Related papers: A Dynamical Model for Operational Risk in Banks
A problem of optimal debt management is modeled as a noncooperative game between a borrower and a pool of lenders, in infinite time horizon with exponential discount. The yearly income of the borrower is governed by a stochastic process.…
Investigation of the critical levels and catastrophes in the complex systems of different nature is useful and perspective. Mathematical modeling and analysis is presented for revealing and investigation of the phenomena and critical levels…
Use of machine learning to perform database operations, such as indexing, cardinality estimation, and sorting, is shown to provide substantial performance benefits. However, when datasets change and data distribution shifts, empirical…
In this short note, we discuss the basic approach to computational modeling of dynamical systems. If a dynamical system contains multiple time scales, ranging from very fast to slow, computational solution of the dynamical system can be…
Banks routinely use neural networks to make decisions. While these models offer higher accuracy, they are susceptible to adversarial attacks, a risk often overlooked in the context of event sequences, particularly sequences of financial…
With the rapid growth of technology, especially the widespread application of artificial intelligence (AI) technology, the risk management level of commercial banks is constantly reaching new heights. In the current wave of digitalization,…
In this paper we introduce a generalized extension of the Eisenberg-Noe model of financial contagion to allow for time dynamics of the interbank liabilities, including a dynamic examination of default risk. This framework separates the cash…
Diffusion in a linear potential in the presence of position-dependent killing is used to mimic a default process. Different assumptions regarding transport coefficients, initial conditions, and elasticity of the killing measure lead to…
This paper studies a risk-sensitive decision-making problem under uncertainty. It considers a decision-making process that unfolds over a fixed number of stages, in which a decision-maker chooses among multiple alternatives, some of which…
This paper presents a description of the mechanical operations of banking as used in modern banking systems regulated under the Basel Accords, in order to provide support for a verifiable and complete description of the banking system…
Banking fraud causes billion-dollar losses for banks worldwide. In fraud detection, graphs help understand complex transaction patterns and discovering new fraud schemes. This work explores graph patterns in a real-world transaction dataset…
Model-based safety analysis approaches aim at finding critical failure combinations by analysis of models of the whole system (i.e. software, hardware, failure modes and environment). The advantage of these methods compared to traditional…
By adopting a distributional viewpoint on law-invariant convex risk measures, we construct dynamics risk measures (DRMs) at the distributional level. We then apply these DRMs to investigate Markov decision processes, incorporating latent…
Electricity systems are experiencing increased effects of randomness and variability due to emerging stochastic assets. The increased effects introduce new uncertainties into power systems that can impact system operability and reliability.…
This paper presents two cases of random banking data generators based on migration matrices and scoring rules. The banking data generator is a new hope in researches of finding the proving method of comparisons of various credit scoring…
The increasing frequency, impact, consequence and sophistication of cybersecurity attacks is becoming a strategic concern for boards and executive management of organisations. Consequently, in addition to focusing on productivity and…
Under the Basel II standards, the Operational Risk (OpRisk) advanced measurement approach allows a provision for reduction of capital as a result of insurance mitigation of up to 20%. This paper studies the behaviour of different insurance…
We present a solution to an optimal stopping problem for a process with a wide-class of novel dynamics. The dynamics model the support/resistance line concept from financial technical analysis.
Dynamical sampling refers to a class of problems in which space-time samples are taken from a signal evolving under an underlying dynamical system. The goal is to use these samples to recover relevant information about the system, such as…
Systems that exhibit complex behaviours are often found in a particular dynamical condition, poised between order and disorder. This observation is at the core of the so-called criticality hypothesis, which states that systems in a…