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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…

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…

We develop a dynamic point process model of correlated default timing in a portfolio of firms, and analyze typical default profiles in the limit as the size of the pool grows. In our model, a firm defaults at a stochastic intensity that is…

Inspired by the bankruptcy of Lehman Brothers and its consequences on the global financial system, we develop a simple model in which the Lehman default event is quantified as having an almost immediate effect in worsening the credit…

We study the collective behaviour of an ensemble of coupled motile elements whose interactions depend on time and are alternatively attractive or repulsive. The evolution of interactions is driven by individual internal variables with…

In a previous paper, we applied a field formalism to analyze capital allocation and accumulation within a microeconomic framework of investors and firms. The financial connections were modeled by a field of stakes, representing the links…

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…

Collectives form non-equilibrium social structures characterised by a volatile dynamics. Individuals join or leave. Social relations change quickly. Therefore, differently from engineered or ecological systems, a resilient reference state…

In a previous work, we applied a field formalism to analyze capital allocation and accumulation within a network of investors and firms. In that framework, financial agents could invest in firms or in other investors, and banks-introduced…

Human society and natural environment form a complex giant ecosystem, where human activities not only lead to the change of environmental states, but also react to them. By using collective-risk social dilemma game, some studies have…

Addressing both natural and societal challenges requires collective cooperation. Studies on collective-risk social dilemmas have shown that individual decisions are influenced by the perceived risk of collective failure. However, existing…

We study a simple, solvable model that allows us to investigate effects of credit contagion on the default probability of individual firms, in both portfolios of firms and on an economy wide scale. While the effect of interactions may be…

Reputation plays a crucial role in social interactions by affecting the fitness of individuals during an evolutionary process. Previous works have extensively studied the result of imitation dynamics without focusing on potential irrational…

This paper examines how firm-level determinants of industrial emissions evolve over time as firms adapt to environmental regulation, economic conditions, and organisational constraints. Using a panel of 204 U.S. industrial facilities…

In this paper, we propose a dynamical model to capture cascading failures among interconnected organizations in the global financial system. Failures can take the form of bankruptcies, defaults, and other insolvencies. The network that…

In the context of micro-finance, a group of individuals undertake business projects that may interfere with one another. A contagious default happens if one person's project failure leads to the default of another group member. In this…

We investigate the impact of available information on the estimation of the default probability within a generalized structural model for credit risk. The traditional structural model where default is triggered when the value of the firm's…

Dynamical systems with components whose sizes evolve according to multiplicative stochastic rules have been recently combined with entry and exit processes. We show that the assumptions usually made in modeling exits are at odds with the…

We develop a mathematical model to describe the persistence of rule-breaking behaviors in societies, such as traffic violations, disregard for legal restrictions and other forms of noncompliance. Using a replicator-type dynamics with…

In modern interconnected societies, opinions and beliefs can quickly spread across large populations, giving rise to collective behaviors such as the adoption of social norms or polarization. These phenomena have motivated many models aimed…