Mykhaylo Shkolnikov

  1. Two Models of Stochastic Loss Given Default.

    Authors: Simone Farinelli, Mykhaylo Shkolnikov
    Subjects: Risk Management
    Abstract

    We propose two structural models for stochastic losses given default which
    allow to model the credit losses of a portfolio of defaultable financial
    instruments. The credit losses are integrated into a structural model of
    default events accounting for correlations between the default events and the
    associated losses. We show how the models can be calibrated and analyze the
    impact of correlations between the occurrences of defaults and recoveries by
    testing our models for a representative sample portfolio.

  2. Large systems of diffusions interacting through their ranks.

    Authors: Mykhaylo Shkolnikov
    Subjects: Probability
    Abstract

    We study the limiting behaviour of the empirical measure of a system of
    diffusions interacting through their ranks when the number of diffusions tends
    to infinity. We prove that the limiting dynamics is given by a McKean-Vlasov
    evolution equation. Moreover, we show that in a wide range of cases the
    evolution of the cumulative distribution function under the limiting dynamics
    is governed by the generalized porous medium equation with convection.

  3. Competing particle systems evolving by interacting Levy processes.

    Authors: Mykhaylo Shkolnikov
    Subjects: Probability
    Abstract

    We consider finite and infinite systems of particles on the real line and
    half-line evolving in continuous time. Hereby, the particles are driven by
    i.i.d. Levy processes endowed with rank-dependent drift and diffusion
    coefficients. In the finite systems we show that the processes of gaps in the
    respective particle configurations possess unique invariant distributions and
    prove the convergence of the gap processes to the latter in the total variation
    distance, assuming a bound on the jumps of the Levy processes.

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