Related papers: Rating models: emerging market distinctions
As demonstrated during the recent financial crisis, regulators require additional analytical tools to assess systemic risk in the financial sector. This paper describes one such tool; namely a novel market modeling and analysis capability.…
In the late 90's, after severe financial and economic crisis, accompanied by inflation and exchange rate instability, Eastern Europe emerged into two groups of countries with radically contrasting monetary regimes (Currency Boards and…
Rating procedure is crucial in many applied fields (e.g., educational, clinical, emergency). It implies that a rater (e.g., teacher, doctor) rates a subject (e.g., student, doctor) on a rating scale. Given raters variability, several…
Emergent effects can arise in multi-agent systems (MAS) where execution is decentralized and reliant on local information. These effects may range from minor deviations in behavior to catastrophic system failures. To formally define these…
Utilizing established risk factors and prognostic models can often improve the construction of a newer risk model that uses novel biomarkers in a smaller, internal study. However, directly borrowing information from an established…
Emissions markets play a vital role in emissions reduction by incentivizing firms to minimize costs. However, their effectiveness heavily depends on the decisions of policymakers, future economic activity, and the availability of abatement…
Corporate credit rating (CCR) plays a very important role in the process of contemporary economic and social development. How to use credit rating methods for enterprises has always been a problem worthy of discussion. Through reading and…
In this brief review, we critically examine the recent work done on correlation-based networks in financial systems. The structure of empirical correlation matrices constructed from the financial market data changes as the individual stock…
The aim of this paper is to identify the determinants of international stock markets integration. Intuitively we selected a great number of factors linked to financial integration. Then, we developed an international asset-pricing model…
Confronted with the challenge of identifying the most suitable metric to validate the merits of newly proposed models, the decision-making process is anything but straightforward. Given that comparing rankings introduces its own set of…
The integration and innovation of finance and technology have gradually transformed the financial system into a complex one. Analyses of the causesd of abnormal fluctuations in the financial market to extract early warning indicators…
The evaluation of recommender system fairness has become increasingly important, especially with recent legislation that emphasises the development of fair and responsible artificial intelligence. This has led to the emergence of various…
We study statistical discrimination of individuals based on payoff-irrelevant social identities in markets that utilize ratings and recommendations for social learning. Even though rating/recommendation algorithms can be designed to be fair…
Detecting emerging research topics is essential, not only for research agencies but also for individual researchers. Previous studies have created various bibliographic indicators for the identification of emerging research topics. However,…
The past two decades have witnessed the rapid development of personalized recommendation techniques. Despite significant progress made in both research and practice of recommender systems, to date, there is a lack of a widely-recognized…
As part of Basel II's incremental risk charge (IRC) methodology, this paper summarizes our extensive investigations of constructing transition probability matrices (TPMs) for unsecuritized credit products in the trading book. The objective…
In this article we consider the parameter risk in the context of internal modelling of the reserve risk under Solvency II. We discuss two opposed perspectives on parameter uncertainty and point out that standard methods of classical…
Large language models often achieve strong benchmark gains without corresponding improvements in broader capability. We hypothesize that this discrepancy arises from differences in training regimes induced by data distribution. To…
With the emerging of new networks, such as wireless sensor networks, vehicle networks, P2P networks, cloud computing, mobile Internet, or social networks, the network dynamics and complexity expands from system design, hardware, software,…
This paper elaborates on the validation requirements for rating systems and probabilities of default (PDs) which were introduced with the New Capital Standards (Basel II). We start in Section 2 with some introductory remarks on the topics…