Related papers: Systemic Risk and Default Clustering for Large Fin…
Risk-averse investors often wish to exclude stocks from their portfolios that bear high credit risk, which is a measure of a firm's likelihood of bankruptcy. This risk is commonly estimated by constructing signals from quarterly accounting…
This paper proposes a novel methodology for probabilistic dynamic security assessment and enhancement of power systems that considers load and generation variability, N-2 contingencies, and uncertain cascade propagation caused by uncertain…
This paper studies the consequences of capturing non-linear dependence among the covariates that drive the default of different obligors and the overall riskiness of their credit portfolio. Joint default modeling is, without loss of…
The topology of the network of load transmitting connections plays an essential role in the cascading failure dynamics of complex systems driven by the redistribution of load after local breakdown events. In particular, as the network…
Catastrophic transitions, where a system shifts abruptly between alternate steady states, are a generic feature of many nonlinear systems. Recently these regime shift were suggested as the mechanism underlies many ecological catastrophes,…
Credit risk in the China's bond market has become increasingly evident, creating a progressively escalating risk of default for credit bond investors. Given the current incomplete and inaccurate bond information disclosure, timely tracking…
One of the most defining features of the global financial network is its inherent complex and intertwined structure. From the perspective of systemic risk it is important to understand the influence of this network structure on default…
How big is the risk that a few initial failures of nodes in a network amplify to large cascades that span a substantial share of all nodes? Predicting the final cascade size is critical to ensure the functioning of a system as a whole. Yet,…
Graphs are commonly used to represent and visualize causal relations. For a small number of variables, this approach provides a succinct and clear view of the scenario at hand. As the number of variables under study increases, the graphical…
Supply chain disruptions constitute an often underestimated risk for financial stability. As in financial networks, systemic risks in production networks arises when the local failure of one firm impacts the production of others and might…
Predicting potential credit default accounts in advance is challenging. Traditional statistical techniques typically cannot handle large amounts of data and the dynamic nature of fraud and humans. To tackle this problem, recent research has…
Stochastic Dominance (SD) theory provides a rigorous framework for selecting superior assets tailored to the asset allocation needs of investors with varying risk preferences (i.e., risk-averse, risk-seeking, and risk-neutral). However,…
We introduce a general framework for models of cascade and contagion processes on networks, to identify their commonalities and differences. In particular, models of social and financial cascades, as well as the fiber bundle model, the…
With the rise of computing and artificial intelligence, advanced modeling and forecasting has been applied to High Frequency markets. A crucial element of solid production modeling though relies on the investigation of data distributions…
Recent developments in deep learning techniques have motivated intensive research in machine learning-aided stock trading strategies. However, since the financial market has a highly non-stationary nature hindering the application of…
Complex non-linear interactions between banks and assets we model by two time-dependent Erd\H{o}s Renyi network models where each node, representing bank, can invest either to a single asset (model I) or multiple assets (model II). We use…
Anomalous coarsening in far-from equilibrium one-dimensional systems is investigated by simulation and analytic techniques. The minimal hard core particle (exclusion) models contain mechanisms of aggregated particle diffusion, with rates…
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…
We investigate the utility in employing asymptotic results related to a clustering criterion to the problem of testing for the presence of jumps in financial models. We consider the Jump Diffusion model for option pricing and demonstrate…
A new chaotic financial system is proposed by considering ethics involvement in a four-dimensional financial system with market confidence. A five-dimensional conformable derivative financial system is presented by introducing conformable…