Related papers: Long range Ising model for credit risk modeling in…
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…
The quantum long-range extended Ising model possesses several striking features that cannot be observed in the corresponding short-range model. We report that the pattern obtained from the entanglement between any two arbitrary sites of the…
Recently, it has been found that an effective long-range interaction is realized among local bistable variables (spins) in systems where the elastic interaction causes ordering of the spins. In such systems, generally we expect both…
This econophysics work studies the long-range Ising model of a finite system with $N$ spins and the exchange interaction $\frac{J}{N}$ and the external field $H$ as a modely for homogeneous credit portfolio of assets with default…
We investigate the maximum caliber variational principle as an inference algorithm used to predict dynamical properties of complex nonequilibrium, stationary, statistical systems in the presence of incomplete information. Specifically, we…
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…
We derive a new upper bound for the correlations in a heterogeneous one-dimensional Ising model with free boundary conditions. The new upper bound quantifies the simultaneous decay of correlations due to weakness of nearest-neighbor…
Mutual equilibrium in long-range interacting systems which involve nonadditive energy, is effectively described in terms of entropy with a nonadditive composition rule. As an example, long range Ising model is considered. The generality of…
We develop an agent-based simulation of the catastrophe insurance and reinsurance industry and use it to study the problem of risk model homogeneity. The model simulates the balance sheets of insurance firms, who collect premiums from…
We propose a credit risk model for portfolios composed of green and brown loans, extending the ASRF framework via a two-factor copula structure. Systematic risk is modeled using potentially skewed distributions, allowing for asymmetric…
The correlation length plays a pivotal role in finite-size scaling and hyperscaling at continuous phase transitions. Below the upper critical dimension, where the correlation length is proportional to the system length, both finite-size…
Individual risk models need to capture possible correlations as failing to do so typically results in an underestimation of extreme quantiles of the aggregate loss. Such dependence modelling is particularly important for managing credit…
In this paper we apply the formalism of translation invariant (continuous) matrix product states in the thermodynamic limit to $(1+1)$ dimensional critical models. Finite bond dimension bounds the entanglement entropy and introduces an…
Systemic liquidity risk, defined by the IMF as "the risk of simultaneous liquidity difficulties at multiple financial institutions", is a key topic in macroprudential policy and financial stress analysis. Specialized models to simulate…
The risk of a credit portfolio depends crucially on correlations between the probability of default (PD) in different economic sectors. Often, PD correlations have to be estimated from relatively short time series of default rates, and the…
The contact process and the slightly different susceptible-infected-susceptible model are studied on long-range connected networks in the presence of random transition rates by means of a strong disorder renormalization group method and…
This dissertation investigates the ability of the Ising model to replicate statistical characteristics, or stylized facts, commonly observed in financial assets. The study specifically examines in the S&P500 index the following features:…
The failure of key financial institutions may accelerate risk contagion due to their interconnections within the system. In this paper, we propose a robust portfolio strategy to mitigate systemic risks during extreme events. We use the…
This paper presents a convenient framework for modeling default process and pricing derivative securities involving credit risk. The framework provides an integrated view of credit valuation adjustment by linking distance-to-default,…
The modeling of the probability of joint default or total number of defaults among the firms is one of the crucial problems to mitigate the credit risk since the default correlations significantly affect the portfolio loss distribution and…