Related papers: Life after (Soft) Default
While the size of a data breach is typically measured by the number of (consumer, customer, or user) records exposed or compromised, its economic impact is generally measured from the point of view of the corporation suffering the data…
Collectives form non-equilibrium social structures characterised by a volatile dynamics. Individuals join or leave. Social relations change quickly. Therefore, differently from engineered or ecological systems, a resilient reference state…
For credit risk management purposes in general, and for allocation of regulatory capital by banks in particular (Basel II), numerical assessments of the credit-worthiness of borrowers are indispensable. These assessments are expressed in…
Resilient algorithms in high-performance computing are subject to rigorous non-functional constraints. Resiliency must not increase the runtime, memory footprint or I/O demands too significantly. We propose a task-based soft error detection…
We study computational problems in financial networks of banks connected by debt contracts and credit default swaps (CDSs). A main problem is to determine \emph{clearing} payments, for instance right after some banks have been exposed to a…
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…
Compared to consumer lending, Micro, Small and Medium Enterprise (mSME) credit risk modelling is particularly challenging, as, often, the same sources of information are not available. Therefore, it is standard policy for a loan officer to…
This paper develops a continuous-time filtering framework for estimating a hazard rate subject to an unobservable change-point. This framework naturally arises in both financial and insurance applications, where the default intensity of a…
Credit risk stress testing has become an important risk management device which is used both by banks internally and by regulators. Stress testing is complex because it essentially means projecting a bank's full balance sheet conditional on…
Technical debt (TD) refers to the long-term costs associated with suboptimal design or code decisions in software development, often made to meet short-term delivery goals. Self-Admitted Technical Debt (SATD) occurs when developers…
Foundation models are routinely fine-tuned for use in particular domains, yet safety assessments are typically conducted only on base models, implicitly assuming that safety properties persist through downstream adaptation. We test this…
Credit Default Swaps (CDS) on a reference entity may be traded in multiple currencies, in that protection upon default may be offered either in the domestic currency where the entity resides, or in a more liquid and global foreign currency.…
As economic entities become increasingly interconnected, a shock in a financial network can provoke significant cascading failures throughout the system. To study the systemic risk of financial systems, we create a bi-partite banking…
We develop a mathematical model to describe the persistence of rule-breaking behaviors in societies, such as traffic violations, disregard for legal restrictions and other forms of noncompliance. Using a replicator-type dynamics with…
This paper introduces a novel multi-moment connectedness network approach for analyzing the interconnectedness of green financial market. Focusing on the impact of monetary policy shocks, our study reveals that connectedness within the…
We analyze cascades of defaults in an interbank loan market. The novel feature of this study is that the network structure and the size distribution of banks are derived from empirical data. We find that the ability of a defaulted…
Smart contracts are programs running on a blockchain. They are immutable to change, and hence can not be patched for bugs once deployed. Thus it is critical to ensure they are bug-free and well-designed before deployment. A Contract defect…
We study financial networks where banks are connected by debt contracts. We consider the operation of debt swapping when two creditor banks decide to exchange an incoming payment obligation, thus leading to a locally different network…
We compare observed corporate cumulative default probabilities to those calculated using a stochastic model based on an extension of the work of Black and Cox and find that corporations default as if via diffusive dynamics. The model, based…
The rise in popularity of physical activity trackers provides extensive opportunities for research on personal health, however, barriers such as compliance attrition can lead to substantial losses in data. As such, insights into student's…