Related papers: Default Contagion with Domino Effect , A First Pas…
Models of contagion arise broadly both in the biological and social sciences, with applications ranging from the transmission of infectious diseases to the diffusion of innovations and the spread of cultural fads. In this Letter, we…
In this paper we propose a simple and efficient method to compute the ordered default time distributions in both the homogeneous case and the two-group heterogeneous case under the interacting intensity default contagion model. We give the…
This work focuses on recurrence and ergodicity of switching diffusions consisting of continuous and discrete components, in which the discrete component takes values in a countably infinite set and the rates of switching at current time…
We introduce an infectious default and recovery model for N obligors. Obligors are assumed to be exchangeable and their states are described by N Bernoulli random variables S_{i} (i=1,...,N). They are expressed by multiplying independent…
Human beings learn causal models and constantly use them to transfer knowledge between similar environments. We use this intuition to design a transfer-learning framework using object-oriented representations to learn the causal…
We study systemic default contagion in sparse financial networks and develop a framework for deciding when aggregate exposure matrices are reliable and when node-level network information changes tail risk and control design. The first…
This study proposes a stochastic model for loss-given-default (LGD) which provides the LGD distribution based on credit market and company-specific financial conditions. The model utilizes last passage time of a linear diffusion…
We present a general model for default time, making precise the role of the intensity process, and showing that this process allows for a knowledge of the conditional distribution of the default only "before the default". This lack of…
Failure times of a machinery cannot always be assumed independent and identically distributed, e.g. if after reparations the machinery is not restored to a same-as-new condition. Framed within the renewal processes approach, a…
We propose a dynamic model of dependence structure between financial institutions within a financial system and we construct measures for dependence and financial instability. Employing Markov structures of joint credit migrations, our…
We consider a multivariate default system where random environmental information is available. We study the dynamics of the system in a general setting and adopt the point of view of change of probability measures. We also make a link with…
The multiple extension problem arises frequently in diagnostic and default inference. That is, we can often use any of a number of sets of defaults or possible hypotheses to explain observations or make Predictions. In default inference,…
Contagion, broadly construed, refers to anything that can spread infectiously from peer to peer. Examples include communicable diseases, rumors, misinformation, ideas, innovations, bank failures, and electrical blackouts. Sometimes, as in…
Convergence of resource allocation algorithms is well covered in the literature as convergence to a steady state is important due to stability and performance. However, research is lacking when it comes to the propagation of change that…
The standard intensity-based approach for modeling defaults is generalized by making the deterministic term structure of the survival probability stochastic via a common jump process. The survival copula of the vector of default times is…
We illustrate a class of conditional models for the analysis of longitudinal data suffering attrition in random effects models framework, where the subject-specific random effects are assumed to be discrete and to follow a time-dependent…
We address the problem of automatically acquiring case frame patterns (selectional patterns) from large corpus data. In particular, we propose a method of learning dependencies between case frame slots. We view the problem of learning case…
The intensity of a default time is obtained by assuming that the default indicator process has an absolutely continuous compensator. Here we drop the assumption of absolute continuity with respect to the Lebesgue measure and only assume…
A simple graphical model for correlated defaults is proposed, with explicit formulas for the loss distribution. Algebraic geometry techniques are employed to show that this model is well posed for default dependence: it represents any given…
We present the qGaussian generalization of the Merton framework, which takes into account slow fluctuations of the volatility of the firms market value of financial assets. The minimal version of the model depends on the Tsallis entropic…