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We propose a model for the credit and liquidity risks faced by clearing members of Central Counterparty Clearing houses (CCPs). This model aims to capture the features of: gap risk; feedback between clearing member default, market…
We consider the problem of concurrent portfolio losses in two non-overlapping credit portfolios. In order to explore the full statistical dependence structure of such portfolio losses, we estimate their empirical pairwise copulas. Instead…
In order to represent the preferences of a group of individuals, we introduce Probabilistic CP-nets (PCP-nets). PCP-nets provide a compact language for representing probability distributions over preference orderings. We argue that they are…
Distributed processing over networks relies on in-network processing and cooperation among neighboring agents. Cooperation is beneficial when agents share a common objective. However, in many applications agents may belong to different…
In this paper q-ary Raptor codes under ML decoding are considered. An upper bound on the probability of decoding failure is derived using the weight enumerator of the outer code, or its expected weight enumerator if the outer code is drawn…
We introduce a generalization to the lottery ticket hypothesis in which the notion of "sparsity" is relaxed by choosing an arbitrary basis in the space of parameters. We present evidence that the original results reported for the canonical…
We consider the problem of estimating the number of types in a corpus using the number of types observed in a sample of tokens from that corpus. We derive exact and asymptotic distributions for the number of observed types, conditioned upon…
Let PCP(k) denote the Post Correspondence Problem for k input pairs of strings. Let ACCESSIBILITY(k) denote the the word problem for k-rule semi-Thue systems. In 1980, Claus showed that if ACCESSIBILITY(k) is undecidable then PCP(k + 4) is…
The behavior of real quantum hardware differs strongly from the simple error models typically used when simulating quantum error correction. Error processes are far more complex than simple depolarizing noise applied to single gates, and…
We study the complexity of (approximate) winner determination under the Monroe and Chamberlin--Courant multiwinner voting rules, which determine the set of representatives by optimizing the total (dis)satisfaction of the voters with their…
This work presents, to the best of our knowledge of the literature, the first analytic model to address the performance of an LRU (Least Recently Used) implementing cache under non-stationary traffic conditions, i.e., when the popularity of…
Conformal prediction (CP) is an emerging uncertainty quantification framework that allows us to construct a prediction set to cover the true label with a pre-specified marginal or conditional probability. Although the valid coverage…
We provide the first analytical expressions for the expected waiting time of high-priority customers in the delayed APQ by exploiting a classical conservation law for work-conserving queues. Additionally, we describe an algorithm to compute…
In this work a novel family of decentralised caching policies for wireless networks is introduced, referred to as spatial multi-LRU. These improve cache-hit probability by exploiting multi-coverage. Two variations are proposed, the…
We present a statistical test that can be used to verify supervisory requirements concerning overlapping time windows for the long-term calibration in rating systems. In a first step, we show that the long-run default rate is approximately…
We investigate winner determination for two popular proportional representation systems: the Monroe and Chamberlin-Courant (abbrv. CC) systems. Our study focuses on (nearly) single-peaked resp. single-crossing preferences. We show that for…
We discuss a non-intuitive situation concerning percentages.
We propose a new method, probabilistic divide-and-conquer, for improving the success probability in rejection sampling. For the example of integer partitions, there is an ideal recursive scheme which improves the rejection cost from…
We model Monroe's and Chamberlin and Courant's multiwinner voting systems as a certain resource allocation problem. We show that for many restricted variants of this problem, under standard complexity-theoretic assumptions, there are no…
In the online general knapsack problem, an algorithm is presented with an item $x=(s,v)$ of size $s$ and value $v$ and must irrevocably choose to pack such an item into the knapsack or reject it before the next item appears. The goal is to…