Related papers: Defaults: a double-edged sword in governing common…
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 study large deviations and rare default clustering events in a dynamic large heterogeneous portfolio of interconnected components. Defaults come as Poisson events and the default intensities of the different components in the system…
Deductive domains are typical of many cognitive skills in that no single problem-solving strategy is always optimal for solving all problems. It was shown that students who know how and when to use each strategy (StrTime) outperformed those…
Pro-social punishment and exclusion are common means to elevate the level of cooperation among unrelated individuals. Indeed, it is worth pointing out that the combined use of these two strategies is quite common across human societies.…
This paper investigates the evolution of strategic play where players drawn from a finite well-mixed population are offered the opportunity to play in a public goods game. All players accept the offer. However, due to the possibility of…
Interbank contagion can theoretically exacerbate losses in a financial system and lead to additional cascade defaults during downturn. In this paper we produce default analysis using both regression and neural network models to verify…
We formulate and investigate a general stochastic control problem under a progressive enlargement of filtration. The global information is enlarged from a reference filtration and the knowledge of multiple random times together with…
We explore the implications of a preference ordering for an investor-consumer with a strong preference for keeping consumption above an exogenous social norm, but who is willing to tolerate occasional dips below it. We do this by splicing…
We compare observed corporate cumulative default probabilities to those calculated using a stochastic model based on an extension of the work of Black and Cox and find that corporations default as if via diffusive dynamics. The model, based…
This paper analyses how risk-taking behaviour and preferences over consumption rank can emerge as a neutrally stable equilibrium when individuals face an anti-coordination task. If in an otherwise homogeneous society information about…
Sustainability of common-pool resources hinges on the interplay between human and environmental systems. However, there is still a lack of a novel and comprehensive framework for modelling extraction of common-pool resources and cooperation…
We provide sufficient conditions under which a utility function may be recovered from a finite choice experiment. Identification, as is commonly understood in decision theory, is not enough. We provide a general recoverability result that…
This paper investigates a novel behavioral feature of recursive preferences: aversion to risks that persist over time, or simply \textit{correlation aversion}. Greater persistence provides information about future consumption but reduces…
Utilizing common resources is always a dilemma for community members. While cooperator players restrain themselves and consider the proper state of resources, defectors demand more than their supposed share for a higher payoff. To avoid the…
In resource contribution games, a class of non-cooperative games, the players want to obtain a bundle of resources and are endowed with bags of bundles of resources that they can make available into a common for all to enjoy. Available…
Cultures around the world show varying levels of conservatism. While maintaining traditional ideas prevents wrong ones from being embraced, it also slows or prevents adaptation to new times. Without exploration there can be no improvement,…
Preference elicitation frameworks feature heavily in the research on participatory ethical AI tools and provide a viable mechanism to enquire and incorporate the moral values of various stakeholders. As part of the elicitation process,…
Shared resources enhance productivity yet at the same time provide channels for biological and digital contamination, turning physical or digital hygiene into a cooperation dilemma prone to free-riding. Here we introduce a game of…
We study the evolution of cooperation in the collective-risk social dilemma game, where the risk is determined by a collective target that must be reached with individual contributions. All players initially receive endowments from the…
A family of models of individual discrete choice are constructed by means of statistical averaging of choices made by a subject in a reinforcement learning process, where the subject has short, k-term memory span. The choice probabilities…