Related papers: Are all Credit Default Swap Databases equal?
With 5394 security certificates of IT products and systems, the Common Criteria for Information Technology Security Evaluation have bred an ecosystem entangled with various kind of relations between the certified products. Yet, the…
The importance of collateralization through the change of funding cost is now well recognized among practitioners. In this article, we have extended the previous studies of collateralized derivative pricing to more generic situation, that…
We present the first in-depth empirical characterization of the costs of trading on a decentralized exchange (DEX). Using quoted prices from the Uniswap Labs interface for two pools -- USDC-ETH (5bps) and PEPE-ETH (30bps) -- we evaluate the…
We study liquidity on decentralized exchanges (DEXs), identifying factors at the platform, blockchain, token pair, and liquidity pool levels with predictive power for market depth metrics. We introduce the v2 counterfactual spread metric, a…
We derive an arbitrage free relationship between recovery swap rates, digital default swap spreads and conventional CDS spreads, and argue that the fair forward recovery rate used in recovery swaps must contain a convexity premium over the…
We examine several recently suggested methods for the detection of long-range correlations in data series based on similar ideas as the well-established Detrended Fluctuation Analysis (DFA). In particular, we present a detailed comparison…
We provide analytical pricing formula of corporate defaultable bond with both expected and unexpected default in the case with stochastic default intensity. In the case with constant short rate and exogenous default recovery using PDE…
We would like to present the idea of our Continuous Defect Prediction (CDP) research and a related dataset that we created and share. Our dataset is currently a set of more than 11 million data rows, representing files involved in…
This study replicates the findings of Wang et al. (2017) on reference-dependent preferences and their impact on the risk-return trade-off in the Chinese stock market, a unique context characterized by high retail investor participation,…
This paper presents two cases of random banking data generators based on migration matrices and scoring rules. The banking data generator is a new hope in researches of finding the proving method of comparisons of various credit scoring…
Discretely sampled variance and volatility swaps trade actively in OTC markets. To price these swaps, the continuously sampled approximation is often used to simplify the computations. The purpose of this paper is to study the conditions…
Data products are reusable, self-contained assets designed for specific business use cases. Automating their discovery is of great industry interest, as it enables efficient data access in large data lakes and supports analytical workflows.…
We curate the DeXposure dataset, the first large-scale dataset for inter-protocol credit exposure in decentralized financial networks, covering global markets of 43.7 million entries across 4.3 thousand protocols, 602 blockchains, and 24.3…
We consider a liquidity provider's (LP's) exposure to stablecoin and liquid staking derivative (LSD) depegs on Curve's StableSwap pools. We construct a suite of metrics designed to detect potential asset depegs based on price and trading…
We analyze the database research publications of four major core database technology conferences (SIGMOD, VLDB, ICDE, EDBT), two main theoretical database conferences (PODS, ICDT) and three database journals (TODS, VLDB Journal, TKDE) over…
Financial networks raise a significant computational challenge in identifying insolvent firms and evaluating their exposure to systemic risk. This task, known as the clearing problem, is computationally tractable when dealing with simple…
First passage models, where corporate assets undergo a random walk and default occurs if the assets fall below a threshold, provide an attractive framework for modeling the default process. Recently such models have been generalized to…
On the way towards carbon neutrality, climate stress testing provides estimates for the physical and transition risks that climate change poses to the economy and the financial system. Missing firm-level CO2 emissions data severely impedes…
Defect prediction can be a powerful tool to guide the use of quality assurance resources. In recent years, many researchers focused on the problem of Cross-Project Defect Prediction (CPDP), i.e., the creation of prediction models based on…
Multifractal analysis is a forecasting technique used to study the scaling regularity properties of financial returns, to analyze the long-term memory and predictability of financial markets. In this paper, we propose a novel structural…