Related papers: Effects of Economic Interactions on Credit Risk
This paper outlines a critical gap in the assessment methodology used to estimate the macroeconomic costs and benefits of climate policy. It shows that the vast majority of models used for assessing climate policy use assumptions about the…
This study explores the dynamic relationship between corruption and economic growth through an approach based on a system of stochastic equations. In the context of globalization and economic interdependencies, corruption not only affects…
When analyzing the components influencing the stock prices, it is commonly believed that economic activities play an important role. More specifically, asset prices are more sensitive to the systematic economic news that impose a pervasive…
Supply chain disruptions constitute an often underestimated risk for financial stability. As in financial networks, systemic risks in production networks arises when the local failure of one firm impacts the production of others and might…
This work models the interconnection of company's investment managers' representations and the market attraction of its shares. The models that reflect the connection of the company's market effectiveness indices and parameters of its…
In structural credit risk models, default events and the ensuing losses are both derived from the asset values at maturity. Hence it is of utmost importance to choose a distribution for these asset values which is in accordance with…
We study the difference between the level of systemic risk that is empirically measured on an interbank network and the risk that can be deduced from the balance sheets composition of the participating banks. Using generalised DebtRank…
Unlike the classical kinetic theory of rarefied gases, where microscopic interactions among gas molecules are described as binary collisions, the modelling of socio-economic phenomena in a multi-agent system naturally requires to consider,…
The processes of ecological interactions, dispersal and mutations shape the dynamics of biological communities, and analogous eco-evolutionary processes acting upon economic entities have been proposed to explain economic change. This…
In observational studies with dichotomous outcome of a population, researchers need to present the effects of exposures and interaction between the exposures jointly in order to learn the relationship between the exposure effects and the…
We introduce a new framework to model interactions among agents which seek to trade to minimize their risk with respect to some future outcome. We quantify this risk using the concept of risk measures from finance, and introduce a class of…
Ecosystems are formed by networks of species and their interactions. Traditional models of such interactions assume a constant interaction strength between a given pair of species. However, there is often significant trait variation among…
Here, we analyse the behaviour of the higher order standardised moments of financial time series when we truncate a large data set into smaller and smaller subsets, referred to below as time windows. We look at the effect of the economic…
We consider a multivariate default system where random environmental information is available. We study the dynamics of the system in a general setting and adopt the point of view of change of probability measures. We also make a link with…
The biased interaction game described the operation of systems rooted in boundedly rational interactions under conditions of scarcity. The game explored the influence of bias and demonstrated how hierarchy and inequality are emergent system…
While environmental, social, and governance (ESG) trading activity has been a distinctive feature of financial markets, the debate if ESG scores can also convey information regarding a company's riskiness remains open. Regulatory…
We describe, at the microscopic level, the dynamics of N interacting components where the probability is very small when N is large that a given component interact more than once, directly or indirectly, up to time t, with any other…
Can uncertainty about credit availability trigger a slowdown in real activity? This question is answered by using a novel method to identify shocks to uncertainty in access to credit. Time-variation in uncertainty about credit availability…
We develop a mathematical framework to study the economic impact of infectious diseases by integrating epidemiological dynamics with a kinetic model of wealth exchange. The multi-agent description leads to study the evolution over time of a…
Using the similar formulas of the preference relation and the utility function, we propose the confidence relations and the corresponding influence functions that represent various interacting strengths of different families, cliques and…