Pith Number

pith:42IFCQNU

pith:2026:42IFCQNUERMQUQX3EIQ4FKA3WE

not attested not anchored not stored refs pending

Identifiability of Contagion Components amid Environmental Fluctuations in Aggregated Default Counts

Shintaro Mori

Most annual default clustering arises from cross-year shifts in conditions rather than within-year contagion after aggregation.

arxiv:2604.18118 v3 · 2026-04-20 · q-fin.RM · cond-mat.stat-mech

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Claims

C1strongest claim

Under this extension, most of the variation in annual default counts is explained by cross-year movements in default conditions rather than by within-year contagion. What remains, however, depends on the interaction mechanism. In the Torri model, threshold-type contagion does not leave a stable component that can be separated from macroeconomic heterogeneity after aggregation. In the Lo-Davis model, by contrast, a small but persistent component remains visible in both the variance decomposition and the tail behavior.

C2weakest assumption

That the three specific dependence structures (cumulative contagion, threshold contagion, common factor) are the only relevant mechanisms and that allowing default probability to vary freely across years fully captures all macroeconomic heterogeneity without leaving residual confounding factors.

C3one line summary

Aggregated default counts show that macroeconomic fluctuations explain most annual variation, but cumulative contagion leaves a small detectable residual while threshold contagion does not.

Receipt and verification

First computed	2026-06-02T01:04:16.328586Z
Builder	pith-number-builder-2026-05-17-v1
Signature	Pith Ed25519 (`pith-v1-2026-05`) · public key
Schema	pith-number/v1.0

Canonical hash

e6905141b424590a42fb2221c2a81bb12a8c905a7999dab7dc935f994b2321c9

Aliases

arxiv: 2604.18118 · arxiv_version: 2604.18118v3 · doi: 10.48550/arxiv.2604.18118 · pith_short_12: 42IFCQNUERMQ · pith_short_16: 42IFCQNUERMQUQX3 · pith_short_8: 42IFCQNU

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Verify this Pith Number yourself

curl -sH 'Accept: application/ld+json' https://pith.science/pith/42IFCQNUERMQUQX3EIQ4FKA3WE \
  | jq -c '.canonical_record' \
  | python3 -c "import sys,json,hashlib; b=json.dumps(json.loads(sys.stdin.read()), sort_keys=True, separators=(',',':'), ensure_ascii=False).encode(); print(hashlib.sha256(b).hexdigest())"
# expect: e6905141b424590a42fb2221c2a81bb12a8c905a7999dab7dc935f994b2321c9

Canonical record JSON

{
  "metadata": {
    "abstract_canon_sha256": "6767d5efff0f2d2cc9266e48fcce58f554bd1b3419e14baab712a1569134bc5a",
    "cross_cats_sorted": [
      "cond-mat.stat-mech"
    ],
    "license": "http://arxiv.org/licenses/nonexclusive-distrib/1.0/",
    "primary_cat": "q-fin.RM",
    "submitted_at": "2026-04-20T11:37:13Z",
    "title_canon_sha256": "1708261a8c1eb3c2e9f14707e90d2da074ad7810c9e9071fcbd96daa4e104c8d"
  },
  "schema_version": "1.0",
  "source": {
    "id": "2604.18118",
    "kind": "arxiv",
    "version": 3
  }
}