Related papers: Dynamics of multivariate default system in random …
In order to investigate the evolutionary process of many deterministic Dynamical systems with unfixed parameter, a set of dynamical models with parameter changing continuously and the accumulation of this change might be large is introduced…
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…
This paper presents a convenient framework for modeling default process and pricing derivative securities involving credit risk. The framework provides an integrated view of credit valuation adjustment by linking distance-to-default,…
We study an interacting particle system whose dynamics depends on an interacting random environment. As the number of particles grows large, the transition rate of the particles slows down (perhaps because they share a common resource of…
We study a simple, solvable model that allows us to investigate effects of credit contagion on the default probability of individual firms, in both portfolios of firms and on an economy wide scale. While the effect of interactions may be…
Widespread deployment of societal-scale machine learning systems necessitates a thorough understanding of the resulting long-term effects these systems have on their environment, including loss of trustworthiness, bias amplification, and…
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…
Risks threatening modern societies form an intricately interconnected network that often underlies crisis situations. Yet, little is known about how risk materializations in distinct domains influence each other. Here we present an approach…
A class of multivariate mixed survival models for continuous and discrete time with a complex covariance structure is introduced in a context of quantitative genetic applications. The methods introduced can be used in many applications in…
We compare observed corporate cumulative default probabilities to those calculated using a stochastic model based on an extension of the work of Black and Cox and find that corporations default as if via diffusive dynamics. The model, based…
This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing with a common risk factor.…
We determine the total state dynamics of a dephasing open quantum system using the standard environment of harmonic oscillators. Of particular interest are random unitary approaches to the same reduced dynamics and system-environment…
Natural and social multivariate systems are commonly studied through sets of simultaneous and time-spaced measurements of the observables that drive their dynamics, i.e., through sets of time series. Typically, this is done via hypothesis…
Sustainability and resilience of urban systems are multifaceted concepts, requiring information about multiple system attributes to adequately evaluate and characterize. However, despite the scientific consensus on the multivariate nature…
One of the crucial steps in scientific studies is to specify dependent relationships among factors in a system of interest. Given little knowledge of a system, can we characterize the underlying dependent relationships through observation…
Systems that exhibit complex behaviours are often found in a particular dynamical condition, poised between order and disorder. This observation is at the core of the so-called criticality hypothesis, which states that systems in a…
When complex systems are driven to extinction by some external factor, their non-stationary dynamics can present an intermittent behaviour between relative tranquility and burst of activity whose consequences are often catastrophic. To…
Many existing approaches for estimating parameters in settings with distributional shifts operate under an invariance assumption. For example, under covariate shift, it is assumed that $p(y|x)$ remains invariant. We refer to such…
Organisms and ecological groups accumulate evidence to make decisions. Classic experiments and theoretical studies have explored this process when the correct choice is fixed during each trial. However, we live in a constantly changing…
This paper introduces a novel approach to quantifying ecological resilience in biological systems, particularly focusing on noisy systems responding to episodic disturbances with sudden adaptations. Incorporating concepts from…