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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.

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Negative Correlations in Ising Models of Credit Risk

  • 会议论文

  • 发表日期：

    2025年

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  • Chiara Emonti,
  • Roberto Fontana

摘要

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.