{
  "annotation_id": "1d4a393b-b971-46cb-97f7-94a8c2d80291",
  "date_created": "2026-03-02T18:01:14.519000Z",
  "date_modified": "2026-03-02T18:01:14.519000Z",
  "file_hash": "6ae6f9d7e0f653c6c170e6b007350a8b9c0b4bee2066589b435fb8818ef95b67",
  "private": false,
  "record": {
    "abstract": "We introduce an infectious default and recovery model for N obligors.\nObligors are assumed to be exchangeable and their states are described by N\nBernoulli random variables S_{i} (i=1,...,N). They are expressed by multiplying\nindependent Bernoulli variables X_{i},Y_{ij},Y\u0027_{ij}, and default and recovery\ninfections are described by Y_{ij} and Y\u0027_{ij}. We obtain the default\nprobability function P(k) for k defaults. Taking its continuous limit, we find\ntwo nontrivial probability distributions with the reflection symmetry of S_{i}\n\\leftrightarrow 1-S_{i}. Their profiles are singular and oscillating and we\nunderstand it theoretically. We also compare P(k) with an implied default\ndistribution function inferred from the quotes of iTraxx-CJ. In order to\nexplain the behavior of the implied distribution, the recovery effect may be\nnecessary.",
    "arxiv_id": "physics/0610275",
    "authors": [
      "Ayaka Sakata",
      "Masato Hisakado",
      "Shintaro Mori"
    ],
    "categories": [
      "physics.data-an",
      "q-fin.PR"
    ],
    "doi": "10.1143/JPSJ.76.054801",
    "title": "Infectious Default Model with Recovery and Continuous Limit",
    "url": "https://arxiv.org/abs/physics/0610275"
  },
  "schema_id": "dorsal/arxiv",
  "source": {
    "execution_id": "77d8dc3d-2886-4a54-a927-a6b0cc25c7d6",
    "id": "arXiv Dataset IDs",
    "type": "Model",
    "variant": "snapshot-2026-03-01",
    "version": "0.1.0"
  },
  "user_id": 1000002
}