Negative correlations in Ising models of credit risk
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arXiv
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| Main Authors: | , |
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| Format: | Preprint |
| Published: |
2025
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| _version_ | 1866916635508473856 |
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| author | Emonti, Chiara Fontana, Roberto |
| author_facet | Emonti, Chiara Fontana, Roberto |
| contents | We analyze a subclass of Ising models in the context of credit risk, focusing on Dandelion models when the correlations $ρ$ between the central node and each non-central node are negative. We establish the possible range of values for $ρ$ and derive an explicit formula linking the correlation between any pair of non-central nodes to $ρ$. The paper concludes with a simulation study. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2502_21199 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Negative correlations in Ising models of credit risk Emonti, Chiara Fontana, Roberto Applications We analyze a subclass of Ising models in the context of credit risk, focusing on Dandelion models when the correlations $ρ$ between the central node and each non-central node are negative. We establish the possible range of values for $ρ$ and derive an explicit formula linking the correlation between any pair of non-central nodes to $ρ$. The paper concludes with a simulation study. |
| title | Negative correlations in Ising models of credit risk |
| topic | Applications |
| url | https://arxiv.org/abs/2502.21199 |