Recently, analyses of fMRI data have revealed functionally connected and interacting spontaneous active regions in the brain, which are referred as ”Default Mode Brain Network”. The fluctuations on BOLD signals of the default mode brain network have shown spatiotemporally correlated synchronization at a rate lower than 0.1 Hz in contrast to signals under concrete tasks like high frequency rhyth...

We study the pricing of defaultable derivatives, such as bonds, bond options, and credit default swaps in the reduced form framework of intensity-based models. We use regular and singular perturbation expansions on the intensity of default from which we derive approximations for the pricing functions of these derivatives. In particular, we assume an Ornstein-Uhlenbeck process for the interest r...

We assess social influence on borrowers’ default decisions in a peer-to-peer lending market. Our analysis suggests that online borrowers are significantly influenced by defaults in their social networks. A friend’s default decision more than doubles a user’s default rate. We also find that not all friends have equal influences. The social influence is highly significant among online friends mad...

We present an intensity-based model of correlated defaults with application to the valuation of defaultable securities. The model assumes that the conditional hazard rate of default is driven by external common factors as well as other defaults in the system. A proposed recursive procedure can be used to generate default times with a broad class of correlation structures. We compare this approa...

The concept of stereotype seems to be really adapted when wishing to extract meaningful descriptions from data, especially when there is a high rate of missing values. This paper proposes a logical framework called default clustering based on default reasoning and local search techniques. The first experiment deals with the rediscovering of initial descriptions from artificial data sets, the se...

We study a three-firm contagion model with counterparty risk and apply this model to price defaultable bonds and credit default swap CDS . This model assumes that default intensities are driven by external common factors as well as other defaults in the system. Using the “total hazard” approach, default times can be generated and the joint density function is obtained. We represent the pricing ...

It is well known that a defaultable bond subject to recovery of market value (RMV) is priced by discounting the payoff with an adjusted short rate by the loss rate and the default intensity rate of the issuer. We show that the formula can be generalized for a defaultable contract subject to RMV with heterogeneous multiple reference firms. The discounting short rate is adjusted by sum of the los...