Related papers: Spreadsheets and the Financial Collapse

An interbank market lets participants pool the risk arising from the combination of illiquid investments and random withdrawals by depositors. But it also creates the potential for one bank's failure to trigger off avalanches of further…

In statistical analysis, many classic results require the assumption that models have finite mean or variance, including the most standard versions of the laws of large numbers and the central limit theorems. Such an assumption may not be…

This paper provides the mathematical foundation for polynomial diffusions. They play an important role in a growing range of applications in finance, including financial market models for interest rates, credit risk, stochastic volatility,…

Our earlier paper "Patterns of Patterns" combined three techniques from training, futures studies, and design in a design pattern called PLACARD that helps groups of people work together effectively. We used that pattern in five hands-on…

A financial system contains many elements networked by their relationships. Extensive works show that topological structure of the network stores rich information on evolutionary behaviors of the system such as early warning signals of…

The usual aim of spreadsheet audit is to verify correctness. There are two problems with this: first, it is often difficult to tell whether the spreadsheets in question are correct, and second, even if they are, they may still give the…

In the wake of the ongoing global financial crisis, interdependencies among banks have come into focus in trying to assess systemic risk. To date, such analysis has largely been based on numerical data. By contrast, this study attempts to…

Systemic financial risk refers to the simultaneous failure or destabilization of multiple financial institutions, often triggered by contagion mechanisms or common exposures to shocks. In this paper, we present a dynamical model of bank…

Common asset holding by financial institutions, namely portfolio overlap, is nowadays regarded as an important channel for financial contagion with the potential to trigger fire sales and thus severe losses at the systemic level. In this…

The inability to see and quantify systemic financial risk comes at an immense social cost. Systemic risk in the financial system arises to a large extent as a consequence of the interconnectedness of its institutions, which are linked…

Financial instability has become a significant issue in today's society. While research typically focuses on financial aspects, there is a tendency to overlook time-related aspects of unstable work schedules. The inability to rely on…

In this chapter the complex systems are discussed in the context of economic and business policy and decision making. It will be showed and motivated that social systems are typically chaotic, non-linear and/or non-equilibrium and therefore…

This paper presents the authors recommended practices for spreadsheet testing. Documented spreadsheet error rates are unacceptable in corporations today. Although improvements are needed throughout the systems development life cycle,…

We analyse time series of CDS spreads for a set of major US and European institutions on a pe- riod overlapping the recent financial crisis. We extend the existing methodology of {\epsilon}-drawdowns to the one of joint {\epsilon}-drawups,…

The document provides an overview of financial climate risks. It delves into how climate change impacts the global financial system, distinguishing between physical risks (such as extreme weather events) and transition risks (stemming from…

This paper argues that IT failures diagnosed as errors at the technical or project management level are often mistakenly pointing to symptoms of failure rather than a project's underlying socio-complexity (complexity resulting from the…

In the aftermath of the financial crisis, supervisory authorities have considerably altered the mode of operation of financial stress testing. Despite these efforts, significant concerns and extensive criticism have been raised by market…

Supply chain disruptions constitute an often underestimated risk for financial stability. As in financial networks, systemic risks in production networks arises when the local failure of one firm impacts the production of others and might…

The blockchain technology promises to transform finance, money and even governments. However, analyses of blockchain applicability and robustness typically focus on isolated systems whose actors contribute mainly by running the consensus…

We set up a structural model to study credit risk for a portfolio containing several or many credit contracts. The model is based on a jump--diffusion process for the risk factors, i.e. for the company assets. We also include correlations…