Related papers: Comparing Methodologies for Ranking Alternatives: …
Banks utilize credit scoring as an important indicator of financial strength and eligibility for credit. Scoring models aim to assign statistical odds or probabilities for predicting if there is a risk of nonpayment in relation to many…
In MCMC methods, such as the Metropolis-Hastings (MH) algorithm, the Gibbs sampler, or recent adaptive methods, many different strategies can be proposed, often associated in practice to unknown rates of convergence. In this paper we…
Existing multi-criteria decision-making (MCDM) methods often face challenges when evaluating a large number of alternatives, leading to skewed results in selecting the optimal choice. Similarly, conventional efficiency analysis (EA)…
Multi-criteria Analysis (MCA) is used to rank alternatives based on various criteria. Key MCA methods, such as Multiple Criteria Decision Making (MCDM) methods, estimate parameters for criteria to compute the performance of each…
Macroeconomic factors have a critical impact on banking credit risk, which cannot be directly controlled by banks, and therefore, there is a need for an early credit risk warning system based on the macroeconomy. By comparing different…
Evaluating the financial performance of manufacturing firms requires consideration of both the time value of money and the relative importance of multiple decision criteria. Conventional approaches relying solely on deterministic…
Markov decision processes (MDPs) are used to model a wide variety of applications ranging from game playing over robotics to finance. Their optimal policy typically maximizes the expected sum of rewards given at each step of the decision…
We introduce FinanceReasoning, a novel benchmark designed to evaluate the reasoning capabilities of large reasoning models (LRMs) in financial numerical reasoning problems. Compared to existing benchmarks, our work provides three key…
The real estate sector is one of the key drivers of India's national economy, contributing about 7.3\% to the GDP. As the market evolves, more players enter, and government policies become more stringent, Indian real estate companies face…
In an era of data abundance, statistical evidence is increasingly critical for business and policy decisions. Yet, organizations lack empirical tools to assess the value of evidence-based decision making (EBDM), optimize statistical…
This study aims to present a new hybrid method for weighting criteria. The methodological project combines the ENTROPY and CRITIC methods with the TOPSIS method to create EC-TOPSIS. The difference lies in the use of a weight range per…
This research investigates the multifaceted relationship underlying capital structure dynamics along with financial performance as a result of mergers and acquisitions, or M&As, in Indian banks. In the face of increasing competition, banks…
We study the relation between different Markov Decision Process (MDP) frameworks in the machine learning and econometrics literatures, including the standard MDP, the entropy and general regularized MDP, and stochastic MDP, where the latter…
This paper introduces a novel methodology for index return forecasting, blending highly correlated stock prices, advanced deep learning techniques, and intricate factor integration. Departing from conventional cap-weighted approaches, our…
Conditional forecasts of risk measures play an important role in internal risk management of financial institutions as well as in regulatory capital calculations. In order to assess forecasting performance of a risk measurement procedure,…
In recent years, it has become apparent that an isolated microprudential approach to capital adequacy requirements of individual institutions is insufficient. It can increase the homogeneity of the financial system and ultimately the cost…
We develop a dynamic multi-agent model of an interbank payment system where banks choose their level of available funds on the basis of private payoff maximisation. The model consists of the repetition of a simultaneous move stage game with…
We investigate entropy as a financial risk measure. Entropy explains the equity premium of securities and portfolios in a simpler way and, at the same time, with higher explanatory power than the beta parameter of the capital asset pricing…
A central problem in business concerns the optimal allocation of limited resources to a set of available tasks, where the payoff of these tasks is inherently uncertain. In credit card fraud detection, for instance, a bank can only assign a…
The fragility of financial systems was starkly demonstrated in early 2023 through a cascade of major bank failures in the United States, including the second, third, and fourth largest collapses in the US history. The highly interdependent…