Related papers: Default Ambiguity: Finding the Best Solution to th…
Financial anomalies arise from heterogeneous mechanisms -- price shocks, liquidity freezes, contagion cascades, and momentum reversals -- yet existing detectors produce uniform scores without revealing which mechanism is failing. This…
Hou et al have introduced a framework to serve clients over wireless channels when there are hard deadline constraints along with a minimum delivery ratio for each client's flow. Policies based on "debt," called maximum debt first policies…
Much research in systemic risk is focused on default contagion. While this demands an understanding of valuation, fewer articles specifically deal with the existence, the uniqueness, and the computation of equilibrium prices in structural…
The optimal power flow is an optimization problem used in power systems operational planning to maximize economic efficiency while satisfying demand and maintaining safety margins. Due to uncertainty and variability in renewable energy…
We consider the problem of minimizing a sum of non-convex functions over a compact domain, subject to linear inequality and equality constraints. Approximate solutions can be found by solving a convexified version of the problem, in which…
Semidefinite programming (SDP) provides a powerful relaxation for the maximum cut problem. For a graph with rational weights, the decision problem of whether the SDP relaxation for the maximum cut problem is exact is known to be $NP$-hard;…
A range of empirical puzzles in finance has been explained as a consequence of traders being averse to ambiguity. Ambiguity averse traders can behave in financial portfolio problems in ways that cannot be rationalized as maximizing…
The many-to-one stable matching problem provides the fundamental abstraction of several real-world matching markets such as school choice and hospital-resident allocation. The agents on both sides are often referred to as residents and…
Recently, incomplete-market techniques have been used to develop a model applicable to credit default swaps (CDSs) with results obtained that are quite different from those obtained using the market-standard model. This article makes use of…
One of the most defining features of the global financial network is its inherent complex and intertwined structure. From the perspective of systemic risk it is important to understand the influence of this network structure on default…
Decision maker's preferences are often captured by some choice functions which are used to rank prospects. In this paper, we consider ambiguity in choice functions over a multi-attribute prospect space. Our main result is a robust…
Banking fraud causes billion-dollar losses for banks worldwide. In fraud detection, graphs help understand complex transaction patterns and discovering new fraud schemes. This work explores graph patterns in a real-world transaction dataset…
Bank failures can stem from runs on otherwise solvent banks or from losses that render banks insolvent, regardless of withdrawals. Disentangling the relative importance of liquidity and solvency in explaining bank failures is central to…
Sorting is a fundamental operation of all computer systems, having been a long-standing significant research topic. Beyond the problem formulation of traditional sorting algorithms, we consider sorting problems for more abstract yet…
Why do banks fail? We create a panel covering most commercial banks from 1863 through 2024 to study the history of failing banks in the United States. Failing banks are characterized by rising asset losses, deteriorating solvency, and an…
We introduce the notion of a network's conduciveness, a probabilistically interpretable measure of how the network's structure allows it to be conducive to roaming agents, in certain conditions, from one portion of the network to another.…
Uncertain graphs have been widely used to model complex linked data in many real-world applications, such as guaranteed-loan networks and power grids, where a node or edge may be associated with a probability. In these networks, a node…
A novel procedure is presented for the objective comparison and evaluation of a bank's decision rules in optimising the timing of loan recovery. This procedure is based on finding a delinquency threshold at which the financial loss of a…
This paper studies dynamic asset allocation with interest rate risk and several sources of ambiguity. The market consists of a risk-free asset, a zero-coupon bond (both determined by a Vasicek model), and a stock. There is ambiguity about…
A variant of the well-known Set Covering Problem is studied in this paper, where subsets of a collection have to be selected, and pairwise conflicts among subsets of items exist. The selection of each subset has a cost, and the inclusion of…