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Tokenized real-world assets (RWAs) are often evaluated through headline indicators such as total value locked (TVL) or on-chain asset value. However, a large asset base does not necessarily imply low risk, since tokenized assets may remain…

Small and Medium-sized Enterprises (SMEs) are known to play a vital role in economic growth, employment, and innovation. However, they tend to face significant challenges in accessing credit due to limited financial histories, collateral…

Many social and environmental phenomena are associated with macroscopic changes in the built environment, captured by satellite imagery on a global scale and with daily temporal resolution. While widely used for prediction, these images and…

Credit ratings are one of the primary keys that reflect the level of riskiness and reliability of corporations to meet their financial obligations. Rating agencies tend to take extended periods of time to provide new ratings and update…

Nowadays small and medium-sized enterprises have become an essential part of the national economy. With the increasing number of such enterprises, how to evaluate their credit risk becomes a hot issue. Unlike big enterprises with massive…

We develop a novel multivariate semi-parametric framework for joint portfolio Value-at-Risk (VaR) and Expected Shortfall (ES) forecasting. Unlike existing univariate semi-parametric approaches, the proposed framework explicitly models the…

In this paper, we study properties of certain risk measures associated with acceptance sets. These sets describe regulatory preconditions that have to be fulfilled by financial institutions to pass a given acceptance test. If the financial…

This paper presents a meta-learning framework for credit risk assessment of Italian Small and Medium Enterprises (SMEs) that explicitly addresses the temporal misalignment of credit scoring models. The approach aligns financial statement…

The downside risk of a portfolio of (equity)assets is generally substantially higher than the downside risk of its components. In particular in times of crises when assets tend to have high correlation, the understanding of this difference…

Value at risk and expected shortfall are increasingly popular tail risk measures in the financial risk management field. Both academia and financial institutions are working to improve tail risk forecasts in order to meet the requirements…

We give a comprehensive review of credit term structure modeling methodologies. The conventional approach to modeling credit term structure is summarized and shown to be equivalent to a particular type of the reduced form credit risk model,…

The guidance from capability evaluations has greatly propelled the progress of both human society and Artificial Intelligence. However, as LLMs evolve, it becomes challenging to construct evaluation benchmarks for them with accurate labels…

The theory of multilayer networks is in its early stages, and its development provides vital methods for understanding complex systems. Multilayer networks, in their multiplex form, have been introduced within the last three years to…

Measures of concordance have been widely used in insurance and risk management to summarize non-linear dependence among risks modeled by random variables, which Pearson's correlation coefficient cannot capture. However, popular measures of…

We introduce a simple approach for testing the reliability of homogeneous generators and the Markov property of the stochastic processes underlying empirical time series of credit ratings. We analyze open access data provided by Moody's and…

Corporate credit rating (CCR) plays a very important role in the process of contemporary economic and social development. How to use credit rating methods for enterprises has always been a problem worthy of discussion. Through reading and…

The generalization performance of a risk prediction model can be evaluated by its calibration, which measures the agreement between predicted and observed outcomes on external validation data. Here, methods for assessing the calibration of…

The aim of this paper is to introduce a synthetic ALM model that catches the main specificity of life insurance contracts. First, it keeps track of both market and book values to apply the regulatory profit sharing rule. Second, it…

We develop a model for credit rating migration that accounts for the impact of economic state fluctuations on default probabilities. The joint process for the economic state and the rating is modelled as a time-homogeneous Markov chain.…

Credit risk is a crucial topic in the field of financial stability, especially at this time given the profound impact of the ongoing pandemic on the world economy. This study provides insight into the impact of credit risk on the financial…