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A significant number of the non-financial firms listed at Nairobi Securities Exchange (NSE) have been experiencing declining financial performance which deter investors from investing in such firms. The lenders are also not willing to lend…
The rapid adoption of Deep Learning (DL)-enabled systems has revolutionized software development, driving innovation across various domains. However, these systems also introduce unique challenges, particularly in maintaining software…
The authors examine the concept of probability of default for asset-backed loans. In contrast to unsecured loans it is shown that probability of default can be defined as either a measure of the likelihood of the borrower failing to make…
This paper proposes a Monte Carlo technique for pricing the forward yield to maturity, when the volatility of the zero-coupon bond is known. We make the assumption of deterministic default intensity (Hazard Rate Function). We make no…
We investigate default-free bond markets where the standard relationship between a possibly existing bank account process and the term structure of bond prices is broken, i.e. the bank account process is not a valid num\'eraire. We argue…
Self-admitted technical debt (SATD), referring to comments flagged by developers that explicitly acknowledge suboptimal code or incomplete functionality, has received extensive attention in machine learning (ML) and traditional (Non-ML)…
When not appropriately managed, technical debt is considered to have negative effects on the long term success of a software project. However, how the debt metaphor applies to requirements engineering in general, and to requirements…
According to the Accounting View of Money (AVM), the money issued by commercial banks in the form of demand deposits features a hybrid nature, since deposits can be shown to consist of a share of deposits bearing the characteristics of debt…
Covered bonds are a specific example of senior secured debt. If the issuer of the bonds defaults the proceeds of the assets in the cover pool are used for their debt service. If in this situation the cover pool proceeds do not suffice for…
A new class of risk measures called cash sub-additive risk measures is introduced to assess the risk of future financial, nonfinancial and insurance positions. The debated cash additive axiom is relaxed into the cash sub additive axiom to…
We study financial networks with debt contracts and credit default swaps between specific pairs of banks. Given such a financial system, we want to decide which of the banks are in default, and how much of their liabilities can these…
With negative growth in real production in many countries and debt levels which become an increasing burden on developed societies, the calls for a change in economic policy and even the monetary system become louder and increasingly…
This paper assesses the hedge effectiveness of an index-based longevity swap and a longevity cap. Although swaps are a natural instrument for hedging longevity risk, derivatives with non-linear pay-offs, such as longevity caps, also provide…
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…
This study investigates the functioning of modern payment systems through the lens of banks' maturity mismatch practices, and it examines the effects of banks' refusal to roll over short-term interbank liabilities on financial stability.…
Context: Technical debt (TD) is a widely studied metaphor that helps to explain how sub-optimal decisions that can harm software maintainability over time. Although incurring TD is not intrinsically bad, tracking and managing TD are crucial…
Cash collateral is perfect in that it provides simultaneous counterparty credit risk protection and derivatives funding. Securities are imperfect collateral, because of collateral segregation or differences in CSA haircuts and repo…
To complete tasks faster, developers often have to sacrifice the quality of the software. Such compromised practice results in the increasing burden to developers in future development. The metaphor, technical debt, describes such practice.…
The functionality that distributed ledger technology provides, i.e., an immutable and fraud-resistant registry with validation and verification mechanisms, has traditionally been implemented with a trusted third party. Due to the…
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…