Related papers: Default Contagion with Domino Effect , A First Pas…
In many fields$\unicode{x2013}$including genomics, epidemiology, natural language processing, social and behavioral sciences, and economics$\unicode{x2013}$it is increasingly important to address causal questions in the context of factor…
We discuss the parameter estimation of the probability of default (PD), the correlation between the obligors, and a phase transition. In our previous work, we studied the problem using the beta-binomial distribution. A non-equilibrium phase…
Many forms of dependence manifest themselves over time, with behavior of variables in dynamical systems as a paradigmatic example. This paper studies temporal dependence in dynamical systems from a logical perspective, by enriching a…
We introduce a causal modeling framework that captures the input-output behavior of predictive models (e.g., machine learning models). The framework enables us to identify features that directly cause the predictions, which has broad…
We build a general model for pricing defaultable claims. In addition to the usual absence of arbitrage assumption, we assume that one defaultable asset (at least) looses value when the default occurs. We prove that under this assumption, in…
We develop a model to predict consumer default based on deep learning. We show that the model consistently outperforms standard credit scoring models, even though it uses the same data. Our model is interpretable and is able to provide a…
We seek to find normative criteria of adequacy for nonmonotonic logic similar to the criterion of validity for deductive logic. Rather than stipulating that the conclusion of an inference be true in all models in which the premises are…
We investigate the impact of available information on the estimation of the default probability within a generalized structural model for credit risk. The traditional structural model where default is triggered when the value of the firm's…
Dependability is an umbrella concept that subsumes many key properties about a system, including reliability, maintainability, safety, availability, confidentiality, and integrity. Various dependability modeling techniques have been…
In mechanical systems it is of interest to know the onset of fracture in dependence of the boundary conditions. Here we study a one-dimensional model which allows for an underlying heterogeneous structure in the discrete setting. Such…
We study a version of first passage percolation on $\mathbb{Z}^d$ where the random passage times on the edges are replaced by contact times represented by random closed sets on $\mathbb{R}$. Similarly to the contact process without…
This paper investigates the finite horizon risk-sensitive portfolio optimization in a regime-switching credit market with physical and information-induced default contagion. It is assumed that the underlying regime-switching process has…
In this paper, we address the problem of change in an abstract argumentation system. We focus on a particular change: the addition of a new argument which interacts with previous arguments. We study the impact of such an addition on the…
Inference of causality in time series has been principally based on the prediction paradigm. Nonetheless, the predictive causality approach may overlook the simultaneous and reciprocal nature of causal interactions observed in real world…
We consider a wide class of increasing L\'evy processes perturbed by an independent Brownian motion as a degradation model. Such family contains almost all classical degradation models considered in the literature. Classically failure time…
We analyze the practical consequences of the bilateral counterparty risk adjustment. We point out that past literature assumes that, at the moment of the first default, a risk-free closeout amount will be used. We argue that the legal…
Complex dynamical systems are prevalent in many scientific disciplines. In the analysis of such systems two aspects are of particular interest: 1) the temporal patterns along which they evolve and 2) the underlying causal mechanisms.…
This paper proposes and studies a detection technique for adversarial scenarios (dubbed deterministic detection). This technique provides an alternative detection methodology in case the usual stochastic methods are not applicable: this can…
Based on an empirical analysis of the network structure of the Austrian inter-bank market, we study the flow of funds through the banking network following exogenous shocks to the system. These shocks are implemented by stochastic changes…
As it is known in the finance risk and macroeconomics literature, risk-sharing in large portfolios may increase the probability of creation of default clusters and of systemic risk. We review recent developments on mathematical and…