This paper provide a large-deviations approximation of the tail distribution of total financial losses on a portfolio consisting of many positions. Applications include the total default losses on a bank portfolio, or the total claims against an insurer. The results may be useful in allocating...

This paper provide a large-deviations approximation of the tail distribution of total financial losses on a portfolio consisting of many positions. Applications include the total default losses on a bank portfolio, or the total claims against an insurer. The results may be useful in allocating...

Before the era of large central bank balance sheets, banks relied on incoming payments to fund outgoing payments in order to conserve scarce liquidity. Even in the era of large central bank balance sheets, rather than funding payments with abundant reserve balances, we show that outgoing...

Corporate credit lines are drawn more heavily when funding markets are more stressed. This covariance elevates expected bank funding costs. We show that credit supply is dampened by the associated debt-overhang cost to bank shareholders. Until 2022, this impact was reduced by linking the...

For {Xi}i = 1 a sequence of i.i.d. random variables taking values in a Polish space [Sigma] with distribution [mu], we obtain large and moderate deviation principles for the processes {n-1 [Sigma][nt]i = 1 [delta]Xi; t = 0}n = 1 and {n-1/2 [Sigma][nt]i = 1 ([delta]Xi - [mu]); t = 0}n = 1,...

The large deviation principle is known to hold for the empirical measures (occupation times) of Polish space valued random variables and for the empirical means of Banach space valued random variables under Markov dependence or mixing conditions, and subject to the appropriate exponential tail...

An extension of the "prior density for path" (Onsager-Machlup functional) is defined and shown to exist for Gaussian fields generated by solutions of elliptic PDEs driven by white noise. This functional is then used to define and solve the MAP estimation of such fields observed via nonlinear...

If for a 'permissible' family of functions and an i.i.d. process {Xi}[infinity]i=0, with probability one, then the same holds for away absolutely regular (weakly Bernoulli) process having the same marginal distribution. In particular, for any class of sets having finite V-C dimension and any...

Consider a sequence of m deterministic points in ##R##d, and consider the empirical measure of a random sample (without replacements) of size n = n(m). We prove the large deviation principle and compute the resulting rate function for the latter empirical measure under the assumptions that the...

The "prior density for path" (the Onsager-Machlup functional) is defined for solutions of semilinear elliptic type PDEs driven by white noise. The existence of this functional is proved by applying a general theorem of Ramer on the equivalence of measures on Wiener space. As an application, the...