Related papers: A Case for AXI
Explainable AI (XAI) holds significant promise for enhancing the transparency and trustworthiness of AI-driven threat detection in Security Operations Centers (SOCs). However, identifying the appropriate level and format of explanation,…
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…
Evolving borrower behaviors, shifting economic conditions, and changing regulatory landscapes continuously reshape the data distributions underlying modern credit-scoring systems. Conventional explainability techniques, such as SHAP, assume…
The integration of the Internet of Everything (IoX) and Artificial General Intelligence (AGI) has given rise to a transformative paradigm aimed at addressing critical bottlenecks across sensing, network, and application layers in…
The Interbank Offered Rate is a vital benchmark interest rate in the financial markets of every country to which financial contracts are tied. In the light of the recent LIBOR manipulation incident, this paper seeks to address the fear that…
Non-Poissonian bursty processes are ubiquitous in natural and social phenomena, yet little is known about their effects on the large-scale spreading dynamics. In order to characterize these effects we devise an analytically solvable model…
First passage models, where corporate assets undergo a random walk and default occurs if the assets fall below a threshold, provide an attractive framework for modeling the default process. Recently such models have been generalized to…
We investigate the impact of order flow imbalance (OFI) on price movements in equity markets in a multi-asset setting. First, we propose a systematic approach for combining OFIs at the top levels of the limit order book into an integrated…
The credit crisis roiling the world's financial markets will likely take years and entire careers to fully understand and analyze. A short empirical investigation of the current trends, however, demonstrates that the losses in certain…
The 2008 financial crisis illustrated the need for a thorough, functional understanding of systemic risk in strongly interconnected financial structures. Dynamic processes on complex networks being intrinsically difficult, most recent…
Spreadsheets provide many of the key links between information systems, closing the gap between business needs and the capability of central systems. Recent regulations have brought these vulnerable parts of information supply chains into…
Credit risk default prediction remains a cornerstone of risk management in the financial industry. The task involves estimating the likelihood that a borrower will fail to meet debt obligations, an objective critical for lending decisions,…
Financial markets typically exhibit dynamically complex properties as they undergo continuous interactions with economic and environmental factors. The Efficient Market Hypothesis indicates a rich difference in the structural complexity of…
A scenario in which regulators take the drastic step of requiring coverage of all venture bank investment loans using interbank borrowed funds is considered. In this scenario, a minimal amount of default insurance is used, such that Tier 1…
This paper discusses a novel explanation for asymmetric volatility based on the anchoring behavioral pattern. Anchoring as a heuristic bias causes investors focusing on recent price changes and price levels, which two lead to a belief in…
We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evidences regarding the divergences between…
The proposed model is aimed to reveal important patterns in the behavior of a simplified financial system. The patterns could be detected as regular cycles consisting of debt bubbles and crises. Financial cycles have a well defined…
Energy efficiency has been a daunting challenge for datacenters. The financial industry operates some of the largest datacenters in the world. With increasing energy costs and the financial services sector growth, emerging financial…
Explicitly taking into account the risk incurred when borrowing at a shorter tenor versus lending at a longer tenor ("roll-over risk"), we construct a stochastic model framework for the term structure of interest rates in which a frequency…
This work explores the characteristics of financial contagion in networks whose links distributions approaches a power law, using a model that defines banks balance sheets from information of network connectivity. By varying the parameters…