相关论文: Infectious Default Model with Recovery and Continu…

The present paper provides a multi-period contagion model in the credit risk field. Our model is an extension of Davis and Lo's infectious default model. We consider an economy of n firms which may default directly or may be infected by…

We show how to analyze and interpret the correlation structures, the conditional expectation values and correlation coefficients of exchangeable Bernoulli random variables. We study implied default distributions for the iTraxx-CJ tranches…

We present an SI epidemic model whereby a continuous variable captures variability in proliferative potential and resistance to infection among susceptibles. The occurrence of heritable, spontaneous changes in these phenotype and the…

We consider multiple diseases spreading in a static Configuration Model network. We make standard assumptions that infection transmits from neighbor to neighbor at a disease-specific rate and infected individuals recover at a…

We introduce an epidemic model with varying infectivity and general exposed and infectious periods, where the infectivity of each individual is a random function of the elapsed time since infection, those function being i.i.d. for the…

In this paper, we propose a two-sector Markovian infectious model, which is an extension of Greenwood's model. The central idea of this model is that the causality of defaults of two sectors is in both direction, which enrich dependence…

While defaults are rare events, losses can be substantial even for credit portfolios with a large number of contracts. Therefore, not only a good evaluation of the probability of default is crucial, but also the severity of losses needs to…

The focus of this article is on the dynamics of a new susceptible-infected model which consists of a susceptible group ($S$) and two different infectious groups ($I_1$ and $I_2$). Once infected, an individual becomes a member of one of…

Compartmental models like the Susceptible-Infected-Recovered (SIR)\cite{Kermack1927} and its extensions such as the Susceptible-Exposed-Infected-Recovered (SEIRS)\cite{Ottar2020,Ignazio2021,Grimm2021,Paoluzzi2021} are commonly used to model…

We introduce a model for the loss distribution of a credit portfolio considering a contagion mechanism for the default of names which is the result of two independent components: an infection attempt generated by defaulting entities and a…

A standard quantitative method to access credit risk employs a factor model based on joint multivariate normal distribution properties. By extending a one-factor Gaussian copula model to make a more accurate default forecast, this paper…

We study an individual-based stochastic epidemic model in which infected individuals become susceptible again following each infection. In contrast to classical compartment models, after each infection, the infectivity is a random function…

This article gives a probabilistic overview of the widely used method of default probability estimation proposed by K. Pluto and D. Tasche. There are listed detailed assumptions and derivation of the inequality where the probability of…

The current research on credit risk is primarily focused on modeling default probabilities. Recovery rates are often treated as an afterthought; they are modeled independently, in many cases they are even assumed constant. This is despite…

We constructed a Susceptible-Addicted-Reformed model and explored the dynamics of nonlinear relapse in the Reformed population. The transition from susceptible considered {\it at-risk} is modeled using a strictly decreasing general…

Compartmental models are popular in the mathematics of epidemiology for their simplicity and wide range of applications. Although they are typically solved as initial value problems for a system of ordinary differential equations, the…

We study the Susceptible-Infected-Susceptible model of the spread of an endemic infection. We calculate an exact expression for the mean number of transmissions for all values of the population and the infectivity. We derive the large-N…

First passage models, where corporate assets undergo a random walk and default occurs if the assets fall below a threshold, provide an attractive framework for modeling the default process. Recently such models have been generalized to…

We study two simple mathematical models of the epidemic. At first, we study the repetitive infection spreading in a simplified SIRS model including the effect of the decay of the acquired immune. The model is an intermediate model of the…

This paper presents comparison results and establishes risk bounds for credit portfolios within classes of Bernoulli mixture models, assuming conditionally independent defaults that are stochastically increasing with a common risk factor.…