Related papers: Default Ambiguity: Finding the Best Solution to th…
We introduce a general model for the balance-sheet consistent valuation of interbank claims within an interconnected financial system. Our model represents an extension of clearing models of interdependent liabilities to account for the…
In its traditional definition, a repair of an inconsistent database is a consistent database that differs from the inconsistent one in a "minimal way". Often, repairs are not equally legitimate, as it is desired to prefer one over another;…
In this paper, we propose a method that provides a useful technique to compare relationship between risks involved that takes customer become defaulter and debt collection process that might make this defaulter recovered. Through estimation…
In this paper, we propose a dynamical model to capture cascading failures among interconnected organizations in the global financial system. Failures can take the form of bankruptcies, defaults, and other insolvencies. The network that…
Two major difficulties in using default logics are their intractability and the problem of selecting among multiple extensions. We propose an approach to these problems based on integrating nommonotonic reasoning with plausible reasoning…
We consider a decision network on an undirected graph in which each node corresponds to a decision variable, and each node and edge of the graph is associated with a reward function whose value depends only on the variables of the…
In order to scale transaction rates for deployment across the global web, many cryptocurrencies have deployed so-called "Layer-2" networks of private payment channels. An idealized payment network behaves like a Credit Network, a model for…
We discuss and analyze a neural network architecture, that enables learning a model class for a set of different data samples rather than just learning a single model for a specific data sample. In this sense, it may help to reduce the…
The DebtRank algorithm has been increasingly investigated as a method to estimate the impact of shocks in financial networks, as it overcomes the limitations of the traditional default-cascade approaches. Here we formulate a dynamical…
We propose a model for the credit and liquidity risks faced by clearing members of Central Counterparty Clearing houses (CCPs). This model aims to capture the features of: gap risk; feedback between clearing member default, market…
In this paper, we present a novel modelling perspective to the food-bank donation allocation problem under equity and efficiency performance measures. Using a penalty factor in the objective function, our model explicitly accounts for both…
The scope of financial systemic risk research encompasses a wide range of interbank channels and effects, including asset correlation shocks, default contagion, illiquidity contagion, and asset fire sales. This paper introduces a financial…
A simple banking network model is proposed which features multiple waves of bank defaults and is analytically solvable in the limiting case of an infinitely large homogeneous network. The model is a collection of nodes representing…
We study an optimal liquidation problem under the ambiguity with respect to price impact parameters. Our main results show that the value function and the optimal trading strategy can be characterized by the solution to a semi-linear PDE…
Threats on the stability of a financial system may severely affect the functioning of the entire economy, and thus considerable emphasis is placed on the analyzing the cause and effect of such threats. The financial crisis in the current…
The latest financial crisis has painfully revealed the dangers arising from a globally interconnected financial system. Conventional approaches based on the notion of the existence of equilibrium and those which rely on statistical…
A common interpretation of soft constraints penalizes the database for every violation of every constraint, where the penalty is the cost (weight) of the constraint. A computational challenge is that of finding an optimal subset: a…
Modern NLP systems exhibit a range of biases, which a growing literature on model debiasing attempts to correct. However current progress is hampered by a plurality of definitions of bias, means of quantification, and oftentimes vague…
This papers considers the problem of maximizing the load that can be served by a power network. We use the commonly accepted Linear DC power network model and consider wo configuration options: switching lines and using FACTS devices. We…
Propagation of balance-sheet or cash-flow insolvency across financial institutions may be modeled as a cascade process on a network representing their mutual exposures. We derive rigorous asymptotic results for the magnitude of contagion in…