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Corporate defaults may be triggered by some major market news or events such as financial crises or collapses of major banks or financial institutions. With a view to develop a more realistic model for credit risk analysis, we introduce a…
Recommender systems are widely used for suggesting books, education materials, and products to users by exploring their behaviors. In reality, users' preferences often change over time, leading to studies on time-dependent recommender…
We propose a statistical model for weighted temporal networks capable of measuring the level of heterogeneity in a financial system. Our model focuses on the level of diversification of financial institutions; that is, whether they are more…
The partially observable hidden Markov model is an extension of the hidden Markov Model in which the hidden state is conditioned on an independent Markov chain. This structure is motivated by the presence of discrete metadata, such as an…
The interconnectedness of financial institutions affects instability and credit crises. To quantify systemic risk we introduce here the PD model, a dynamic model that combines credit risk techniques with a contagion mechanism on the network…
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 existence of asymmetric information has always been a major concern for financial institutions. Financial intermediaries such as commercial banks need to study the quality of potential borrowers in order to make their decision on…
This paper analyzes the bank lending channel and the heterogeneous effects on the euro area, providing evidence that the channel is indeed working. The analysis of the transmission mechanism is based on structural impulse responses to an…
Credit card fraud causes significant financial losses and frequently occurs as fraud attack, defined as short-term sequence of fraudulent transactions associated with high transaction rates and amounts, business areas historically tied to…
Systemic financial risk refers to the simultaneous failure or destabilization of multiple financial institutions, often triggered by contagion mechanisms or common exposures to shocks. In this paper, we present a dynamical model of bank…
Optimizing credit limits, interest rates, and loan terms is crucial for managing borrower risk and lifetime value (LTV) in personal loan platform. However, counterfactual estimation of these continuous, multi-dimensional treatments faces…
Digital phenotyping offers a novel and cost-efficient approach for managing depression and anxiety. Previous studies, often limited to small-to-medium or specific populations, may lack generalizability. We conducted a cross-sectional…
The smart meter data analysis contributes to better planning and operations for the power system. This study aims to identify the drivers of residential energy consumption patterns from the socioeconomic perspective based on the consumption…
We develop a novel stress-test framework to monitor systemic risk in financial systems. The modular structure of the framework allows to accommodate for a variety of shock scenarios, methods to estimate interbank exposures and mechanisms of…
According to the definition of the London Interbank Offered Rate (LIBOR), contributing banks should give fair estimates of their own borrowing costs in the interbank market. Between 2007 and 2009, several banks made inappropriate…
We propose a new framework for measuring connectedness among financial variables that arises due to heterogeneous frequency responses to shocks. To estimate connectedness in short-, medium-, and long-term financial cycles, we introduce a…
Spurred in part by the ever-growing number of sensors and web-based methods of collecting data, the use of Intensive Longitudinal Data (ILD) is becoming more common in the social and behavioural sciences. The ILD collected in this field are…
We present a multilayer network model for credit risk assessment. Our model accounts for multiple connections between borrowers (such as their geographic location and their economic activity) and allows for explicitly modelling the…
Continuous monitoring of behavior and physiology via wearable devices offers a novel, objective method for the early detection of worsening depression and anxiety. In this study, we present an explainable anomaly detection framework that…
This work focuses on a self-exciting point process defined by a Hawkes-like intensity and a switching mechanism based on a hidden Markov chain. Previous works in such a setting assume constant intensities between consecutive events. We…