Related papers: Dynamic Default Contagion in Heterogeneous Interba…
Motivated by an application to empirical Bayes learning in high-dimensional regression, we study a class of Langevin diffusions in a system with random disorder, where the drift coefficient is driven by a parameter that continuously adapts…
We study the mean field approximation of a recent model of cascades on networks relevant to the investigation of systemic risk control in financial networks. In the model, the hypothesis of a trend reinforcement in the stochastic process…
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…
This paper studies the optimal dividend for a multi-line insurance group, in which each subsidiary runs a product line and is exposed to some external credit risk. The default contagion is considered such that one default event may increase…
The global financial system can be represented as a large complex network in which banks, hedge funds and other financial institutions are interconnected to each other through visible and invisible financial linkages. Recently, a lot of…
We propose two structural models for stochastic losses given default which allow to model the credit losses of a portfolio of defaultable financial instruments. The credit losses are integrated into a structural model of default events…
We propose a particle system of diffusion processes coupled through a chain-like network structure described by an infinite-dimensional, nonlinear stochastic differential equation of McKean-Vlasov type. It has both (i) a local chain…
We study contagion and systemic risk in sparse financial networks with balance-sheet interactions on a directed random graph. Each institution has homogeneous liabilities and equity, and exposures along outgoing edges are split equally…
To mimic the complex transport-like collective phenomena in a man-made or natural system, we study an open network junction model of totally asymmetric simple exclusion process with bulk particle attachment and detachment. The stationary…
The mean-field limit in a weakly interacting stochastic many-particle system for multiple population species in the whole space is proved. The limiting system consists of cross-diffusion equations, modeling the segregation of populations.…
In this study, the phase field model of crack propagation is used to study the dynamic branching instability in the case of inplane loading in two dimensions. Simulation results are in good agreement with theoretical predictions and…
A standard quantitative method to access credit risk employs a factor model based on joint multivariate normal distribution properties. By extending a one-factor Gaussian copula model to make a more accurate default forecast, this paper…
We study the damage spreading transition in a generic one-dimensional stochastic cellular automata with two inputs (Domany-Kinzel model) Using an original formalism for the description of the microscopic dynamics of the model, we are able…
Single contagion processes are known to display a continuous transition from an epidemic-free phase at low contagion rates to the epidemic state for rates above a critical threshold. This transition can become discontinuous when two simple…
The instability of the financial system as experienced in recent years and in previous periods is often linked to credit defaults, i.e., to the failure of obligors to make promised payments. Given the large number of credit contracts, this…
Banking system crises are complex events that in a short span of time can inflict extensive damage to banks themselves and to the external economy. The crisis literature has so far identified a number of distinct effects or channels that…
The structural default model of Lipton and Sepp, 2009 is generalized for a set of banks with mutual interbank liabilities whose assets are driven by correlated Levy processes with idiosyncratic and common components. The multi-dimensional…
Epidemic spreading and cascading failure are two important dynamical processes over complex networks. They have been investigated separately for a long history. But in the real world, these two dynamics sometimes may interact with each…
Group-based reinforcement can induce discontinuous transitions from inactive to active phases in higher-order contagion models. However, these results are typically obtained on static interaction structures or within mean-field…
Diffusion in a linear potential in the presence of position-dependent killing is used to mimic a default process. Different assumptions regarding transport coefficients, initial conditions, and elasticity of the killing measure lead to…