Related papers: Prediction defaults for networked-guarantee loans
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…
Since the 1990s, there have been significant advances in the technology space and the e-Commerce area, leading to an exponential increase in demand for cashless payment solutions. This has led to increased demand for credit cards, bringing…
We consider a structural default model in an interconnected banking network as in Lipton [International Journal of Theoretical and Applied Finance, 19(6), 2016], with mutual obligations between each pair of banks. We analyse the model…
This work explores the characteristics of financial contagion in networks whose links distributions approaches a power law, using a model that defines banks balance sheets from information of network connectivity. By varying the parameters…
The instability of the financial system as experienced in recent years and in previous periods is often linked to credit defaults, i.e., to the failure of obligors to make promised payments. Given the large number of credit contracts, this…
Reliability is extremely important for large-scale cloud systems like Microsoft 365. Cloud failures such as disk failure, node failure, etc. threaten service reliability, resulting in online service interruptions and economic loss. Existing…
Predicting corporate default risk has long been a crucial topic in the finance field, as bankruptcies impose enormous costs on market participants as well as the economy as a whole. This paper aims to forecast frailty correlated default…
In this paper, we study cascading failures in power grids through the lens of information diffusion models. Similar to the spread of rumors or influence in an online social network, it has been observed that failures (outages) in a power…
Most of today's distributed machine learning systems assume {\em reliable networks}: whenever two machines exchange information (e.g., gradients or models), the network should guarantee the delivery of the message. At the same time, recent…
Mixed Probit models are widely applied in many fields where prediction of a binary response is of interest. Typically, the random effects are assumed to be independent but this is seldom the case for many real applications. In the credit…
Economic models with input-output networks assume that firm or sector (unit) growth is driven by a weighted sum of trade partners' growth and an independently-drawn idiosyncratic shock. I show that the idiosyncratic risk assumption in a…
A model is developed to assess the profitability of loans or mortgages with a specified repayment schedule. Financial institutions face two competing risks: default and prepayment, both influenced by the stochastic evolution of credit…
This article extends the autoregressive count time series model class by allowing for a model with regimes, that is, some of the parameters in the model depend on the state of an unobserved Markov chain. We develop a quasi-maximum…
The standard model of online prediction deals with serial processing of inputs by a single processor. However, in large-scale online prediction problems, where inputs arrive at a high rate, an increasingly common necessity is to distribute…
Diffusion-driven instability is a fundamental mechanism underlying pattern formation in spatially extended systems. In almost all existing works, diffusion across the links of the underlying network is modeled through scalar weights,…
Many real-world systems can be modeled as dynamic graphs, where nodes and edges evolve over time, requiring specialized models to capture their evolving dynamics in risk-sensitive applications effectively. Temporal graph neural networks…
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…
As engineered systems expand, become more interdependent, and operate in real-time, reliability assessment is indispensable to support investment and decision making. However, network reliability problems are known to be #P-complete, a…
This paper considers a variant of the classical Cram\'er-Lundberg model that is particularly appropriate in the credit context, with the distinguishing feature that it corresponds to a finite number of obligors. The focus is on computing…
The scope of financial systemic risk research encompasses a wide range of interbank channels and effects, including asset correlation shocks, default contagion, illiquidity contagion, and asset fire sales. This paper introduces a financial…