Related papers: Default Contagion with Domino Effect , A First Pas…
Deferring systems extend supervised Machine Learning (ML) models with the possibility to defer predictions to human experts. However, evaluating the impact of a deferring strategy on system accuracy is still an overlooked area. This paper…
This chapter covers methodological issues related to estimation, testing and computation for models involving structural changes. Our aim is to review developments as they relate to econometric applications based on linear models.…
Frailty and resilience models provide a way to introduce random effects in hazard and reversed hazard rate modeling by random variables, called frailty and resilience random variables, respectively, to account for unobserved or unexplained…
Inspired by the bankruptcy of Lehman Brothers and its consequences on the global financial system, we develop a simple model in which the Lehman default event is quantified as having an almost immediate effect in worsening the credit…
Causal inference uses observations to infer the causal structure of the data generating system. We study a class of functional models that we call Time Series Models with Independent Noise (TiMINo). These models require independent residual…
A time-dependent global fiber-bundle model of fracture with continuous damage is formulated in terms of a set of coupled non-linear differential equations. A first integral of this set is analytically obtained. The time evolution of the…
We study an optimal investment problem under contagion risk in a financial model subject to multiple jumps and defaults. The global market information is formulated as a progressive enlargement of a default-free Brownian filtration, and the…
We study copula-based collective risk models when the dependence structure is defined by a Farlie-Gumbel-Morgenstern (FGM) copula. By leveraging a one-to-one correspondence between the class of FGM copulas and multivariate symmetric…
We consider a large collection of dynamically interacting components defined on a weighted directed graph determining the impact of default of one component to another one. We prove a law of large numbers for the empirical measure capturing…
Dynamic logit models are popular tools in economics to measure state dependence. This paper introduces a new method to derive moment restrictions in a large class of such models with strictly exogenous regressors and fixed effects. We…
This paper considers how to classify the effects of interventions in causal models for outcomes and exposures observed over time. First, we demonstrate the limitations of the most common uses of potential outcomes and causal directed…
We model the term structure of the forward default intensity and the default density by using L\'evy random fields, which allow us to consider the credit derivatives with an after-default recovery payment. As applications, we study the…
First passage models, where corporate assets undergo correlated random walks and a company defaults if its assets fall below a threshold provide an attractive framework for modeling the default process. Typical one year default correlations…
We propose a novel frailty model with change points applying random effects to a Cox proportional hazard model to adjust the heterogeneity between clusters. Because the frailty model includes random effects, the parameters are estimated…
We propose a model and an estimation technique to distinguish systemic risk and contagion in credit risk. The main idea is to assume, for a set of $d$ obligors, a set of $d$ idiosyncratic shocks and a shock that triggers the default of all…
Probabilistic modeling is one of the foundations of modern machine learning and artificial intelligence. In this paper, we propose a novel type of probabilistic models named latent dependency forest models (LDFMs). A LDFM models the…
Systemic risks of default contagion in the Russian interbank market are investigated. The analysis is based on considering the bow-tie structure of the weighted oriented graph describing the structure of the interbank loans. A probabilistic…
In this paper we consider the classical and Erlang(2) risk processes when the inter-claim times and claim amounts are dependent. We assume that the dependence structure is defined through a Farlie-Gumbel-Morgenstern (FGM) copula and show…
We introduce and study a class of abstract continuous action minimization problems that generalize continuous first and last passage percolation. In this class of models a limit shape exists. Our main result provides a framework under which…
We show how to analyze and interpret the correlation structures, the conditional expectation values and correlation coefficients of exchangeable Bernoulli random variables. We study implied default distributions for the iTraxx-CJ tranches…