Related papers: Default Contagion with Domino Effect , A First Pas…
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…
In this paper the problems of the retrospective analysis of models with time-varying structure are considered. These models include contamination models with randomly switching parameters and multivariate classification models with an…
This article gives a probabilistic overview of the widely used method of default probability estimation proposed by K. Pluto and D. Tasche. There are listed detailed assumptions and derivation of the inequality where the probability of…
The main idea of this paper is to use the notion of buffered failure probability from probabilistic structural design, to introduce buffered environmental contours. Classical environmental contours are used in structural design in order to…
The problem of morphogenesis and Turing instability are revisited from the point of view of dimensionality effects. First the linear analysis of a generic Turing model is elaborated to the case of multiple stationary states, which may lead…
This work has the objective of estimating default probabilities and correlations of credit portfolios given default rate information through a Bayesian framework using Stan. We use Vasicek's single factor credit model to establish the…
The growing interest for adversarial examples, i.e. maliciously modified examples which fool a classifier, has resulted in many defenses intended to detect them, render them inoffensive or make the model more robust against them. In this…
How, and to what extent, does an interconnected financial system endogenously amplify external shocks? This paper attempts to reconcile some apparently different views emerged after the 2008 crisis regarding the nature and the relevance of…
A multi-dimensional extension of the structural default model with firms' values driven by diffusion processes with Marshall-Olkin-inspired correlation structure is presented. Semi-analytical methods for solving the forward calibration…
We consider a bivariate first hitting-time model in which durations are the crossing times of dependent compound Poisson processes with fixed thresholds. The identifiability of the model is discussed, and likelihood estimators of the model…
Risk management is an important practice in the banking industry. In this paper we develop a new methodology to estimate and predict the probability of default (PD) based on the rating transition matrices, which relates the rating…
The changes in user preferences can originate from substantial reasons, like personality shift, or transient and circumstantial ones, like seasonal changes in item popularities. Disregarding these temporal drifts in modelling user…
In this paper, we propose a method that provides a useful technique to compare relationship between risks involved that takes customer become defaulter and debt collection process that might make this defaulter recovered. Through estimation…
Component substitution has numerous practical applications and constitutes an active research topic. This paper proposes to enrich an existing component-based framework--a model with dynamic reconfigurations making the system evolve--with a…
Redundant architectures can improve the reliability of complex systems. However, component dependencies can affect the architecture and negate the benefit of redundancy. In this paper, we develop three component dependency models and…
Transformer models systematically favor certain token positions, yet the architectural origins of this position bias remain poorly understood. This bias is closely connected to the Lost-in-the-Middle phenomenon, where models underutilize…
Many recent studies use individual longitudinal data to analyze job search behaviors. Such data allow the use of fixed-effects models, which supposedly address the issue of dynamic selection and make it possible to identify the structural…
This article studies the estimation of the causal effect of a time-varying treatment on time-to-an-event or on some other continuously distributed outcome. The paper applies to the situation where treatment is repeatedly adapted to…
With the widespread application of machine learning in financial risk management, conventional wisdom suggests that longer training periods and more feature variables contribute to improved model performance. This paper, focusing on…
This paper provides an alternative approach to Duffie and Lando [Econometrica 69 (2001) 633-664] for obtaining a reduced form credit risk model from a structural model. Duffie and Lando obtain a reduced form model by constructing an economy…