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Found 4 papers, 3 papers with code
Mod-Poisson approximation schemes: Applications to credit risk
We introduce a new numerical approximation method for functionals of factor credit portfolio models based on the theory of mod-$\phi$ convergence and mod-$\phi$ approximation schemes.
Universal approximation of credit portfolio losses using Restricted Boltzmann Machines
We introduce a new portfolio credit risk model based on Restricted Boltzmann Machines (RBMs), which are stochastic neural networks capable of universal approximation of loss distributions.
A default system with overspilling contagion
In classical contagion models, default systems are Markovian conditionally on the observation of their stochastic environment, with interacting intensities.
Network Valuation in Financial Systems
We introduce a general model for the balance-sheet consistent valuation of interbank claims within an interconnected financial system.
