Related papers: A Case for AXI
This study constructs an Aggregate Financial Stability Index (AFSI) for Bangladesh to evaluate the systemic health and resilience of the countrys financial system during the period from 2016 to 2024. The index incorporates 19 macrofinancial…
In this paper, we analyse the South African implied volatility in various setting. We assess the information content in SAVI implied volatility using daily markets data. Our empirical application is focused on the FTSE/JSE Top 40 index and…
The instability of historical risk factor correlations renders their use in estimating portfolio risk extremely questionable. In periods of market stress correlations of risk factors have a tendency to quickly go well beyond estimated…
We develop a stochastic volatility framework for modeling multiple currencies based on CBI-time-changed L\'evy processes. The proposed framework captures the typical risk characteristics of FX markets and is coherent with the symmetries of…
Systemic financial risk refers to the simultaneous failure or destabilization of multiple financial institutions, often triggered by contagion mechanisms or common exposures to shocks. In this paper, we present a dynamical model of bank…
The instability of the financial system as experienced in recent years and in previous periods is often linked to credit defaults, i.e., to the failure of obligors to make promised payments. Given the large number of credit contracts, this…
Cross-border equity and long-term debt securities portfolio investment networks are analysed from 2002 to 2012, covering the 2008 global financial crisis. They serve as network-proxies for measuring the robustness of the global financial…
Credit card fraud is assuming growing proportions as a major threat to the financial position of American household, leading to unpredictable changes in household economic behavior. To solve this problem, in this paper, a new hybrid…
This systemic risk paper introduces inhomogeneous random financial networks (IRFNs). Such models are intended to describe parts, or the entirety, of a highly heterogeneous network of banks and their interconnections, in the global financial…
Understanding and forecasting changing market conditions in complex economic systems like the financial market is of great importance to various stakeholders such as financial institutions and regulatory agencies. Based on the finding that…
We formalize a macro-financial stress test for rapid AI adoption. Rather than a productivity bust or existential risk, we identify a distribution-and-contract mismatch: AI-generated abundance coexists with demand deficiency because economic…
Thixotropy is a phenomenon related to time dependent change in viscosity in presence or absence of flow. The yield stress, on the other hand, represents the minimum value of stress above which steady flow can be sustained. In addition, the…
A minimal stochastic dynamical model of the interbank network is introduced, with linear interactions mediated by an integral of recent variations. Defining stress as the variance over the banks' states, the interaction correction to the…
Explainable artificial intelligence (XAI) has helped elucidate the internal mechanisms of machine learning algorithms, bolstering their reliability by demonstrating the basis of their predictions. Several XAI models consider causal…
This paper examines two different yet related questions related to explainable AI (XAI) practices. Machine learning (ML) is increasingly important in financial services, such as pre-approval, credit underwriting, investments, and various…
This paper studies systemic-risk connectedness in the European insurance sector at three levels of granularity: across major segments of financial markets, across insurance subsectors, and across individual insurance companies. Using a…
This paper characterises dynamic linkages arising from shocks with heterogeneous degrees of persistence. Using frequency domain techniques, we introduce measures that identify smoothly varying links of a transitory and persistent nature.…
Decentralized Finance (DeFi) money markets have seen explosive growth in recent years, with billions of dollars borrowed in various cryptocurrency assets. Key to the safety of money markets is the implementation of interest rates that…
We investigate the relationships of the VIX with US and BRIC markets. In detail, we pick up the analysis from the point left off by (Sarwar, 2012), and we focus on the period: Jan 2007 - Feb 2018, thus capturing the relations before, during…
Regulators have signalled an interest in adopting explainable AI(XAI) techniques to handle the diverse needs for model governance, operational servicing, and compliance in the financial services industry. In this short overview, we review…