Related papers: Systemic Risk in DeFi: A Network-Based Fragility A…
As artificial intelligence (AI) becomes increasingly embedded in digital, social, and institutional infrastructures, and AI and platforms are merged into hybrid structures, systemic risk has emerged as a critical but undertheorized…
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…
Fraudulent activities are rapidly evolving, employing increasingly diverse and sophisticated methods that pose serious threats to individuals, organizations, and society. This paper proposes the FIST Framework (Fraud Incident Structured…
This paper addresses the challenges of data privacy and collaborative modeling in cross-institution financial risk analysis. It proposes a risk assessment framework based on federated learning. Without sharing raw data, the method enables…
Decentralized finance, i.e., DeFi, has become the most popular type of application on many public blockchains (e.g., Ethereum) in recent years. Compared to the traditional finance, DeFi allows customers to flexibly participate in diverse…
AI artificial intelligence brings about new quantitative techniques to assess the state of an economy. Here we describe a new measure for systemic risk: the Financial Risk Meter (FRM). This measure is based on the penalization parameter…
Resilience is a key driver for planning adaptation strategies to mitigate risks due to both natural and anthropogenic hazards. The effectiveness of a resilience-driven decision-making strategy for adapting systems against stressors depends…
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,…
The stability of a complex financial system may be assessed by measuring risk contagion between various financial institutions with relatively high exposure. We consider a financial network model using a bipartite graph of financial…
Decentralized Finance (DeFi) leverages blockchain-enabled smart contracts to deliver automated and trustless financial services without the need for intermediaries. However, the public visibility of financial transactions on the blockchain…
Integrated simulation models are emerging as an alternative for analyzing large-scale interdependent infrastructure networks due to their modeling advantages over traditional interdependency models. This paper presents an open-source…
Decentralized Finance (DeFi) is a rapidly evolving segment of blockchain technology that enables a transformative approach to financial services through Web3 applications. By leveraging smart contracts, DeFi allows developers to build…
In this study, we investigate system-level emergent risks of interacting AI agents. The core contribution of this work is an exploratory scenario-based identification of these risks as well as their categorization. We consider a multitude…
Systemic risk is a rapidly developing area of research. Classical financial models often do not adequately reflect the phenomena of bubbles, crises, and transitions between them during credit cycles. To study very improbable events,…
Yield aggregators are financial services in Decentralised Finance (DeFi) providing automated investment management and return optimisation for users. In this study, we investigate the operational mechanisms and monetary flows of two major…
Credit and liquidity risks represent main channels of financial contagion for interbank lending markets. On one hand, banks face potential losses whenever their counterparties are under distress and thus unable to fulfill their obligations.…
The financial crisis has dramatically demonstrated that the traditional approach to apply univariate monetary risk measures to single institutions does not capture sufficiently the perilous systemic risk that is generated by the…
This study proposes a deep learning model based on the combination of convolutional neural network (CNN) and bidirectional long short-term memory network (BiLSTM) for discriminant analysis of financial systemic risk. The model first uses…
The time-dependent vulnerability of synchronized states is shown for a complex network composed of electronic circuits. We demonstrate that disturbances to the local dynamics of network units can produce different outcomes to…
Decentralized Finance (DeFi) has reshaped the possibilities of reserve banking in the form of the Collateralized Debt Position (CDP). Key to the safety of CDPs is the money supply architecture that enables issued debt to maintain its value.…