{"id":"https://openalex.org/W2950386860","doi":"https://doi.org/10.1137/130944060","title":"Default Clustering in Large Pools: Large Deviations","display_name":"Default Clustering in Large Pools: Large Deviations","publication_year":2015,"publication_date":"2015-01-01","ids":{"openalex":"https://openalex.org/W2950386860","doi":"https://doi.org/10.1137/130944060","mag":"2950386860"},"language":"en","primary_location":{"id":"doi:10.1137/130944060","is_oa":false,"landing_page_url":"https://doi.org/10.1137/130944060","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},"type":"preprint","indexed_in":["arxiv","crossref","datacite"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1311.0498","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5103169334","display_name":"Konstantinos Spiliopoulos","orcid":"https://orcid.org/0000-0003-2021-6426"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Konstantinos Spiliopoulos","raw_affiliation_strings":["Boston Univ"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Boston Univ","institution_ids":[]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5018183293","display_name":"Richard B. Sowers","orcid":"https://orcid.org/0000-0002-0531-7918"},"institutions":[],"countries":[],"is_corresponding":false,"raw_author_name":"Richard B. Sowers","raw_affiliation_strings":["Industrial and Enterprise Systems Engineering"],"raw_orcid":null,"affiliations":[{"raw_affiliation_string":"Industrial and Enterprise Systems Engineering","institution_ids":[]}]}],"institutions":[],"countries_distinct_count":0,"institutions_distinct_count":2,"corresponding_author_ids":[],"corresponding_institution_ids":[],"apc_list":null,"apc_paid":null,"fwci":0.0,"has_fulltext":true,"cited_by_count":0,"citation_normalized_percentile":{"value":0.41227938,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":null,"biblio":{"volume":"6","issue":"1","first_page":"86","last_page":"116"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T11496","display_name":"Credit Risk and Financial Regulations","score":0.9994000196456909,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9977999925613403,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T10282","display_name":"Financial Risk and Volatility Modeling","score":0.9897000193595886,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/default","display_name":"Default","score":0.7569989562034607},{"id":"https://openalex.org/keywords/poisson-distribution","display_name":"Poisson distribution","score":0.5961105823516846},{"id":"https://openalex.org/keywords/cluster-analysis","display_name":"Cluster analysis","score":0.5610332489013672},{"id":"https://openalex.org/keywords/econometrics","display_name":"Econometrics","score":0.5525779128074646},{"id":"https://openalex.org/keywords/portfolio","display_name":"Portfolio","score":0.537185788154602},{"id":"https://openalex.org/keywords/large-deviations-theory","display_name":"Large deviations theory","score":0.4891357719898224},{"id":"https://openalex.org/keywords/rare-events","display_name":"Rare events","score":0.4887256622314453},{"id":"https://openalex.org/keywords/path","display_name":"Path (computing)","score":0.46424803137779236},{"id":"https://openalex.org/keywords/rate-function","display_name":"Rate function","score":0.46312981843948364},{"id":"https://openalex.org/keywords/function","display_name":"Function (biology)","score":0.4618458151817322},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.44968312978744507},{"id":"https://openalex.org/keywords/computation","display_name":"Computation","score":0.4121326804161072},{"id":"https://openalex.org/keywords/economics","display_name":"Economics","score":0.33624720573425293},{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.2875831723213196},{"id":"https://openalex.org/keywords/financial-economics","display_name":"Financial economics","score":0.20029696822166443},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.19806933403015137},{"id":"https://openalex.org/keywords/artificial-intelligence","display_name":"Artificial intelligence","score":0.1322403848171234},{"id":"https://openalex.org/keywords/algorithm","display_name":"Algorithm","score":0.12488037347793579}],"concepts":[{"id":"https://openalex.org/C69637215","wikidata":"https://www.wikidata.org/wiki/Q702362","display_name":"Default","level":2,"score":0.7569989562034607},{"id":"https://openalex.org/C100906024","wikidata":"https://www.wikidata.org/wiki/Q205692","display_name":"Poisson distribution","level":2,"score":0.5961105823516846},{"id":"https://openalex.org/C73555534","wikidata":"https://www.wikidata.org/wiki/Q622825","display_name":"Cluster analysis","level":2,"score":0.5610332489013672},{"id":"https://openalex.org/C149782125","wikidata":"https://www.wikidata.org/wiki/Q160039","display_name":"Econometrics","level":1,"score":0.5525779128074646},{"id":"https://openalex.org/C2780821815","wikidata":"https://www.wikidata.org/wiki/Q5340806","display_name":"Portfolio","level":2,"score":0.537185788154602},{"id":"https://openalex.org/C75438885","wikidata":"https://www.wikidata.org/wiki/Q3403615","display_name":"Large deviations theory","level":2,"score":0.4891357719898224},{"id":"https://openalex.org/C2777317252","wikidata":"https://www.wikidata.org/wiki/Q18393516","display_name":"Rare events","level":2,"score":0.4887256622314453},{"id":"https://openalex.org/C2777735758","wikidata":"https://www.wikidata.org/wiki/Q817765","display_name":"Path (computing)","level":2,"score":0.46424803137779236},{"id":"https://openalex.org/C15964574","wikidata":"https://www.wikidata.org/wiki/Q7295534","display_name":"Rate function","level":3,"score":0.46312981843948364},{"id":"https://openalex.org/C14036430","wikidata":"https://www.wikidata.org/wiki/Q3736076","display_name":"Function (biology)","level":2,"score":0.4618458151817322},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.44968312978744507},{"id":"https://openalex.org/C45374587","wikidata":"https://www.wikidata.org/wiki/Q12525525","display_name":"Computation","level":2,"score":0.4121326804161072},{"id":"https://openalex.org/C162324750","wikidata":"https://www.wikidata.org/wiki/Q8134","display_name":"Economics","level":0,"score":0.33624720573425293},{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.2875831723213196},{"id":"https://openalex.org/C106159729","wikidata":"https://www.wikidata.org/wiki/Q2294553","display_name":"Financial economics","level":1,"score":0.20029696822166443},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.19806933403015137},{"id":"https://openalex.org/C154945302","wikidata":"https://www.wikidata.org/wiki/Q11660","display_name":"Artificial intelligence","level":1,"score":0.1322403848171234},{"id":"https://openalex.org/C11413529","wikidata":"https://www.wikidata.org/wiki/Q8366","display_name":"Algorithm","level":1,"score":0.12488037347793579},{"id":"https://openalex.org/C199360897","wikidata":"https://www.wikidata.org/wiki/Q9143","display_name":"Programming language","level":1,"score":0.0},{"id":"https://openalex.org/C86803240","wikidata":"https://www.wikidata.org/wiki/Q420","display_name":"Biology","level":0,"score":0.0},{"id":"https://openalex.org/C78458016","wikidata":"https://www.wikidata.org/wiki/Q840400","display_name":"Evolutionary biology","level":1,"score":0.0},{"id":"https://openalex.org/C10138342","wikidata":"https://www.wikidata.org/wiki/Q43015","display_name":"Finance","level":1,"score":0.0}],"mesh":[],"locations_count":6,"locations":[{"id":"doi:10.1137/130944060","is_oa":false,"landing_page_url":"https://doi.org/10.1137/130944060","pdf_url":null,"source":{"id":"https://openalex.org/S75627377","display_name":"SIAM Journal on Financial Mathematics","issn_l":"1945-497X","issn":["1945-497X"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Financial Mathematics","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:1311.0498","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1311.0498","pdf_url":"https://arxiv.org/pdf/1311.0498","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"text"},{"id":"mag:2950386860","is_oa":true,"landing_page_url":"https://arxiv.org/pdf/1311.0498.pdf","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"arXiv (Cornell University)","raw_type":null},{"id":"mag:3123784333","is_oa":false,"landing_page_url":"https://econpapers.repec.org/RePEc:arx:papers:1311.0498","pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"RePEc: Research Papers in Economics","raw_type":null},{"id":"pmh:oai:RePEc:arx:papers:1311.0498","is_oa":false,"landing_page_url":null,"pdf_url":null,"source":{"id":"https://openalex.org/S4306401271","display_name":"RePEc: Research Papers in Economics","issn_l":null,"issn":null,"is_oa":false,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I77793887","host_organization_name":"Federal Reserve Bank of St. Louis","host_organization_lineage":["https://openalex.org/I77793887"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"preprint"},{"id":"doi:10.48550/arxiv.1311.0498","is_oa":true,"landing_page_url":"https://doi.org/10.48550/arxiv.1311.0498","pdf_url":null,"source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":null,"is_accepted":false,"is_published":null,"raw_source_name":null,"raw_type":"article"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1311.0498","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1311.0498","pdf_url":"https://arxiv.org/pdf/1311.0498","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":"","raw_type":"text"},"sustainable_development_goals":[],"awards":[{"id":"https://openalex.org/G3279812375","display_name":"Monte Carlo Methods, Metastability and Stochastic Processes with Multiple Scales","funder_award_id":"1312124","funder_id":"https://openalex.org/F4320306076","funder_display_name":"National Science Foundation"},{"id":"https://openalex.org/G6494707589","display_name":"Systemic risk and topology","funder_award_id":"1312071","funder_id":"https://openalex.org/F4320306076","funder_display_name":"National Science Foundation"}],"funders":[{"id":"https://openalex.org/F4320306076","display_name":"National Science Foundation","ror":"https://ror.org/021nxhr62"}],"has_content":{"pdf":true,"grobid_xml":true},"content_urls":{"pdf":"https://content.openalex.org/works/W2950386860.pdf","grobid_xml":"https://content.openalex.org/works/W2950386860.grobid-xml"},"referenced_works_count":20,"referenced_works":["https://openalex.org/W1677890546","https://openalex.org/W1970111697","https://openalex.org/W2017903822","https://openalex.org/W2040826686","https://openalex.org/W2059120410","https://openalex.org/W2072607993","https://openalex.org/W2080834695","https://openalex.org/W2096470041","https://openalex.org/W2116687987","https://openalex.org/W2119062437","https://openalex.org/W2126794261","https://openalex.org/W2143093682","https://openalex.org/W2170127976","https://openalex.org/W3102149128","https://openalex.org/W3121958211","https://openalex.org/W3122456883","https://openalex.org/W3123321876","https://openalex.org/W3124423280","https://openalex.org/W3124954191","https://openalex.org/W4243316492"],"related_works":["https://openalex.org/W3123784333","https://openalex.org/W3123026035","https://openalex.org/W3121707273","https://openalex.org/W1511955692","https://openalex.org/W2104079134","https://openalex.org/W1828642018","https://openalex.org/W128331717","https://openalex.org/W2611361577","https://openalex.org/W3000476563","https://openalex.org/W3027767675","https://openalex.org/W2130387494","https://openalex.org/W1557051076","https://openalex.org/W2175290448","https://openalex.org/W3124468753","https://openalex.org/W2708673518","https://openalex.org/W2118858177","https://openalex.org/W3088487141","https://openalex.org/W3105453593","https://openalex.org/W2964325055","https://openalex.org/W2898379474"],"abstract_inverted_index":{"We":[0,50],"study":[1],"large":[2,12,53,111,129],"deviations":[3,54],"and":[4,23,40,82,114,122],"rare":[5],"default":[6,25,38,59,112,130],"clustering":[7],"events":[8,22],"in":[9,31,72,119],"a":[10],"dynamic":[11],"heterogeneous":[13],"portfolio":[14],"of":[15,27,84,103,106],"interconnected":[16],"components.":[17,49],"Defaults":[18],"come":[19],"as":[20],"Poisson":[21],"the":[24,28,32,36,52,57,85,92,98,104,107,115],"intensities":[26],"different":[29],"components":[30],"system":[33,93],"interact":[34],"through":[35],"empirical":[37,58],"rate":[39,60,68],"via":[41],"systematic":[42,123],"effects":[43],"that":[44,76],"are":[45],"common":[46],"to":[47,79,89,110,126,128,138],"all":[48],"establish":[51],"principle":[55],"for":[56,61,91],"such":[62,142],"an":[63,73],"interacting":[64],"particle":[65],"system.":[66],"The":[67],"function":[69],"is":[70,77],"derived":[71],"explicit":[74],"form":[75],"amenable":[78],"numerical":[80],"computations":[81],"derivation":[83],"most":[86,116],"likely":[87,117],"path":[88],"failure":[90],"itself.":[94],"Numerical":[95],"studies":[96],"illustrate":[97],"theoretical":[99],"findings.":[100],"An":[101],"understanding":[102],"role":[105],"preferred":[108],"paths":[109],"rates":[113,131],"ways":[118],"which":[120],"contagion":[121],"risk":[124],"combine":[125],"lead":[127],"would":[132],"give":[133],"useful":[134],"insights":[135],"into":[136],"how":[137],"optimally":[139],"safeguard":[140],"against":[141],"events.":[143]},"counts_by_year":[],"updated_date":"2026-06-22T08:00:12.763002","created_date":"2025-10-10T00:00:00"}