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Machine learning is central to empirical asset pricing, but portfolio construction still relies on point predictions and largely ignores asset-specific estimation uncertainty. We propose a simple change: sort assets using…
Bank credit rating classifies banks into different levels based on publicly disclosed and internal information, serving as an important input in financial risk management. However, domain experts have a vague idea of exploring and comparing…
Existing work on value alignment typically characterizes value relations statically, ignoring how alignment interventions, such as prompting, fine-tuning, or preference optimization, reshape the broader value system. In practice, aligning a…
Personalisation of products and services is fast becoming the driver of success in banking and commerce. Machine learning holds the promise of gaining a deeper understanding of and tailoring to customers' needs and preferences. Whereas…
The basic financial purpose of a firm is to maximize its value. An inventory management system should also contribute to realization of this basic aim. Many current asset management models currently found in financial management literature…
We present an analytical model to study the role of expectation feedbacks and overlapping portfolios on systemic stability of financial systems. Building on [Corsi et al., 2016], we model a set of financial institutions having Value at Risk…
A new framework for asset pricing based on modelling the information available to market participants is presented. Each asset is characterised by the cash flows it generates. Each cash flow is expressed as a function of one or more…
The bandit paradigm provides a unified modeling framework for problems that require decision-making under uncertainty. Because many business metrics can be viewed as rewards (a.k.a. utilities) that result from actions, bandit algorithms…
Over the past few decades, machine learning models have been extremely successful. As a result of axiomatic attribution methods, feature contributions have been explained more clearly and rigorously. There are, however, few studies that…
We propose a method to evaluate and improve the validity of required specifications by comparing models from different viewpoints. Inconsistencies are automatically extracted from the model in which the analyst defines the service procedure…
In this work we will develop a new approach to solve the non repayment problem in microfinance due to the problem of asymmetric information. This approach is based on modeling and simulation of ordinary differential systems where time…
Invoice or payment dilution is the gap between the approved invoice amount and the actual collection is a significant source of non credit risk and margin loss in supply chain finance. Traditionally, this risk is managed through the buyer's…
Many real-world planning domains involve diverse information sources, external entities, and variable-reliability agents, all of which may impact the confidence, risk, and sensitivity of plans. Humans reviewing a plan may lack context about…
We consider a non-stationary variant of a sequential stochastic optimization problem, in which the underlying cost functions may change along the horizon. We propose a measure, termed variation budget, that controls the extent of said…
This paper shows how we can build a model for transactions when goods are given away in the expectation of a later settlement. In settings where people keep track of their social accounts we are able to redefine concepts like account…
The valuation process that economic agents undergo for investments with uncertain payoff typically depends on their statistical views on possible future outcomes, their attitudes toward risk, and, of course, the payoff structure itself.…
Machine learning models typically focus on specific targets like creating classifiers, often based on known population feature distributions in a business context. However, models calculating individual features adapt over time to improve…
In this paper we extend the existing literature on xVA along three directions. First, we enhance current BSDE-based xVA frameworks to include initial margin in presence of defaults. Next, we solve the consistency problem that arises when…
This article expands Milton Friedman's spending matrix to analyse 'spending efficiency' and 'preference compatibility' across different economic systems against five key outcome criteria. By generalising Friedman's typology, it compares…
In prediction-based decision-making systems, different perspectives can be at odds: The short-term business goals of the decision makers are often in conflict with the decision subjects' wish to be treated fairly. Balancing these two…