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Despite accounting for 96.1% of all businesses in Malaysia, access to financing remains one of the most persistent challenges faced by Micro, Small, and Medium Enterprises (MSMEs). Newly established businesses are often excluded from formal…
Assessing systemic risk in financial markets is of great importance but it often requires data that are unavailable or available at a very low frequency. For this reason, systemic risk assessment with partial information is potentially very…
In recent years, multi-factor strategies have gained increasing popularity in the financial industry, as they allow investors to have a better understanding of the risk drivers underlying their portfolios. Moreover, such strategies promise…
Identifying and mitigating safety risks is paramount in a number of industries. In addition to guidelines and best practices, many industries already have safety management systems (SMSs) designed to monitor and reinforce good safety…
Financial statement fraud detection is an important problem with a number of design aspects to consider. Issues such as (i) problem representation, (ii) feature selection, and (iii) choice of performance metrics all influence the perceived…
The integration and innovation of finance and technology have gradually transformed the financial system into a complex one. Analyses of the causesd of abnormal fluctuations in the financial market to extract early warning indicators…
Multilevel models using logistic regression (MLogRM) and random forest models (RFM) are increasingly deployed in industry for the purpose of binary classification. The European Commission's proposed Artificial Intelligence Act (AIA)…
Many diagnostic errors occur because clinicians cannot easily access relevant information in patient Electronic Health Records (EHRs). In this work we propose a method to use LLMs to identify pieces of evidence in patient EHR data that…
We consider a financial intermediary managing assets and liabilities exposed to several risk sources and seeking an optimal portfolio strategy to minimise the initial capital invested and the total risk associated with investment losses and…
Excessive leverage, i.e. the abuse of debt financing, is considered one of the primary factors in the default of financial institutions. Systemic risk results from correlations between individual default probabilities that cannot be…
A multitude of interconnected risk events -- ranging from regulatory changes to geopolitical tensions -- can trigger ripple effects across firms. Identifying inter-firm risk relations is thus crucial for applications like portfolio…
Typically, operational risk losses are reported above a threshold. Fitting data reported above a constant threshold is a well known and studied problem. However, in practice, the losses are scaled for business and other factors before the…
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…
Our work investigates the economic efficiency of the prevailing "ladder-step" investment strategy in oil and gas exploration, which advocates for the incremental acquisition of geological information throughout the project lifecycle. By…
The purpose of this research article is to discover how the econophysics analysis can complement the econometrics models in application to the risk management in the central banks and financial institutions, operating within the nonlinear…
Determining risk contributions of unit exposures to portfolio-wide economic capital is an important task in financial risk management. Computing risk contributions involves difficulties caused by rare-event simulations. In this study, we…
We introduce the notion of a risk-limiting financial auditing (RLFA): given $N$ transactions, the goal is to estimate the total misstated monetary fraction~($m^*$) to a given accuracy $\epsilon$, with confidence $1-\delta$. We do this by…
We take the holistic approach of computing an OTC claim value that incorporates credit and funding liquidity risks and their interplays, instead of forcing individual price adjustments: CVA, DVA, FVA, KVA. The resulting nonlinear…
Credit risk assessment of a company is commonly conducted by utilizing financial ratios that are derived from its financial statements. However, this approach may not fully encompass other significant aspects of a company. We propose the…
The increasing availability of advanced computational modelling offers new opportunities to improve safety, efficacy, and emissions reductions. Application of complex models to support engineering decisions has been slow in comparison to…