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This paper examines the degree of integration at euro area financial markets. To that end, we estimate overall and country-specific integration indices based on a panel vector-autoregression with factor stochastic volatility. Our results…
Value at Risk (VaR) and stress testing are two of the most widely used approaches in portfolio risk management to estimate potential market value losses under adverse market moves. VaR quantifies potential loss in value over a specified…
We introduce GreekBarBench, a benchmark that evaluates LLMs on legal questions across five different legal areas from the Greek Bar exams, requiring citations to statutory articles and case facts. To tackle the challenges of free-text…
This paper investigates the transmission of funding liquidity shocks, credit risk shocks and unconventional monetary policy within the Euro area. To this aim, we estimate a financial GVAR model for Germany, France, Italy and Spain on…
Credit card fraud incurs a considerable cost for both cardholders and issuing banks. Contemporary methods apply machine learning-based classifiers to detect fraudulent behavior from labeled transaction records. But labeled data are usually…
The Value-at-Risk (VaR) and the Expected Shortfall (ES) are the two most popular risk measures in banking and insurance regulation. To bridge between the two regulatory risk measures, the Probability Equivalent Level of VaR-ES (PELVE) was…
Randomized clinical trials are often designed to assess whether a test treatment prolongs survival relative to a control treatment. Increased patient heterogeneity, while desirable for generalizability of results, can weaken the ability of…
Value-at-Risk (VaR) is an institutional measure of risk favored by financial regulators. VaR may be interpreted as a quantile of future portfolio values conditional on the information available, where the most common quantile used is 95%.…
Since the average treatment effect (ATE) measures the change in social welfare, even if positive, there is a risk of negative effect on, say, some 10% of the population. Assessing such risk is difficult, however, because any one individual…
In the wake of the still ongoing global financial crisis, bank interdependencies have come into focus in trying to assess linkages among banks and systemic risk. To date, such analysis has largely been based on numerical data. By contrast,…
Scoring models support decision-making in financial institutions. Their estimation and evaluation are based on the data of previously accepted applicants with known repayment behavior. This creates sampling bias: the available labeled data…
The analysis of hidden channels of information leakage with respect to role-based access control includes monitoring of excessive permissions among users. It is not always possible to completely eliminate redundancy. The problem of ranking…
The aim of this research is to give a simple framework to evaluate/quantize the "transparency" of a firm. We assume that the process of the firm value is only observable once in a while but is strongly correlated with the stock price which…
The Basel II internal ratings-based (IRB) approach to capital adequacy for credit risk plays an important role in protecting the Australian banking sector against insolvency. We outline the mathematical foundations of regulatory capital for…
This paper presents two case studies of data sets where the main inferential goal is to characterize time-varying patterns in model structure. Both of these examples are seen to be general cases of the so-called "partition problem," where…
The seniority of debt, which determines the order in which a bankrupt institution repays its debts, is an important and sometimes contentious feature of financial crises, yet its impact on system-wide stability is not well understood. We…
We report a study of a stylized banking cascade model investigating systemic risk caused by counter party failure using liabilities and assets to define banks' balance sheet. In our stylized system, banks can be in two states: normally…
The efficiency of pension schemes in Kenya invites elevated interest owing to the increasing pension contribution amounts and the expectation that benefits paid out of these schemes would protect members from old age poverty. The study…
The market practice of extrapolating different term structures from different instruments lacks a rigorous justification in terms of cash flows structure and market observables. In this paper, we integrate our previous consistent theory for…
This paper presents a comprehensive overview of model validation practices and advancement in the banking industry based on the experience of managing Model Risk Management (MRM) since the inception of regulatory guidance SR11-7/OCC11-12…