May’s celebrated theoretical work of the 70’s contradicted the established paradigm by demonstrating that complexity leads to instability in biological systems. Here May’s random-matrix modelling ...
A block-structured model for the reconstruction of directed and weighted financial networks spanning multiple countries is developed. In a first step, link probability matrixes are derived via a ...
Random sampling from a multivariate normal distribution is essential for Monte Carlo simulations in many credit risk models. For a portfolio of N obligors, standard methods usually require O(N2) ...
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