Related papers: Effects of Economic Interactions on Credit Risk
Any firm whose business strategy has an exposure constraint that limits its potential gain naturally considers expansion, as this can increase its exposure. We model business expansion as an enlargement of the opportunity set for business…
A dynamical model of capital exchange is introduced in which a specified amount of capital is exchanged between two individuals when they meet. The resulting time dependent wealth distributions are determined for a variety of exchange…
Analysts seldom include interaction terms in meta-regression model, what can introduce bias if an interaction is present. We illustrate this in the current paper by re-analyzing an example from research on acute heart failure, where…
The analysis of environmental mixtures is of growing importance in environmental epidemiology, and one of the key goals in such analyses is to identify exposures and their interactions that are associated with adverse health outcomes.…
We introduce a statistical model for operational losses based on heavy-tailed distributions and bipartite graphs, which captures the event type and business line structure of operational risk data. The model explicitly takes into account…
We study an agent-based model of evolution of wealth distribution in a macro-economic system. The evolution is driven by multiplicative stochastic fluctuations governed by the law of proportionate growth and interactions between agents. We…
We empirically investigate the distributional effects of inflation on workers' unemployment tail risks using instrumental variable quantile regression. We find that supply-driven inflation disproportionately raises unemployment tail risks…
This article examines how legacy lending relationships shape the allocation of emergency credit under severe information frictions. Using a novel dataset linking Small Business Administration (SBA) loan records with Dun and Bradstreet…
If one isolated species (corporation) is supposed to evolve following the logistic mapping, then we are tempted to think that the dynamics of two species (corporations) can be expressed by a coupled system of two discrete logistic…
This paper describes surface-like waves of macroeconomic Credits-Loans transactions on economic space. We use agent's risk ratings as their coordinates and describe evolution of macro variables by transactions between agents. Aggregations…
This paper addresses estimates of climate risk embedded within a bank credit portfolio. The proposed Climate Extended Risk Model (CERM) adapts well known credit risk models and makes it possible to calculate incremental credit losses on a…
We introduce a general modeling framework to predict the outcomes, at the population level, of individual psychology and behavior. The framework prescribes that researchers build a cost function that embodies knowledge of what trait values…
Small and Medium-sized Enterprises (SMEs) are known to play a vital role in economic growth, employment, and innovation. However, they tend to face significant challenges in accessing credit due to limited financial histories, collateral…
The far-reaching consequences of ecological interactions in the dynamics of biological communities remain an intriguing subject. For decades, competition has been a cornerstone in ecological processes, but mounting evidence shows that…
A dynamic model of the social relations between workers and capitalists is introduced. The model is deduced from the assumption that the law of value is an organising principle of modern economies. The model self-organises into a dynamic…
As impressively shown by the financial crisis in 2007/08, contagion effects in financial networks harbor a great threat for the stability of the entire system. Without sufficient capital requirements for banks and other financial…
The statistical properties of an ecosystem composed of species interacting via pairwise, random interactions and deterministic, concentration limiting self-interaction are studied analytically with tools of equilibrium statistical mechanics…
When making decisions under risk, people often exhibit behaviors that classical economic theories cannot explain. Newer models that attempt to account for these irrational behaviors often lack neuroscience bases and require the introduction…
Large quantities of data flow on the internet. When a user decides to help the spread of a piece of information (by retweeting, liking, posting content), most research works assumes she does so according to information's content,…
Constant and symmetric price impact functions, most commonly used in agent-based market modelling, are shown to give rise to paradoxical and inconsistent outcomes in the simplest case of arbitrage exploitation when open-hold-close actions…