Related papers: Parameter estimation of default portfolios using t…
This paper generalizes Moody's correlated binomial default distribution for homogeneous (exchangeable) credit portfolio, which is introduced by Witt, to the case of inhomogeneous portfolios. As inhomogeneous portfolios, we consider two…
We propose novel parameter estimation algorithms for a class of dynamical systems with nonlinear parametrization. The class is initially restricted to smooth monotonic functions with respect to a linear functional of the parameters. We show…
This article deals with the problem of optimal allocation of capital to corporate bonds in fixed income portfolios when there is the possibility of correlated defaults. Under fairly general assumptions for the distribution of the total net…
In this article we consider the infinite-horizon Merton investment-consumption problem in a constant-parameter Black - Scholes - Merton market for an agent with constant relative risk aversion R. The classical primal approach is to write…
This paper presents a discrete--time equity derivatives pricing model with default risk in a no--arbitrage framework. Using the equity--credit reduced form approach where default intensity mainly depends on the firm's equity value, we…
A tipping point can be defined as an abrupt shift in the properties or behaviour of a system. Tipping points in complex systems from a wide variety of scientific disciplines have been compared to phase transitions in physics, but consistent…
The accelerated failure time (AFT) model is widely used to analyze relationships between variables in the presence of censored observations. However, this model relies on some assumptions such as the error distribution, which can lead to…
We consider reinforcement learning in parameterized Markov Decision Processes (MDPs), where the parameterization may induce correlation across transition probabilities or rewards. Consequently, observing a particular state transition might…
Critical slowing down of the relaxation of the order parameter is relevant both in early the universe and in ultrarelativistic heavy ion collisions. We study the relaxation rate of the order parameter in an O(N) scalar theory near the…
We consider the inference problem for parameters in stochastic differential equation models from discrete time observations (e.g. experimental or simulation data). Specifically, we study the case where one does not have access to…
We consider the contact process near an extended surface defect, where the local control parameter deviates from the bulk one by an amount of $\lambda(l)-\lambda(\infty) = A l^{-s}$, $l$ being the distance from the surface. We concentrate…
In this work we develop a tractable structural model with analytical default probabilities depending on a random default barrier and possibly random volatility ideally associated with a scenario based underlying firm debt. We show how to…
We study the feasibility and noise sensitivity of portfolio optimization under some downside risk measures (Value-at-Risk, Expected Shortfall, and semivariance) when they are estimated by fitting a parametric distribution on a finite sample…
A popular approach to perform inference on a target parameter in the presence of nuisance parameters is to construct estimating equations that are orthogonal to the nuisance parameters, in the sense that their expected first derivative is…
Filiz et al. (2008) proposed a model for the pattern of defaults seen among a group of firms at the end of a given time period. The ingredients in the model are a graph, where the vertices correspond to the firms and the edges describe the…
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 consider a discrete-time voter model process on a set of nodes, each being in one of two states, either 0 or 1. In each time step, each node adopts the state of a randomly sampled neighbor according to sampling probabilities, referred to…
This paper employs an intra-personal game-theoretic framework to investigate how decreasing impatience influences irreversible investment behaviors in a continuous-time setting. We consider a capacity expansion problem under weighted…
A model of phase transitions with coupling between the order parameter and its gradient is proposed. It is shown, that this nonlinear model is suitable for the description of phase transitions accompanied by the formation of spatially…
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…