We analyze a subclass of Ising models in the context of credit risk, focusing on Dandelion models when the correlations $\rho$ between the central node and each non-central node are negative. We establish the possible range of values for $\rho$ and derive an explicit formula linking the correlation between any pair of non-central nodes to $\rho$. The paper concludes with a simulation study.
翻译:我们在信用风险背景下分析了一类伊辛模型的子类,重点研究了中心节点与每个非中心节点间相关系数$\rho$为负值的蒲公英模型。我们确定了$\rho$的可能取值范围,并推导出任意两个非中心节点间相关系数与$\rho$关系的显式表达式。论文最后通过模拟研究进行验证。