Related papers: Systemic Risk and Default Clustering for Large Fin…
The present paper provides a multi-period contagion model in the credit risk field. Our model is an extension of Davis and Lo's infectious default model. We consider an economy of n firms which may default directly or may be infected by…
A growing body of studies on systemic risk in financial markets has emphasized the key importance of taking into consideration the complex interconnections among financial institutions. Much effort has been put in modeling the contagion…
We present the mathematical analysis of generalized complex contagions in clustered multiplex networks for susceptible-infected-recovered (SIR)-like dynamics. The model is intended to understand diffusion of influence, or any other…
The fragility of financial systems was starkly demonstrated in early 2023 through a cascade of major bank failures in the United States, including the second, third, and fourth largest collapses in the US history. The highly interdependent…
The goal of this paper is to study organized flocking behavior and systemic risk in heterogeneous mean-field interacting diffusions. We illustrate in a number of case studies the effect of heterogeneity in the behavior of systemic risk in…
A promising direction in deep learning research consists in learning representations and simultaneously discovering cluster structure in unlabeled data by optimizing a discriminative loss function. As opposed to supervised deep learning,…
We develop a new method to find the number of volatility regimes in a nonstationary financial time series by applying unsupervised learning to its volatility structure. We use change point detection to partition a time series into locally…
Risk diversification is the basis of insurance and investment. It is thus crucial to study the effects that could limit it. One of them is the existence of systemic risk that affects all the policies at the same time. We introduce here a…
Fault tolerance is a key factor of industrial computing systems design. But in practical terms, these systems, like every commercial product, are under great financial constraints and they have to remain in operational state as long as…
Realistic credit risk assessment, the estimation of losses from counterparty's failure, is central for the financial stability. Credit risk models focus on the financial conditions of borrowers and only marginally consider other risks from…
We investigate the probability density of rescaled sums of iterates of deterministic dynamical systems, a problem relevant for many complex physical systems consisting of dependent random variables. A Central Limit Theorem (CLT) is only…
This work studies the learning ability of consensus and diffusion distributed learners from continuous streams of data arising from different but related statistical distributions. Four distinctive features for diffusion learners are…
Cluster analysis is a popular unsupervised learning tool used in many disciplines to identify heterogeneous sub-populations within a sample. However, validating cluster analysis results and determining the number of clusters in a data set…
Scheduling control problems for a family of unitary networks under heavy traffic with general interarrival and service times, probabilistic routing and an infinite horizon discounted linear holding cost are studied. Diffusion control…
This article deals with the problem of optimal allocation of capital to corporate bonds in fixed income portfolios when there is the possibility of correlated defaults. Using a multivariate normal Copula function for the joint default…
Robustness in response to unexpected events is always desirable for real-world networks. To improve the robustness of any networked system, it is important to analyze vulnerability to external perturbation such as random failures or…
Propagation of balance-sheet or cash-flow insolvency across financial institutions may be modeled as a cascade process on a network representing their mutual exposures. We derive rigorous asymptotic results for the magnitude of contagion in…
Diffusion in a linear potential in the presence of position-dependent killing is used to mimic a default process. Different assumptions regarding transport coefficients, initial conditions, and elasticity of the killing measure lead to…
We develop a model for contagion in reinsurance networks by which primary insurers' losses are spread through the network. Our model handles general reinsurance contracts, such as typical excess of loss contracts. We show that simpler…
Measuring the corporate default risk is broadly important in economics and finance. Quantitative methods have been developed to predictively assess future corporate default probabilities. However, as a more difficult yet crucial problem,…