Related papers: Implicit Government Guarantee Measurement Based on…
One type of bond with the most implicit government guarantee is municipal investment bonds. In recent years, there have been an increasing number of downgrades in the credit ratings of municipal bonds, which has led some people to question…
The over-the-counter (OTC) government bond markets are characterised by their bilateral trading structures, which pose unique challenges to understanding and ensuring market stability and liquidity. In this paper, we develop a bespoke ABM…
We present a data-driven approach for producing policies that are provably robust across unknown stochastic environments. Existing approaches can learn models of a single environment as an interval Markov decision processes (IMDP) and…
This paper explores the implications of guaranteeing privacy by imposing a lower bound on the information density between the private and the public data. We introduce a novel and operationally meaningful privacy measure called pointwise…
Partially observable Markov decision processes (POMDPs) model specific environments in sequential decision-making under uncertainty. Critically, optimal policies for POMDPs may not be robust against perturbations in the environment.…
Quantification of economic uncertainty is a key concept for the prediction of macro economic variables such as gross domestic product (GDP), and it becomes particularly relevant on real-time or short-time predictions methodologies, such as…
Performance metrics measuring in Financial Integrity systems are crucial for maintaining an efficient and cost effective operation. An important performance metric is False Positive Rate. This metric cannot be directly monitored since we…
We propose four channels through which government guarantees affect banks' incentives to smooth income. Empirically, we exploit two complementary settings that represent plausible exogenous changes in government guarantees: the increase in…
Motivated by the recent studies on the green bond market, we build a model in which an investor trades on a portfolio of green and conventional bonds, both issued by the same governmental entity. The government provides incentives to the…
This paper proposes a novel robust Model Predictive Control (MPC) scheme for linear discrete-time systems affected by model uncertainty described by interval matrices. The key feature of the proposed method is a bound on the uncertainty…
This paper examines the effect of the political network of Chinese municipal leaders on the pricing of municipal corporate bonds. Using municipal leaders' working experience to measure the political network, we find that this network…
Our goal is to compute a policy that guarantees improved return over a baseline policy even when the available MDP model is inaccurate. The inaccurate model may be constructed, for example, by system identification techniques when the true…
We propose a model for the credit markets in which the random default times of bonds are assumed to be given as functions of one or more independent "market factors". Market participants are assumed to have partial information about each of…
The special and important problems of default prediction for municipal bonds are addressed using a combination of text embeddings from a pre-trained transformer network, a fully connected neural network, and synthetic oversampling. The…
We formulate and analyze an inverse problem using derivatives prices to obtain an implied filtering density on volatility's hidden state. Stochastic volatility is the unobserved state in a hidden Markov model (HMM) and can be tracked using…
In this paper we present a framework for risk-sensitive model predictive control (MPC) of linear systems affected by stochastic multiplicative uncertainty. Our key innovation is to consider a time-consistent, dynamic risk evaluation of the…
Predicting corporate default risk has long been a crucial topic in the finance field, as bankruptcies impose enormous costs on market participants as well as the economy as a whole. This paper aims to forecast frailty correlated default…
Model Predictive Control (MPC) offers rigorous safety and performance guarantees but is computationally intensive. Approximate MPC (AMPC) aims to circumvent this drawback by learning a computationally cheaper surrogate policy. Common…
Systematic investment strategies are exposed to a subtle but pervasive vulnerability: the progressive erosion of their effectiveness as market regimes change. Traditional risk measures, designed to capture volatility or drawdowns, overlook…
Controlling stochastic systems with unknown dynamics and under complex specifications is specially challenging in safety-critical settings, where performance guarantees are essential. We propose a data-driven policy synthesis framework that…