Related papers: Are all Credit Default Swap Databases equal?
This paper presents a benchmarking suite designed for the evaluation and comparison of time series databases for high-frequency data, with a focus on financial applications. The proposed suite comprises of four specialized databases:…
We consider a structural default model in an interconnected banking network as in Lipton [International Journal of Theoretical and Applied Finance, 19(6), 2016], with mutual obligations between each pair of banks. We analyse the model…
We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with pair-copula constructions, and nest…
We present a large-scale comparison of five multidisciplinary bibliographic data sources: Scopus, Web of Science, Dimensions, Crossref, and Microsoft Academic. The comparison considers scientific documents from the period 2008-2017 covered…
There is an explosive growth of information in the World Wide Web thus posing a challenge to Web users to extract essential knowledge from the Web. Search engines help us to narrow down the search in the form of Search Engine Result Pages…
Federal Open Market Committee (FOMC) statements are a major source of monetary-policy information, and even subtle changes in their wording can move global financial markets. A central task is therefore to measure the hawkish--dovish stance…
We investigate whether the tails of firm-level idiosyncratic return distributions are driven by common shocks. We use quantile factor analysis to extract such common idiosyncratic quantile factors with asymmetric pricing effects and we find…
Decentralized Finance (DeFi) has reshaped the possibilities of reserve banking in the form of the Collateralized Debt Position (CDP). Key to the safety of CDPs is the money supply architecture that enables issued debt to maintain its value.…
Introduction: This paper reviewed current driving automation (DA) and baseline human-driven crash databases and evaluated their comparability. Method: Five sources of DA crash data and three sources of human-driven crash data were reviewed…
Data constraints are widely used in FinTech systems for monitoring data consistency and diagnosing anomalous data manipulations. However, many equivalent data constraints are created redundantly during the development cycle, slowing down…
Corporate bond factor research faces a replication crisis. The crisis stems from two sources that inflate reported factor premia: transaction prices whose measurement error enters both sorting signals and return denominators, creating a…
A martingale framework for concept change detection based on testing data exchangeability was recently proposed (Ho, 2005). In this paper, we describe the proposed change-detection test based on the Doob's Maximal Inequality and show that…
Financial markets have evolved over centuries, and exchanges have converged to rely on the order book mechanism for market making. Latency on the blockchain, however, has prevented decentralized exchanges (DEXes) from utilizing the order…
The role of credit rating agencies has been under severe scrutiny after the subprime crisis. In this paper we explore the relationship between credit ratings and informational efficiency of a sample of thirty nine corporate bonds of US oil…
This paper aims to present a general idea of method comparison of Credit Scoring techniques. Any scorecard can be made in various methods based on variable transformations in the logistic regression model. To make a comparison and come up…
This paper discusses the valuation of credit default swaps, where default is announced when the reference asset price has gone below certain level from the last record maximum, also known as the high-water mark or drawdown. We assume that…
Derivative traders are usually required to scan through hundreds, even thousands of possible trades on a daily basis. Up to now, not a single solution is available to aid in their job. Hence, this work aims to develop a trading…
The paper studies derivative asset analysis in structural credit risk models where the asset value of the firm is not fully observable. It is shown that in order to compute the price dynamics of traded securities one needs to solve a…
Machine learning and data mining techniques have been used extensively in order to detect credit card frauds. However purchase behaviour and fraudster strategies may change over time. This phenomenon is named dataset shift or concept drift…
We derive a general multivariate theory for realised characteristics of `model-free discretisation-invariant swaps', so-called because the standard no-arbitrage assumption of martingale forward prices is sufficient to derive fair-value swap…