Related papers: Systemic Risk and Default Clustering for Large Fin…

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…

The current global financial system forms a highly interconnected network where a default in one of its nodes can propagate to many other nodes, causing a catastrophic avalanche effect. In this paper we consider the problem of reducing the…

Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient…

In this paper we use Clustering Method to understand whether stock market volatility can be predicted at all, and if so, when it can be predicted. The exercise has been performed for the Indian stock market on daily data for two years. For…

The instability of historical risk factor correlations renders their use in estimating portfolio risk extremely questionable. In periods of market stress correlations of risk factors have a tendency to quickly go well beyond estimated…

Malware attacks have become significantly more frequent and sophisticated in recent years. Therefore, malware detection and classification are critical components of information security. Due to the large amount of malware samples…

The cluster distributions of different systems are examined to search for signatures of a continuous phase transition. In a system known to possess such a phase transition, both sensitive and insensitive signatures are present; while in…

In this paper, we performs a credit risk analysis, on the data of past loan applicants of a company named Lending Club. The calculation required the use of exploratory data analysis and machine learning classification algorithms, namely,…

Fault localization is an imperative method in fault tolerance in a distributed environment that designs a blueprint for continuing the ongoing process even when one or many modules are non-functional. Visualizing a distributed environment…

We study a two-species bidirectional exclusion process, and a single species variant, which is motivated by the motion of organelles and vesicles along microtubules. Specifically, we are interested in the clustering of the particles and…

This paper develops the Jungle model in a credit portfolio framework. The Jungle model is able to model credit contagion, produce doubly-peaked probability distributions for the total default loss and endogenously generate quasi phase…

I show that the solution of a standard clearing model commonly used in contagion analyses for financial systems can be expressed as a specific form of a generalized Katz centrality measure under conditions that correspond to a system-wide…

Observed clusters should be modelled by considering the distribution function to be a random variable that quantifies the degree of excitation of the system's normal modes. A system of canonical coordinates for the space of DFs is…

Flash crashes in financial markets have become increasingly important attracting attention from financial regulators, market makers as well as from the media and the broader audience. Systemic risk and propagation of shocks in financial…

The paper examines the potential of deep learning to support decisions in financial risk management. We develop a deep learning model for predicting whether individual spread traders secure profits from future trades. This task embodies…

Credit risk stress testing has become an important risk management device which is used both by banks internally and by regulators. Stress testing is complex because it essentially means projecting a bank's full balance sheet conditional on…

The theoretical analysis of spectral clustering mainly focuses on consistency, while there is relatively little research on its generalization performance. In this paper, we study the excess risk bounds of the popular spectral clustering…

The financial crisis has dramatically demonstrated that the traditional approach to apply univariate monetary risk measures to single institutions does not capture sufficiently the perilous systemic risk that is generated by the…

The global energy fluctuations of a low density gas granular gas in the homogeneous cooling state near its clustering instability are studied by means of molecular dynamics simulations. The relative dispersion of the fluctuations is shown…

This paper presents a clustering approach that allows for rigorous statistical error control similar to a statistical test. We develop estimators for both the unknown number of clusters and the clusters themselves. The estimators depend on…