In this paper, we study a method of classification by density in an unweighted graph. We search some areas with a high density of edges, that can be overlapping (we don't try to obtain a partition but some intrinsic classes). The method consists of two steps ; first we determine the cores of the...

In this paper, we present a versatile method for the investigation of interaction networks and show how to use it to assess effects of indirect interactions and feedback loops. The method allows to evaluate the impact of optimization measures or failures on the system. Here, we will apply it to...

Dependence among defaults both across assets and over time has proven to be an important characteristic of financial risk. A Bayesian approach to default rate estimation is proposed and illustrated using a prior distributions assessed from an experienced industry expert. Two extensions of the...

A Bayesian approach to default rate estimation is proposed and illustrated using a prior distribution assessed from an experienced industry expert. The principle advantage of the Bayesian approach is the potential for coherent incorporation of expert information - crucial when data are scarce or...

We express the idea of classical competition in a statistical equilibrium model, where the tendency for competition to equalize profit rates results in an exponential power (or Subbotin) distribution. The model supports and extends recent evidence on the Laplace distribution of growth rates in...

We use an information-theoretic approach to interpret Engle's (1982) and Bollerslev's (1986) GARCH model as a model for the motion in time of the expected conditional second power moment. This interpretation is used to show how these models may be generalized, if we use alternative measures of...