Related papers: Default Contagion with Domino Effect , A First Pas…
In this paper, we introduce a model that adds a non-linearity to discounting: the discounting factor may depend on the notional (i.e., discounted values are no longer linear in the notional). In the first part of the paper, we provide a…
Dropout represents a typical issue to be addressed when dealing with longitudinal studies. If the mechanism leading to missing information is non-ignorable, inference based on the observed data only may be severely biased. A frequent…
This paper studies how violations of structural assumptions like expected utility and exponential discounting can be connected to basic rationality violations, even though these assumptions are typically regarded as independent building…
This paper studies the influence of bending deflections on the structural behaviour of masonry columns. Some explicit solutions are presented, and the combined effects of the constitutive and geometric nonlinearities are investigated…
We introduce a dynamic model of the default waterfall of derivatives CCPs and propose a risk sensitive method for sizing the initial margin (IM), and the default fund (DF) and its allocation among clearing members. Using a Markovian…
We propose a model for the credit markets in which the random default times of bonds are assumed to be given as functions of one or more independent "market factors". Market participants are assumed to have partial information about each of…
In this paper we study the evolution of asset price bubbles driven by contagion effects spreading among investors via a random matching mechanism in a discrete-time version of the liquidity based model of [25]. To this scope, we extend the…
First passage models, where corporate assets undergo a random walk and default occurs if the assets fall below a threshold, provide an attractive framework for modeling the default process. Recently such models have been generalized to…
In this paper, we propose a two-sector Markovian infectious model, which is an extension of Greenwood's model. The central idea of this model is that the causality of defaults of two sectors is in both direction, which enrich dependence…
We look more carefully at the modeling of causality using structural equations. It is clear that the structural equations can have a major impact on the conclusions we draw about causality. In particular, the choice of variables and their…
In the context of epidemic spreading, many intricate dynamical patterns can emerge due to the cooperation of different types of pathogens or the interaction between the disease spread and other failure propagation mechanism. To unravel such…
We introduce a class of dependence structures, that we call the Multiple Risk Factor (MRF) dependence structures. On the one hand, the new constructions extend the popular CreditRisk+ approach, and as such they formally describe default…
We study the impact of contagion in a network of firms facing credit risk. We describe an intensity based model where the homogeneity assumption is broken by introducing a random environment that makes it possible to take into account the…
Concept drift, i.e., the change of the data generating distribution, can render machine learning models inaccurate. Several works address the phenomenon of concept drift in the streaming context usually assuming that consecutive data points…
We are considering the problem of optimal portfolio delegation between an investor and a portfolio manager under a random default time. We focus on a novel variation of the Principal-Agent problem adapted to this framework. We address the…
Given a stochastic structure with a filtration $\mathbb{F}$, the class of all random times whose conditional distribution functions are differentiable with respect to some $\mathbb{F}$ adapted non decreasing processes is considered. The…
We study an open problem of risk-sensitive portfolio allocation in a regime-switching credit market with default contagion. The state space of the Markovian regime-switching process is assumed to be a countably infinite set. To characterize…
This work deals with defect structures in models described by scalar fields. The investigations focus on generalized models, with the kinetic term modified to allow for a diversity of possibilities. We develop a new framework, in which we…
Understanding material failure is critical for designing stronger and lighter structures by identifying weaknesses that could be mitigated. Existing full-physics numerical simulation techniques involve trade-offs between speed, accuracy,…
In longitudinal studies, subjects may be lost to follow-up, or miss some of the planned visits, leading to incomplete response sequences. When the probability of non-response, conditional on the available covariates and the observed…