Related papers: Vault as a credit instrument
Transformer models are widely deployed in critical AI applications, yet faults in their attention mechanisms, projections, and other internal components often degrade behavior silently without raising runtime errors. Existing fault…
We estimate generic statistical properties of a structural credit risk model by considering an ensemble of correlation matrices. This ensemble is set up by Random Matrix Theory. We demonstrate analytically that the presence of correlations…
Financial options are fundamental to traditional markets, enabling strategies ranging from hedging to speculating. Yet, while the Automated Market Maker paradigm has revolutionized decentralized spot markets, no equivalent standard has…
The policy objective of safeguarding financial stability has stimulated a wave of research on systemic risk analytics, yet it still faces challenges in measurability. This paper models systemic risk by tapping into expert knowledge of…
This paper investigates the evolving landscape of decentralized finance (DeFi) by examining its foundational concepts, research trends, and ecosystem. A bibliometric analysis was conducted to identify thematic clusters and track the…
Blockchain is a disruptive technology intended at implementing secure decentralized distributed systems, in which transactional data can be shared, stored and verified by participants of a system using cryptographic and consensus…
This study delves into the intricate realm of risk evaluation within the domain of specific financial derivatives, notably options. Unlike other financial instruments, like bonds, options are susceptible to broader risks. A distinctive…
We curate the DeXposure dataset, the first large-scale dataset for inter-protocol credit exposure in decentralized financial networks, covering global markets of 43.7 million entries across 4.3 thousand protocols, 602 blockchains, and 24.3…
The 2023 U.S. banking crisis propagated not through direct financial linkages but through a high-frequency, information-based contagion channel. This paper moves beyond exploration analysis to test the "too-similar-to-fail" hypothesis,…
Connectedness measures quantify aggregate risk spillovers but obscure the local interaction patterns that generate systemic risk. We develop a motif-based framework that first extracts multiscale backbones from quantile connectedness…
Software built on poor structural patterns often shows higher exposure to security defects. When code differs from established best practices, verification and maintenance become increasingly difficult, thereby raising the risk of…
We present a multilayer network model for credit risk assessment. Our model accounts for multiple connections between borrowers (such as their geographic location and their economic activity) and allows for explicitly modelling the…
Risk measures for random vectors have been considered in multi-asset markets with transaction costs and financial networks in the literature. While the theory of set-valued risk measures provide an axiomatic framework for assigning to a…
This study develops and analyzes an optimization model of smart contract adoption under bounded risk, linking structural theory with simulation and real-world validation. We examine how adoption intensity alpha is structurally pinned at a…
Protection of creditors is a key objective of financial regulation. Where the protection needs are high, i.e., in banking and insurance, regulatory solvency requirements are an instrument to prevent that creditors incur losses on their…
As of August 2022, blockchain-based assets boast a combined market capitalisation exceeding one trillion USD, among which the most prominent are the decentralised autonomous organisation (DAO) tokens associated with decentralised finance…
Decentralized lending protocols, exemplified by Aave V3, have transformed financial intermediation by enabling permissionless, multi-chain borrowing and lending without intermediaries. Despite managing over $10 billion in total value…
This paper introduces a novel framework to study default dependence and systemic risk in a financial network that evolves over time. We analyse several indicators of risk, and develop a new latent space model to assess the health of key…
Many Ethereum smart contracts rely on block attributes such as block.timestamp or blockhash to generate random numbers for applications like lotteries and games. However, these values are predictable and miner-manipulable, creating the Bad…
Diffusion in a linear potential in the presence of position-dependent killing is used to mimic a default process. Different assumptions regarding transport coefficients, initial conditions, and elasticity of the killing measure lead to…