Related papers: Default Contagion with Domino Effect , A First Pas…
A standard quantitative method to access credit risk employs a factor model based on joint multivariate normal distribution properties. By extending a one-factor Gaussian copula model to make a more accurate default forecast, this paper…
In order to emphasize cross-correlations for fluctuations in major market places, series of up and down spins are built from financial data. Patterns frequencies are measured, and statistical tests performed. Strong cross-correlations are…
In this paper we review an approach to estimating the causal effect of a time-varying treatment on time to some event of interest. This approach is designed for the situation where the treatment may have been repeatedly adapted to patient…
Typically, contagion strength is modeled by a transmission rate $\lambda$, whereby all nodes in a network are treated uniformly in a mean-field approximation. However, local agents react differently to the same contagion based on their…
This paper studies axioms for nonmonotonic consequences from a semantics-based point of view, focusing on a class of mathematical structures for reasoning about partial information without a predefined syntax/logic. This structure is called…
We analyze the fluctuation of the loss from default around its large portfolio limit in a class of reduced-form models of correlated firm-by-firm default timing. We prove a weak convergence result for the fluctuation process and use it for…
We propose a unifying theoretical framework for the analysis of first-passage time distributions in two important classes of stochastic processes in which the diffusivity of a particle evolves randomly in time. In the first class of…
In a Massive Open Online Course (MOOC), predictive models of student behavior can support multiple aspects of learning, including instructor feedback and timely intervention. Ongoing courses, when the student outcomes are yet unknown, must…
A popular framework for false discovery control is the random effects model in which the null hypotheses are assumed to be independent. This paper generalizes the random effects model to a conditional dependence model which allows…
In recent years research on credit risk modelling has mainly focused on default probabilities. Recovery rates are usually modelled independently, quite often they are even assumed constant. Then, however, the structural connection between…
We propose a new model of the liquidity driven banking system focusing on overnight interbank loans. This significant branch of the interbank market is commonly neglected in the banking system modeling and systemic risk analysis. We…
This chapter reviews key contributions of complexity science to the study of systemic risk in financial systems. The focus is on network models of financial contagion, where I explore various mechanisms of shock propagation, such as…
Evaluation of default correlation is an important task in credit risk analysis. In many practical situations, it concerns the joint defaults of several correlated firms, the task that is reducible to a first passage time (FPT) problem. This…
In this work we develop a tractable structural model with analytical default probabilities depending on a random default barrier and possibly random volatility ideally associated with a scenario based underlying firm debt. We show how to…
We study stochastic ordering of system lifetimes with dependent and heterogeneous components whose marginal distributions are obtained through transformations of a common baseline. The dependence structure is modeled via Archimedean…
Due to language models' propensity to generate toxic or hateful responses, several techniques were developed to align model generations with users' preferences. Despite the effectiveness of such methods in improving the safety of model…
Contagion effect refers to the causal effect of peers' behavior on the outcome of an individual in social networks. Contagion can be confounded due to latent homophily which makes contagion effect estimation very hard: nodes in a homophilic…
Extracting from shared resources requires making choices to balance personal profit and sustainability. We present the results of a behavioural experiment wherein we manipulate the default extraction from a finite resource. Participants…
We develop a systemic risk framework to explore cascading systemic failures in networked control systems. A time-delayed version of the vehicle platooning problem is used as a benchmark to study the interplay among network connectivity,…
The structural default model of Lipton and Sepp, 2009 is generalized for a set of banks with mutual interbank liabilities whose assets are driven by correlated Levy processes with idiosyncratic and common components. The multi-dimensional…