide a large deviation principle for ergodic Hawkes point processes.