Related papers: Spurious Default Probability Projections in Credit…

The insufficient understanding of the credit network structure was recognized as a key factor for regulators' underestimation of the destructive systematic risk during the financial crisis that started in 2007. The existing credit network…

Every human action begins with decision-making. Stress is a significant source of biases that can influence human decision-making. In order to understand the relationship between stress and decision-making, stress quantification is…

The research on developing software defect prediction (SDP) models is targeted at reducing the workload on the tester and, thereby, the time spent on the targeted module. However, while a considerable amount of research has been done on…

We consider one of the most basic multiple testing problems that compares expectations of multivariate data among several groups. As a test statistic, a conventional (approximate) $t$-statistic is considered, and we determine its rejection…

In this article, we consider the problem of simultaneous testing of hypotheses when the individual test statistics are not necessarily independent. Specifically, we consider the problem of simultaneous testing of point null hypotheses…

We consider a dynamical model of distress propagation on complex networks, which we apply to the study of financial contagion in networks of banks connected to each other by direct exposures. The model that we consider is an extension of…

Credit assessments activities are essential for financial institutions and allow the global economy to grow. Building robust, solid and accurate models that estimate the probability of a default of a company is mandatory for credit…

While defaults are rare events, losses can be substantial even for credit portfolios with a large number of contracts. Therefore, not only a good evaluation of the probability of default is crucial, but also the severity of losses needs to…

Beta-sorted portfolios -- portfolios comprised of assets with similar covariation to selected risk factors -- are a popular tool in empirical finance to analyze models of (conditional) expected returns. Despite their widespread use, little…

This study focuses on the problem of credit default prediction, builds a modeling framework based on machine learning, and conducts comparative experiments on a variety of mainstream classification algorithms. Through preprocessing, feature…

Historical (Stressed-) Value-at-Risk ((S)VAR), and Expected Shortfall (ES), are widely used risk measures in regulatory capital and Initial Margin, i.e. funding, computations. However, whilst the definitions of VAR and ES are unambiguous,…

Inspired by recent ideas on how the analysis of complex financial risks can benefit from analogies with independent research areas, we propose an unorthodox framework for mapping microfinance credit risk---a major obstacle to the…

This paper describes a general approach for stochastic modeling of assets returns and liability cash-flows of a typical pensions insurer. On the asset side, we model the investment returns on equities and various classes of fixed-income…

Change-based testing is a key component of continuous integration at Facebook. However, a large number of tests coupled with a high rate of changes committed to our monolithic repository make it infeasible to run all potentially-impacted…

Banks utilize credit scoring as an important indicator of financial strength and eligibility for credit. Scoring models aim to assign statistical odds or probabilities for predicting if there is a risk of nonpayment in relation to many…

In a critical software system, the testers have to spend an enormous amount of time and effort to maintain the software due to the continuous occurrence of defects. Among such defects, some severe defects may adversely affect the software.…

During the usage phase, a technical product system is in permanent interaction with its environment. This interaction can lead to failures that significantly endanger the safety of the user and negatively affect the quality and reliability…

As impressively shown by the financial crisis in 2007/08, contagion effects in financial networks harbor a great threat for the stability of the entire system. Without sufficient capital requirements for banks and other financial…

We consider the problem of governing systemic risk in an assets-liabilities dynamical model of banking system. In the model considered each bank is represented by its assets and its liabilities.The capital reserves of a bank are the…

Due to the recent increase in interest in Financial Technology (FinTech), applications like credit default prediction (CDP) are gaining significant industrial and academic attention. In this regard, CDP plays a crucial role in assessing the…