Related papers: Asset correlation estimation for inhomogeneous exp…
Selection bias arises when the probability that an observation enters a dataset depends on variables related to the quantities of interest, leading to systematic distortions in estimation and uncertainty quantification. For example, in…
We study the aggregate hazard rate of a heterogeneous population whose individual event intensities are modeled as Cox (doubly stochastic) processes. In the deterministic hazard setting, the observed pool hazard is the survival weighted…
In the Correlation Clustering problem, we are given a weighted graph $G$ with its edges labeled as "similar" or "dissimilar" by a binary classifier. The goal is to produce a clustering that minimizes the weight of "disagreements": the sum…
Testing the independence between random vectors is a fundamental problem in statistics. Distance correlation, a recently popular dependence measure, is universally consistent for testing independence against all distributions with finite…
The recent "correlation breakdown" in the modeling of credit default swaps, in which model correlations had to exceed 100% in order to reproduce market prices of supersenior tranches, is analyzed and argued to be a fundamental market…
Bayesian hierarchical models are a methodology for aggregation and synthesis of data from heterogeneous settings, used widely in statistics and other disciplines. I apply this framework to the evidence from 7 randomized experiments of…
A general structural equation model is fitted on a panel data set that consists of $I$ correlated samples. The correlated samples could be data from correlated populations or correlated observations from occasions of panel data. We consider…
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.…
This paper attempts to find a relationship between agents' risk aversion and inequality of incomes. Specifically, a model is proposed for the evolution in time of surplus/deficit distribution, and the long-time distributions are…
We propose a model for the credit markets in which the random default times of bonds are assumed to be given as functions of one or more independent "market factors". Market participants are assumed to have partial information about each of…
A classic problem in statistics is the estimation of the expectation of random variables from samples. This gives rise to the tightly connected problems of deriving concentration inequalities and confidence sequences, that is confidence…
Model collapse occurs when generative models degrade after repeatedly training on their own synthetic outputs. We study this effect in overparameterized linear regression in a setting where each iteration mixes fresh real labels with…
According to theoretical models of valuing risky corporate securities, risk of default is primary component in overall yield spread. However, sizable empirical literature considers it otherwise by giving more importance to non-default risk…
A justification of the Basel liquidity formula for risk capital in the trading book is given under the assumption that market risk-factor changes form a Gaussian white noise process over 10-day time steps and changes to P&L are linear in…
The interpretation of defect models heavily relies on software metrics that are used to construct them. However, such software metrics are often correlated to defect models. Prior work often uses feature selection techniques to remove…
We study the impact of contagion in a network of firms facing credit risk. We describe an intensity based model where the homogeneity assumption is broken by introducing a random environment that makes it possible to take into account the…
We consider the first serial correlation coefficient under an AR(1) model where errors are not assumed to be Gaussian. In this case it is necessary to consider bootstrap approximations for tests based on the statistic since the distribution…
Insurance companies often operate across multiple interrelated lines of business (LOBs), and accounting for dependencies between them is essential for accurate reserve estimation and risk capital determination. In our previous work on the…
This paper deals with unobserved heterogeneity in the survival dataset through Accelerated Failure Time (AFT) models under both frameworks--Bayesian and classical. The Bayesian approach of dealing with unobserved heterogeneity has recently…
We develop a general approach for stress testing correlations of financial asset portfolios. The correlation matrix of asset returns is specified in a parametric form, where correlations are represented as a function of risk factors, such…