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A market with defaultable bonds where the bond dynamics is in a Heath-Jarrow-Morton setting and the forward rates are driven by an infinite number of Levy factors is considered. The setting includes rating migrations driven by a Markov…
Time-series imputation benchmarks employ uniform random masking and shape-agnostic metrics (MSE, RMSE), implicitly weighting evaluation by regime prevalence. In systems with a dominant attractor -- homeostatic physiology, nominal industrial…
This paper defines a general class of relaxations of the unconfoundedness assumption. This class includes several previous approaches as special cases, including the marginal sensitivity model of Tan (2006). This class therefore allows us…
We develop a generalized stability framework for stochastic discrete-time systems, where the generality pertains to the ways in which the distribution of the state energy can be characterized. We use tools from finance and operations…
Despite the versatility of generalized linear mixed models in handling complex experimental designs, they often suffer from misspecification and convergence problems. This makes inference on the values of coefficients problematic. To…
Standard maximum likelihood estimation cannot be applied to discrete energy-based models in the general case because the computation of exact model probabilities is intractable. Recent research has seen the proposal of several new…
We review recent progress in modeling credit risk for correlated assets. We start from the Merton model which default events and losses are derived from the asset values at maturity. To estimate the time development of the asset values, the…
We study constrained versions of the Ingleton inequality in the entropic setting and quantify its stability under small violations of conditional independence. Although the classical Ingleton inequality fails for general entropy profiles,…
The structural default model of Lipton and Sepp, 2009 is generalized for a set of banks with mutual interbank liabilities whose assets are driven by correlated Levy processes with idiosyncratic and common components. The multi-dimensional…
Continuous treatments have posed a significant challenge for causal inference, both in the formulation and identification of scientifically meaningful effects and in their robust estimation. Traditionally, focus has been placed on…
The analytical tractability of affine (short rate) models, such as the Vasicek and the Cox-Ingersoll-Ross models, has made them a popular choice for modelling the dynamics of interest rates. However, in order to account properly for the…
We derive quantitative continuity estimates for the higher-order derivatives of the integrated density of states (IDS) with respect to the disorder parameter for the Anderson model on $\ell^2(\mathbb{G})$. Here $\mathbb{G}=\mathbb{Z}^d$ or…
Many algorithms have been proposed in prior literature to guarantee resilient multi-agent consensus in the presence of adversarial attacks or faults. The majority of prior work present excellent results that focus on discrete-time or…
This paper studies the identification, estimation, and hypothesis testing problem in complete and incomplete economic models with testable assumptions. Testable assumptions ($A$) give strong and interpretable empirical content to the models…
We present two methodologies on the estimation of rating transition probabilities within Markov and non-Markov frameworks. We first estimate a continuous-time Markov chain using discrete (missing) data and derive a simpler expression for…
We study an optimal investment/consumption problem in a model capturing market and credit risk dependencies. Stochastic factors drive both the default intensity and the volatility of the stocks in the portfolio. We use the martingale…
We provide a convergence result for sequences of random variables taking values in a metric space that satisfy a stochastic quasi-Fej\'er monotonicity condition, in the context of a (local) compactness assumption. Our result is quantitative…
We provide a general and flexible approach to LIBOR modeling based on the class of affine factor processes. Our approach respects the basic economic requirement that LIBOR rates are non-negative, and the basic requirement from mathematical…
We show the existence of a stationary measure for a class of multidimensional stochastic Volterra systems of affine type. These processes are in general not Markovian, a shortcoming which hinders their large-time analysis. We circumvent…
Regression analyses based on transformations of cumulative incidence functions are often adopted when modeling and testing for treatment effects in clinical trial settings involving competing and semi-competing risks. Common frameworks…