In this paper, we propose a Vasicek-type of models for estimating portfolio level probability of default (PD). With these Vasicek models, asset correlation and long-run PD for a risk homogenous portfolio both have analytical solutions, longer external time series for market and macroeconomic...

Uncertainty about the riskiness of new financial products was an important factor behind the U.S. credit crisis. We show that a boom-bust cycle in debt, asset prices and consumption characterizes the equilibrium dynamics of a model with a collateral constraint in which agents learn "by...

We present a generalized stochastic Cantor set by means of a simple cut and delete process and discuss the self-similar properties of the arising geometric structure. To increase the flexibility of the model, two free parameters, m and b, are introduced which tune the relative strength of the...

In this paper we study the geometrical properties of the support of the limit distributions of income/wealth in economies with uninsurable individual risk, and how they are affected by technology and preference parameters and by policy variables. We work out two simple successive generation...

In this paper we investigate wealth inequality/polarization properties related to the support of the limit distribution of wealth in innovative economies characterized by uninsurable individual risk. We work out two simple successive generation examples, one with stochastic human capital...

Using functional equations with self-similar properties, we have derived the exact analytical result for convolution of a smooth function with the normalized density of the Cantor set in the limit N→∞. We have proved that the self-similar kernel of this convolution cannot be reduced...

A systematic test on seismic quiescence occurring before largeearthquakes is conducted. For a fixed geographical location, the degree ofclustering in space and time is analysed and the results are testedagainst randomized earthquake catalogs.A gridding technique allows to investigate the...

An innovative approach to seismic hazard assessment is illustrated that, based on the available knowledge of the physical properties of the Earth structure and of seismic sources, on geodetic observations, as well as on the geophysical forward modeling, allows for a time-dependent definition of...

The use of b-values derived from the Gutenberg–Richter relationship as a phenomenological base for developing probabilistic seismic hazard analyses (PSHA) has been questioned for years. The relationship is still used because political demands require something for PSHA, one variable is easy to...