Related papers: Modelling the term-structure of default risk under…
This study investigates the functioning of modern payment systems through the lens of banks' maturity mismatch practices, and it examines the effects of banks' refusal to roll over short-term interbank liabilities on financial stability.…
In this paper, we introduce a methodology based on the zero-inflated cure rate model to detect fraudsters in bank loan applications. In fact, our approach enables us to accommodate three different types of loan applicants, i.e., fraudsters,…
Machine learning models deployed in non-stationary environments are exposed to temporal distribution shift, which can erode predictive reliability over time. While common mitigation strategies such as periodic retraining and recalibration…
This paper proposes a semiparametric sieve approach to estimate impulse response functions of nonlinear time series within a general class of structural autoregressive models. We prove that a two-step procedure can flexibly accommodate…
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…
This paper develops a two-dimensional structural framework for valuing credit default swaps and corporate bonds in the presence of default contagion. Modelling the values of related firms as correlated geometric Brownian motions with…
In this paper, we investigate a semiparametric regression model under the context of treatment effects via a localized neural network (LNN) approach. Due to a vast number of parameters involved, we reduce the number of effective parameters…
As cancer patient survival improves, late effects from treatment are becoming the next clinical challenge. Chemotherapy and radiotherapy, for example, potentially increase the risk of both morbidity and mortality from second malignancies…
In this paper we develop a novel hidden Markov graphical model to investigate time-varying interconnectedness between different financial markets. To identify conditional correlation structures under varying market conditions and…
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…
Financial econometrics has become an increasingly popular research field. In this paper we review a few parametric and nonparametric models and methods used in this area. After introducing several widely used continuous-time and…
A multi-dimensional extension of the structural default model with firms' values driven by diffusion processes with Marshall-Olkin-inspired correlation structure is presented. Semi-analytical methods for solving the forward calibration…
We develop a semi-parametric state-space model for time-series data with latent regime transitions. Classical Markov-switching models use fixed parametric transition functions, such as logistic or probit links, which restrict flexibility…
As economic entities become increasingly interconnected, a shock in a financial network can provoke significant cascading failures throughout the system. To study the systemic risk of financial systems, we create a bi-partite banking…
We propose a unified structural credit risk model incorporating both insolvency and illiquidity risks, in order to investigate how a firm's default probability depends on the liquidity risk associated with its financing structure. We assume…
This article aims to explore an empirical approach to analyze the macroeconomicsdeterminants of default of borrowers. For this purpose, we have measured the impact of the adverse economic conditions on the degradation of the credit…
Dynamic linear regression models forecast the values of a time series based on a linear combination of a set of exogenous time series while incorporating a time series process for the error term. This error process is often assumed to…
A large number of safety-critical control systems are based on N-modular redundant architectures, using majority voters on the outputs of independent computation units. In order to assess the compliance of these architectures with…
The forecasting of credit default risk has been an active research field for several decades. Historically, logistic regression has been used as a major tool due to its compliance with regulatory requirements: transparency, explainability,…
This work focuses on financial risks from a probabilistic point of view. The value of a firm is described as a geometric Brownian motion and default emerges as a first passage time event. On the technical side, the critical threshold that…