Related papers: Prediction defaults for networked-guarantee loans

The global balance index is used in the network literature to quantify how balanced a signed network is. In this paper we show that the global balance index of financial correlation networks can be used as a systemic risk measure. We define…

Financial networks are characterized by complex structures of mutual obligations. These obligations are fulfilled entirely or in part (when defaults occur) via a mechanism called clearing, which determines a set of payments that settle the…

We present a general framework for the estimation of corporate default based on a firm's capital structure, when its assets are assumed to follow a pure jump L\'evy processes; this setup provides a natural extension to usual default metrics…

Sustainable financial markets play an important role in the functioning of human society. Still, the detection and prediction of risk in financial markets remain challenging and draw much attention from the scientific community. Here we…

The risk of a credit portfolio depends crucially on correlations between the probability of default (PD) in different economic sectors. Often, PD correlations have to be estimated from relatively short time series of default rates, and the…

We propose and investigate new complementary methodologies for estimating predictive variance networks in regression neural networks. We derive a locally aware mini-batching scheme that result in sparse robust gradients, and show how to…

Deep neural networks (DNNs) have achieved state-of-the-art performances in many important domains, including medical diagnosis, security, and autonomous driving. In these domains where safety is highly critical, an erroneous decision can…

Evaluation of systemic risk in networks of financial institutions in general requires information of inter-institution financial exposures. In the framework of Debt Rank algorithm, we introduce an approximate method of systemic risk…

This paper introduces a novel framework to study default dependence and systemic risk in a financial network that evolves over time. We analyse several indicators of risk, and develop a new latent space model to assess the health of key…

Adaptive networks consist of a collection of nodes with adaptation and learning abilities. The nodes interact with each other on a local level and diffuse information across the network to solve estimation and inference tasks in a…

Realistic credit risk assessment, the estimation of losses from counterparty's failure, is central for the financial stability. Credit risk models focus on the financial conditions of borrowers and only marginally consider other risks from…

Link Prediction is an important and well-studied problem for social networks. Given a snapshot of a graph, the link prediction problem predicts which new interactions between members are most likely to occur in the near future. As networks…

Social financial technology focuses on trust, sustainability, and social responsibility, which require advanced technologies to address complex financial tasks in the digital era. With the rapid growth in online transactions, automating…

The writers propose a mathematical Method for deriving risk weights which describe how a borrower's income, relative to their debt service obligations (serviceability) affects the probability of default of the loan. The Method considers the…

We develop a model for contagion in reinsurance networks by which primary insurers' losses are spread through the network. Our model handles general reinsurance contracts, such as typical excess of loss contracts. We show that simpler…

Failures in optical network backbone can lead to major disruption of internet data traffic. Hence, minimizing such failures is of paramount importance for the network operators. Even better, if the network failures can be predicted and…

This article studies disruption tolerant networks (DTNs) where each node knows the probabilistic distribution of contacts with other nodes. It proposes a framework that allows one to formalize the behaviour of such a network. It generalizes…

In general insurance companies, a correct estimation of liabilities plays a key role due to its impact on management and investing decisions. Since the Financial Crisis of 2007-2008 and the strengthening of regulation, the focus is not only…

We study the problem of distributed online control of networked systems with time-varying cost functions and disturbances, where each node only has local information of the states and forecasts of the costs and disturbances. We develop a…

The proliferation of intermittent distributed renewable energy sources (RES) in modern power systems has fundamentally compromised the reliability and accuracy of deterministic net load forecasting. Generative models, particularly diffusion…