103 citations · 103 across the 4 of their papers we have counts for
6 papers
Mod-Poisson approximation schemes: Applications to credit risk
Pierre-Loïc Méliot, Ashkan Nikeghbali, Gabriele Visentin
We introduce a new numerical approximation method for functionals of factor credit portfolio models based on the theory of mod- convergence and mod- approximation schemes. Th…
Mod-Poisson approximation schemes and higher-order Chen-Stein inequalities
Pierre-Loïc Méliot, Ashkan Nikeghbali, Gabriele Visentin
In this article, we provide an extension of the Chen-Stein inequality for Poisson approximation in the total variation distance for sums of independent Bernoulli random variables i…
Universal approximation of credit portfolio losses using Restricted Boltzmann Machines
Giuseppe Genovese, Ashkan Nikeghbali, Nicola Serra +1
We introduce a new portfolio credit risk model based on Restricted Boltzmann Machines (RBMs), which are stochastic neural networks capable of universal approximation of loss distri…
A default system with overspilling contagion
Delia Coculescu, Gabriele Visentin
In classical contagion models, default systems are Markovian conditionally on the observation of their stochastic environment, with interacting intensities. This necessitates that…
Rethinking Financial Contagion
Gabriele Visentin, Stefano Battiston, Marco D'Errico
How, and to what extent, does an interconnected financial system endogenously amplify external shocks? This paper attempts to reconcile some apparently different views emerged afte…
Network Valuation in Financial Systems
Paolo Barucca, Marco Bardoscia, Fabio Caccioli +4
We introduce a general model for the balance-sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing…