The scope of financial systemic risk research encompasses a wide range of channels and effects, including asset correlation shocks, default contagion, illiquidity contagion, and asset firesales. For example, insolvency of a given bank will create a shock to the asset side of the balance sheet of...

A probabilistic framework is introduced that represents stylized banking networks and aims to predict the size of contagion events. In contrast to previous work on random financial networks, which assumes independent connections between banks, the possibility of disassortative edge probabilities...

We extend the now classic structural credit modeling approach of Black and Cox to a class of "two-factor" models that unify equity securities such as options written on the stock price, and credit products like bonds and credit default swaps. In our approach, the two sides of the stylized...

Human activities increasingly take place in online environments, providing novel opportunities for relating individual behaviors to population-level outcomes. In this paper, we introduce a simple generative model for the collective behavior of millions of social networking site users who are...

This paper introduces a probabilistic framework for the joint survivorship of couples in the context of dynamic stochastic mortality models. The new framework gives an intuitive and flexible pairwise cohort-based probabilistic mechanism that can accommodate both deterministic and stochastic...

Motivated by the interplay between structural and reduced form credit models, we propose to model the firm value process as a time-changed Brownian motion that may include jumps and stochastic volatility effects, and to study the first passage problem for such processes. We are lead to consider...