Related papers: Vault as a credit instrument
Credit risk modeling relies extensively on Weight of Evidence (WoE) and Information Value (IV) for feature engineering, and Population Stability Index (PSI) for drift monitoring, yet their theoretical foundations remain disconnected. We…
The forecasting of the credit default risk has been an important research field for several decades. Traditionally, logistic regression has been widely recognized as a solution due to its accuracy and interpretability. As a recent trend,…
The decentralized architecture of Web3 technologies creates fundamental challenges for Anti-Money Laundering and Counter-Financing of Terrorism compliance. Traditional regulatory technology solutions designed for centralized financial…
Leaderboard scores on public benchmarks have been steadily rising and converging, with many frontier language models now separated by only marginal differences. However, these scores often fail to match users' day to day experience, because…
We introduce the Clockwork Finance Framework (CFF), a general purpose, formal verification framework for mechanized reasoning about the economic security properties of composed decentralized-finance (DeFi) smart contracts. CFF features…
Propagation of balance-sheet or cash-flow insolvency across financial institutions may be modeled as a cascade process on a network representing their mutual exposures. We derive rigorous asymptotic results for the magnitude of contagion in…
Decentralized finance (DeFi) protocols are crypto projects developed on the blockchain to manage digital assets. Attacks on DeFi have been frequent and have resulted in losses exceeding \$77 billion. However, detection methods for malicious…
Modern production systems are increasingly defined by dense networks of multi-tier sourcing dependencies, where localized upstream disruptions can cascade into system-wide collapses. While supply chain resilience has garnered significant…
Groups of enterprises can serve as guarantees for one another and form complex networks when obtaining loans from commercial banks. During economic slowdowns, corporate default may spread like a virus and lead to large-scale defaults or…
Decentralized trust management is used as a referral benchmark for assisting decision making by human or intelligence machines in open collaborative systems. During any given period of time, each participant may only interact with a few of…
Realistic credit risk assessment, the estimation of losses from counterparty's failure, is central for the financial stability. Credit risk models focus on the financial conditions of borrowers and only marginally consider other risks from…
This article is part of a comprehensive research project on liquidity risk in asset management, which can be divided into three dimensions. The first dimension covers the modeling of the liability liquidity risk (or funding liquidity), the…
As it is known in the finance risk and macroeconomics literature, risk-sharing in large portfolios may increase the probability of creation of default clusters and of systemic risk. We review recent developments on mathematical and…
LLMs have shown strong performance across diverse financial tasks, yet portfolio management (PM), a critical financial decision-making task, remains poorly benchmarked. Existing benchmarks exhibit two main gaps: they ignore cross-asset…
A central challenge in financial economics is understanding how credit networks form under informational noise. We introduce the concept of topological capital, arguing that banks increasingly rely on topological certification, interpreting…
Systemic risk refers to the risk that the financial system is susceptible to failures due to the characteristics of the system itself. The tremendous cost of systemic risk requires the design and implementation of tools for the efficient…
In structural credit risk models, default events and the ensuing losses are both derived from the asset values at maturity. Hence it is of utmost importance to choose a distribution for these asset values which is in accordance with…
Authentication in financial systems remains a uniquely high-stakes security challenge, where even marginal increases in false acceptance can result in catastrophic monetary loss. Existing deployments of adaptive authentication, which…
Estimating and assessing the risk of a large portfolio is an important topic in financial econometrics and risk management. The risk is often estimated by a substitution of a good estimator of the volatility matrix. However, the accuracy of…
Decentralized Finance (DeFi) lending protocols like Aave v3 rely on over-collateralization to secure loans, yet users frequently face liquidation due to volatile market conditions. Existing risk management tools utilize static health-factor…