Levy Subordinator Model of Default Dependency

Levy model of cancer

Along an individual lifetime, stem cells replicate and suffer modifications in their DNA content. I model the modifications in the DNA of a single cell as a Levy flight, made up of small amplitude Brownian motions plus rare large-jumps events. The distribution function of mutations has a long tail, in which cancer events are located far away. The probability of cancer in a given tissue is rough...

Analysis of Dependency Structure of Default Processes Based on Bayesian Copula

One of the main problems in credit risk management is the correlated default. In large portfolios, computing the default dependencies among issuers is an essential part in quantifying the portfolio's credit. The most important problems related to credit risk management are understanding the complex dependence structure of the associated variables and lacking the data. This paper aims at introdu...

A Model for Ordinary Levy Motion

We propose a simple model based on the Gnedenko limit theorem for simulation and studies of the ordinary Levy motion, that is, a random process, whose increments are independent and distributed with a stable probability law. We use the generalized structure function for characterizing anomalous diffusion rate and propose to explore the modified Hurst method for empirical rescaled range analysis...

1987- Revised Dependency-directed Backtracking for Default Reasoning

Default reasoning is a useful inference technique which involves choosing a single context in which further inferences are to be made. If this choice is incorrect, the context may need to be switched. Dependency-directed backtracking provides a method for such context switching. Doyle’s algorithm for dependency-directed backtracking is revised to allow context switching to be guided by the call...

Multifractal Structure Of A General Subordinator