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The potential of Edge Computing technologies is yet to be exploited for multi-domain, multi-party data-driven systems. One aspect that needs to be tackled for the realization of envisioned open edge Ecosystems, is the secure and trusted…
In the Proof of Stake (PoS) Ethereum ecosystem, users can stake ETH on Lido to receive stETH, a Liquid Staking Derivative (LSD) that represents staked ETH and accrues staking rewards. LSDs improve the liquidity of staked assets by…
SPEEDEX is a decentralized exchange (DEX) that lets participants securely trade assets without giving any single party undue control over the market. SPEEDEX offers several advantages over prior DEXes. It achieves high throughput -- over…
Financial institutions have to allocate so-called "economic capital" in order to guarantee solvency to their clients and counter parties. Mathematically speaking, any methodology of allocating capital is a "risk measure", i.e. a function…
Credit (CVA), Debit (DVA) and Funding Valuation Adjustments (FVA) are now familiar valuation adjustments made to the value of a portfolio of derivatives to account for credit risks and funding costs. However, recent changes in the…
Expected Shortfall (ES) in several variants has been proposed as remedy for the defi-ciencies of Value-at-Risk (VaR) which in general is not a coherent risk measure. In fact, most definitions of ES lead to the same results when applied to…
The ability of deeply decarbonised power systems to ensure adequacy may increasingly depend on long-duration energy storage (LDES). A central challenge is whether capacity markets (CMs), originally designed around thermal generation, can…
Cross-chain swaps enable exchange of different assets that reside on different blockchains. Several protocols have been proposed for atomic cross-chain swaps. However, those protocols are not fault-tolerant, in the sense that if any party…
The valuation of counterparty risk for single name credit derivatives requires the computa- tion of joint distributions of default times of two default-prone entities. For a Merton-type model, we derive some formulas for these joint…
We study financial networks where banks are connected by debt contracts. We consider the operation of debt swapping when two creditor banks decide to exchange an incoming payment obligation, thus leading to a locally different network…
(U.S) Rule-based policies to mitigate software risk suggest to use the CVSS score to measure the individual vulnerability risk and act accordingly: an HIGH CVSS score according to the NVD (National (U.S.) Vulnerability Database) is…
The current crisis, at the time of writing, has had a profound impact on the financial world, introducing the need for creative approaches to revitalising the economy at the micro level as well as the macro level. In this informal analysis…
We present a new model for credit index derivatives, in the top-down approach. This model has a dynamic loss intensity process with volatility and jumps and can include counterparty risk. It handles CDS, CDO tranches, Nth-to-default and…
Derivative traders are usually required to scan through hundreds, even thousands of possible trades on a daily basis. Up to now, not a single solution is available to aid in their job. Hence, this work aims to develop a trading…
With the increasing penetration of intermittent renewable energy sources (RESs), it becomes increasingly challenging to maintain the supply-demand balance of power systems by solely relying on the generation side. To combat the volatility…
We describe the voting farm, a tool which implements a distributed software voting mechanism for a number of parallel message passing systems. The tool, developed in the framework of EFTOS (Embedded Fault-Tolerant Supercomputing), can be…
Basel III introduces new capital charges for CVA. These charges, and the Basel 2.5 default capital charge can be mitigated by CDS. Therefore, to price in the capital relief that CDS contracts provide, we introduce a CDS pricing model with…
We explore a model of the interaction between banks and outside investors in which the ability of banks to issue inside money (short-term liabilities believed to be convertible into currency at par) can generate a collapse in asset prices…
We develop a novel multivariate semi-parametric framework for joint portfolio Value-at-Risk (VaR) and Expected Shortfall (ES) forecasting. Unlike existing univariate semi-parametric approaches, the proposed framework explicitly models the…
The application of immersed boundary methods in static analyses is often impeded by poorly cut elements (small cut elements problem), leading to ill-conditioned linear systems of equations and stability problems. While these concerns may…