Related papers: Default Contagion with Domino Effect , A First Pas…
We consider the problem of estimating a causal effect in a multi-domain setting. The causal effect of interest is confounded by an unobserved confounder and can change between the different domains. We assume that we have access to a proxy…
We use the theory of defaults and their meaning of [GS16] to develop (the outline of a) new theory of argumentation.
This paper considers general term structure models like the ones appearing in portfolio credit risk modelling or life insurance. We give a general model starting from families of forward rates driven by infinitely many Brownian motions and…
We define the continuous modeling property for first-order structures and show that a first-order structure has the continuous modelling property if and only if its age has the embedding Ramsey property. We use generalized indiscernible…
Recent work in psychology and experimental philosophy has shown that judgments of actual causation are often influenced by consideration of defaults, typicality, and normality. A number of philosophers and computer scientists have also…
This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing with a common risk factor.…
The impact of a stress scenario of default events on the loss distribution of a credit portfolio can be assessed by determining the loss distribution conditional on these events. While it is conceptually easy to estimate loss distributions…
A key ingredient in social contagion dynamics is reinforcement, as adopting a certain social behavior requires verification of its credibility and legitimacy. Memory of non-redundant information plays an important role in reinforcement,…
Advection and dispersion in highly heterogeneous environments involving interfacial discontinuities in the corresponding drift and dispersion rates are described through disparate examples from the physical and biological sciences. A…
We present a model of contagion that unifies and generalizes existing models of the spread of social influences and micro-organismal infections. Our model incorporates individual memory of exposure to a contagious entity (e.g., a rumor or…
Much research in systemic risk is focused on default contagion. While this demands an understanding of valuation, fewer articles specifically deal with the existence, the uniqueness, and the computation of equilibrium prices in structural…
The lifetime behaviour of loans is notoriously difficult to model, which can compromise a bank's financial reserves against future losses, if modelled poorly. Therefore, we present a data-driven comparative study amongst three techniques in…
Excessive leverage, i.e. the abuse of debt financing, is considered one of the primary factors in the default of financial institutions. Systemic risk results from correlations between individual default probabilities that cannot be…
This paper studies the consequences of capturing non-linear dependence among the covariates that drive the default of different obligors and the overall riskiness of their credit portfolio. Joint default modeling is, without loss of…
We consider multiple diseases spreading in a static Configuration Model network. We make standard assumptions that infection transmits from neighbor to neighbor at a disease-specific rate and infected individuals recover at a…
In observational studies, treatment may be adapted to covariates at several times without a fixed protocol, in continuous time. Treatment influences covariates, which influence treatment, which influences covariates, and so on. Then even…
We study a family of binary state, socially-inspired contagion models which incorporate imitation limited by an aversion to complete conformity. We uncover rich behavior in our models whether operating with either probabilistic or…
Contagion processes, representing the spread of infectious diseases, information, or social behaviors, are often schematized as taking place on networks, which encode for instance the interactions between individuals. The impact of the…
We consider an approach to credit risk in which the information about the time of bankruptcy is modelled using a Brownian bridge that starts at zero and is conditioned to equal zero when the default occurs. This raises the question whether…
In this paper we propose a new nonparametric approach to interacting failing systems (FS), that is systems whose probability of failure is not negligible in a fixed time horizon, a typical example being firms and financial bonds. The main…