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Due to the variety of corporate risks in turmoil markets and the consequent financial distress especially in COVID-19 time, this paper investigates corporate resilience and compares different types of resilience that can be potential…
We quantify the amount of information filtered by different hierarchical clustering methods on correlations between stock returns comparing it with the underlying industrial activity structure. Specifically, we apply, for the first time to…
We discuss the parameter estimation of the probability of default (PD), the correlation between the obligors, and a phase transition. In our previous work, we studied the problem using the beta-binomial distribution. A non-equilibrium phase…
In terms of transfer entropy, we investigated the strength and the direction of information transfer in the US stock market. Through the directionality of the information transfer, the more influential company between the correlated ones…
Understanding how credit flows through inter-firm networks is critical for assessing financial stability and systemic risk. In this study, we introduce DebtStreamness, a novel metric inspired by trophic levels in ecological food webs, to…
According to theoretical models of valuing risky corporate securities, risk of default is primary component in overall yield spread. However, sizable empirical literature considers it otherwise by giving more importance to non-default risk…
Why do companies choose particular capital structures? A compelling answer to this question remains elusive despite extensive research. In this article, we use double machine learning to examine the heterogeneous causal effect of credit…
Identifying and exploring emerging trends in the news is becoming more essential than ever with many changes occurring worldwide due to the global health crises. However, most of the recent research has focused mainly on detecting trends in…
We give a detailed account of correlations between credit sector/quality and treasury curve factors, using the robust framework of the Barclays POINT Global Risk Model. Consistent with earlier studies, we find a strong negative correlation…
The CD index is a widely used measure of disruptive inventions. Most studies compute it using USPTO data. This creates a puzzle because the US appears less disruptive than European and Asian countries. We show that this largely stems from…
This paper puts forward that money managers and prospective investors exchange information and ideas about assets directly through word-of-mouth communication. This, in turn, affects the performance of the mutual funds and their respective…
Labor market institutions are central for modern economies, and their polices can directly affect unemployment rates and economic growth. At the individual level, unemployment often has a detrimental impact on people's well-being and…
We develop information-theoretic measures of spatial structure and pattern in more than one dimension. As is well known, the entropy density of a two-dimensional configuration can be efficiently and accurately estimated via a converging…
The Mutual Reinforcement Effect (MRE) investigates the synergistic relationship between word-level and text-level classifications in text classification tasks. It posits that the performance of both classification levels can be mutually…
The spread of online reviews, ratings and opinions and its growing influence on people's behavior and decisions boosted the interest to extract meaningful information from this data deluge. Hence, crowdsourced ratings of products and…
A stream of unstructured news can be a valuable source of hidden relations between different entities, such as financial institutions, countries, or persons. We present an approach to continuously collect online news, recognize relevant…
Credit risk prediction is an effective way of evaluating whether a potential borrower will repay a loan, particularly in peer-to-peer lending where class imbalance problems are prevalent. However, few credit risk prediction models for…
Information-driven networks include a large category of networking systems, where network nodes are aware of information delivered and thus can not only forward data packets but may also perform information processing. In many situations,…
The recent financial crisis has stressed the need to understand financial systems as networks of interdependent countries, where cross-border financial linkages play the fundamental role. It has also been emphasized that the relevance of…
The Information Plane is a conceptual framework used to analyze the flow of information in neural networks, but traditional methods based on activations may not fully capture the dynamics of information processing. This paper introduces a…