Journal of Mathematical Techniques and Computational Mathematics(JMTCM)

OIS Market Research Group, Alberta iela 1-7, R¯iga, LV-1050, Latvia

Publications

• Research Article   
  Duration vs. Catastrophe: A Survival-Based Decomposition of Financial Fragility via the Clock of Regimes Model*
  Author(s): Oscar Linares* and Ričards Bulavs
  
  This paper implements the Clock of Regimes (COR) model for analyzing financial fragility through the lens of survival dynamics and ruin probability of the E-mini S&P 500 futures (ES) and the S&P 500 index (SPX) during the 2007-2009 Global Financial Crisis crash. By rejecting the standard assumption of ergodicity, the study aims to embed heavy- tailed regime switching within an open architecture where probability mass—defined as probability accumulated over time—dissipates via regime-specific hazard rates. Fragility decomposes into two channels: duration fragility, where regimes remain persis- tently trapped in unfavorable conditions, and catastrophe fragility, where crisis regimes generate extreme tail losses and rapid wealth destruction. Hazard-induced openness accelerates the buildup of ruin probability in both. Empirical results for the E-mini S&P 500 future.. Read More»
  

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