Archivio Istituzionale della RicercaWe 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.
Negative correlations in Ising models of credit risk / Emonti, Chiara; Fontana, Roberto. - STAMPA. - (2025), pp. 182-187. ( SIS 2025 – Statistics for Innovation Genova 16-18 Jube 2025).
Negative correlations in Ising models of credit risk
Emonti, Chiara;Fontana, Roberto
2025
Abstract
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.
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https://hdl.handle.net/11583/3010615
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