Related papers: Why Long-Term Debt Instruments Cannot Be Deposit S…
Fixing bugs is an important phase in software development and maintenance. In practice, the process of bug fixing may conflict with the release schedule. Such confliction leads to a trade-off between software quality and release schedule,…
Context. Technical Debt (TD), defined as software constructs that are beneficial in the short term but may hinder future change, is a frequently used term in software development practice. Nevertheless, practitioners do not always fully…
In this paper we present a rigorously motivated pricing equation for derivatives, including general cash collateralization schemes, which is consistent with quoted market bond prices. Traditionally, there have been differences in how…
Context: The term technical debt (TD) describes the aggregation of sub-optimal solutions that serve to impede the evolution and maintenance of a system. Some claim that the broken windows theory (BWT), a concept borrowed from criminology,…
For credit risk management purposes in general, and for allocation of regulatory capital by banks in particular (Basel II), numerical assessments of the credit-worthiness of borrowers are indispensable. These assessments are expressed in…
The notion of a credit spread curve is fundamental in fixed income investing, but in practice it is not `given' and needs to be constructed from bond prices either for a particular issuer, or for a sector rating-by-rating. Rather than…
Intuitively, the default risk of a single borrower is higher when her or his assets and debt are denominated in different currencies. Additionally, the default dependence of borrowers with assets and debt in different currencies should be…
During the last two years, Europe has been facing a debt crisis, and Greece has been at its center. In response to the crisis, drastic actions have been taken, including the halving of Greek debt. Policy makers acted because interest rates…
We study the effects on economic activity of a pure temporary change in government debt and the relationship between the debt multiplier and the level of debt in an overlapping generations framework. The debt multiplier is positive but…
This article questions the notion of ephemerality of digital musical instruments (DMI). Longevity is generally regarded as a valuable quality that good design criteria should help to achieve. However, the nature of the tools, of the…
We explore the interplay between sovereign debt default/renegotiation and environmental factors (e.g., pollution from land use, natural resource exploitation). Pollution contributes to the likelihood of natural disasters and influences…
Models to price long term loans in the securities lending business are developed. These longer horizon deals can be viewed as contracts with optionality embedded in them. This insight leads to the usage of established methods from…
A vigorous and growing set of technical debt analysis tools have been developed in recent years -- both research tools and industrial products -- such as Structure 101, SonarQube, and DV8. Each of these tools identifies problematic files…
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…
We use granular regulatory data on euro interest rate swap trades between January 2021 and June 2023 to assess whether derivative positions of Italian banks can offset losses on their debt securities holdings should interest rates rise…
The lifetime behaviour of loans is notoriously difficult to model, which can compromise a bank's financial reserves against future losses, if modelled poorly. Therefore, we present a data-driven comparative study amongst three techniques in…
Technical Debt occurs when development teams favour short-term operability over long-term stability. Since this places software maintainability at risk, technical debt requires early attention to avoid paying for accumulated interest. Most…
Cryptocurrency lending pools are services that allow lenders to pool together assets in one cryptocurrency and loan it out to borrowers who provide collateral worth more (than the loan) in a separate cryptocurrency. Borrowers can repay…
In this work, we introduce amortizing perpetual options (AmPOs), a fungible variant of continuous-installment options suitable for exchange-based trading. Traditional installment options lapse when holders cease their payments, destroying…
We analyze the risks to bank intermediation following the introduction of a central bank digital currency (CBDC) competing with commercial bank deposits as households' source of liquidity. We revisit the result in the literature regarding…