Probabilistic cellular automata (PCA) are interacting discrete stochastic dynamical systems
used as a modeling tool for a wide range of natural and societal phenomena. Their key …

We study large deviations and rare default clustering events in a dynamic large
heterogeneous portfolio of interconnected components. Defaults come as Poisson events …

The purpose of this paper is to analyze how disorder affects the dynamics of critical
fluctuations for two different types of interacting particle system: the Curie-Weiss and …

We develop a dynamic structural model for the wealth of individual mortgagors in a
mortgage pool. We model the process of default and prepayment and, by taking a limit as …

We present a new mathematical model for multi-name credit that employs stochastic
flocking. Flocking mechanisms have been used in a variety of models of biological …

We discuss a special Pólya lattice model to study cascading failures of firms in a simple
industrial economy. In particular, every firm is represented by a Pólya-like urn, whose …

We analyze a class of dynamic binary choice models with social interaction. Agents are
heterogeneous and their degree of conformism (taste externality) changes over time …

Enterprise financial risk analysis aims at predicting the future financial risk of enterprises.
Due to its wide and significant application, enterprise financial risk analysis has always been …

We consider an asymptotic SPDE description of a large portfolio model where the
underlying asset prices evolve according to certain stochastic volatility models with default …

We consider a large collection of dynamically interacting components defined on a weighted-
directed graph determining the impact of the default of one component to another one. We …