Related papers: Vault as a credit instrument
Large language model (LLM) agents increasingly operate as sequential software systems, but their reliability is often summarized by scalar benchmark metrics. Metrics such as pass$@k$, pass$^k$, and the reliability decay curve (RDC) are…
Tokenized real-world assets (RWAs) are often evaluated through headline indicators such as total value locked (TVL) or on-chain asset value. However, a large asset base does not necessarily imply low risk, since tokenized assets may remain…
We analyze the performance of RiskMetrics, a widely used methodology for measuring market risk. Based on the assumption of normally distributed returns, the RiskMetrics model completely ignores the presence of fat tails in the distribution…
Financial agents powered by large language models (LLMs) are increasingly deployed for investment analysis, risk assessment, and automated decision-making, where their abilities to plan, invoke tools, and manipulate mutable state introduce…
This paper introduces a credit risk rating model for credit risk assessment in quantitative finance, aiming to categorize borrowers based on their behavioral data. The model is trained on data from Experian, a widely recognized credit…
Measuring the corporate default risk is broadly important in economics and finance. Quantitative methods have been developed to predictively assess future corporate default probabilities. However, as a more difficult yet crucial problem,…
As smart contract platforms autonomously manage billions of dollars of capital, quantifying the portfolio risk that investors engender in these systems is increasingly important. Recent work illustrates that Proof of Stake (PoS) is…
Billions of dollars are lost every year in DeFi platforms by transactions exploiting business logic or accounting vulnerabilities. Existing defenses focus on static code analysis, public mempool screening, attacker contract detection, or…
Credit risk assessment is a crucial aspect of financial decision-making, enabling institutions to predict the likelihood of default and make informed lending decisions. Two prominent methodologies in credit risk modeling are logistic…
Banking system crises are complex events that in a short span of time can inflict extensive damage to banks themselves and to the external economy. The crisis literature has so far identified a number of distinct effects or channels that…
Credit risk may be warehoused by choice, or because of limited hedging possibilities. Credit risk warehousing increases capital requirements and leaves open risk. Open risk must be priced in the physical measure, rather than the risk…
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…
We address the liquidation problem arising from the credit risk management in decentralised finance (DeFi) by formulating it as an ergodic optimal control problem. In decentralised derivatives exchanges, liquidation is triggered whenever…
Open banking framework enables third party providers to access financial data across banking institutions, leading to unprecedented innovations in the financial sector. However, some open banking standards remain susceptible to severe…
Blockchain bridges have become essential infrastructure for enabling interoperability across different blockchain networks, with more than $24B monthly bridge transaction volume. However, their growing adoption has been accompanied by a…
In this paper, we propose a fully decentralized and smart contract-based insurance protocol. We identify various issues in the Decentralized Finance (DeFi) insurance context and propose a solution to overcome these shortcomings. We…
The meteoric rise of Decentralized Finance (DeFi) has been accompanied by a plethora of frequent and often financially devastating attacks on its protocols There have been over 70 exploits of DeFi protocols, with the total of lost funds…
We study the difference between the level of systemic risk that is empirically measured on an interbank network and the risk that can be deduced from the balance sheets composition of the participating banks. Using generalised DebtRank…
In this paper, we analyze various Decentralized Finance (DeFi) protocols in terms of their token distributions. We propose an iterative mapping process that allows us to split aggregate token holdings from custodial and escrow contracts and…
There have been various attempts at token standards on numerous blockchain platforms today to fundamentally change the way assets are traded in the traditional capital markets, but there is a lack of research and resolution on regulatory…