This paper puts forward a novel approach to the analysis of direct contagion in financial networks. Financial systems are here represented as flow networks -i.e., directed and weighted graphs endowed with source nodes and sink nodes – and the propagation of losses and defaults, originated by...

As recent studies have begun to pay increasing attention to financial distress prediction (FDP), this study compares the performance of static, dynamic and machine learning (ML) models in predicting the financial distress of firms. Balanced and imbalanced datasets of Chinese listed firms that...

This paper puts forward a novel approach to the analysis of direct contagion in financial networks. Financial systems are here represented as flow networks -i.e., directed and weighted graphs endowed with source nodes and sink nodes – and the propagation of losses and defaults, originated by...

In [4], the authors introduced a Markov copula model of portfolio credit risk. This model solves the top-down versus bottom-up puzzle in achieving efficient joint calibration to single-name CDS and to multi-name CDO tranches data. In [4], we studied a general model, that allows for stochastic...

We introduce an innovative theoretical framework for the valuation and replication of derivative transactions between defaultable entities based on the principle of arbitrage freedom. Our framework extends the traditional formulations based on credit and debit valuation adjustments (CVA and...

This paper provides CDS option pricing in a probability setting equipped with a subfiltration structure. The evolution of the defaultable term structure is modelled using the approach developed in Heath et al. (1992) when the spot rate and the forward rate affect the volatility term. The...

Predicting default probabilities is at the core of credit risk management and is becoming more and more important for banks in order to measure their client's degree of risk, and for rms to operate successfully. The SVM with evolutionary feature selection is applied to the CreditReform database....

Predicting default probabilities is at the core of credit risk management and is becoming more and more important for banks in order to measure their client's degree of risk, and for firms to operate successfully. The SVM with evolutionary feature selection is applied to the CreditReform...

Three models of trading on the electricity commodity exchange are presented, where the market clearing price is based on the weighted average value of the proposed goods. The models make it possible to estimate the prices of the goods offered for sale on the basis of two parameters; the market...

The electricity commodity exchange is a place where you can sell and buy, among other things, electricity. Is the sale free from profit-generating activities that have no relation to the production costs incurred ? Here, we suggest a mathematical model that tracks this type of the non-ethical...