Related papers: Multilayer Network Analysis for Improved Credit Ri…

Multilayer networks are the underlying structures of multiple real-world systems where we have more than one type of interaction/relation between nodes: social, biological, computer, or communication, to name only a few. In many cases, they…

Relationship between agents can be conveniently represented by graphs. When these relationships have different modalities, they are better modelled by multilayer graphs where each layer is associated with one modality. Such graphs arise…

Machine learning models used for high-stakes predictions in domains like credit risk face critical degradation due to concept drift, requiring robust and transparent adaptation mechanisms. We propose an architecture, where a dedicated…

Financial institutions face escalating challenges in identifying high-risk customer behaviors within massive transaction networks, where fraudulent activities exploit market fragmentation and institutional boundaries. We address three…

The study of how diseases spread has greatly benefited from advances in network modeling. Recently, a class of networks known as multilayer graphs has been shown to describe more accurately many real systems, making it possible to address…

Macroeconomic factors have a critical impact on banking credit risk, which cannot be directly controlled by banks, and therefore, there is a need for an early credit risk warning system based on the macroeconomy. By comparing different…

In most natural and engineered systems, a set of entities interact with each other in complicated patterns that can encompass multiple types of relationships, change in time, and include other types of complications. Such systems include…

The writers propose a mathematical Method for deriving risk weights which describe how a borrower's income, relative to their debt service obligations (serviceability) affects the probability of default of the loan. The Method considers the…

As interconnected systems proliferate, safeguarding complex infrastructures against an escalating array of cyber threats has become an urgent challenge. The increasing number of vulnerabilities, combined with resource constraints, makes…

The instability of the financial system as experienced in recent years and in previous periods is often linked to credit defaults, i.e., to the failure of obligors to make promised payments. Given the large number of credit contracts, this…

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…

Risk management is an important practice in the banking industry. In this paper we develop a new methodology to estimate and predict the probability of default (PD) based on the rating transition matrices, which relates the rating…

In this paper, we analyze the effect of a policy recommendation on the performance of an artificial interbank market. Financial institutions stipulate lending agreements following a public recommendation and their individual information.…

In the aftermath of the financial crisis, the growing literature on financial networks has widely documented the predictive power of topological characteristics (e.g. degree centrality measures) to explain the systemic impact or systemic…

The structure of an online social network in most cases cannot be described just by links between its members. We study online social networks, in which members may have certain attitude, positive or negative toward each other, and so the…

Networks offer a powerful approach to modeling complex systems by representing the underlying set of pairwise interactions. Link prediction is the task that predicts links of a network that are not directly visible, with profound…

In this paper we present a Bayesian competing risk proportional hazards model to describe mortgage defaults and prepayments. We develop Bayesian inference for the model using Markov chain Monte Carlo methods. Implementation of the model is…

This article proposes a method for measuring the latent risks involved in the recovery process of non performing loans in financial institutions and business firms that deal with collection and recovery processes. To that end, we apply the…

Real-world complex systems exhibit multiple levels of relationships. In many cases, they require to be modeled by interconnected multilayer networks, characterizing interactions on several levels simultaneously. It is of crucial importance…

Peer-to-peer (P2P) lending platforms have grown rapidly over the past decade as the network infrastructure has improved and the demand for personal lending has grown. Such platforms allow users to create peer-to-peer lending relationships…