Related papers: Vault as a credit instrument
To face future reliability challenges, it is necessary to quantify the risk of error in any part of a computing system. To this goal, the Architectural Vulnerability Factor (AVF) has long been used for chips. However, this metric is used…
We introduce a dynamic and stochastic interbank model with an endogenous notion of distress contagion, arising from rational worries about future defaults and ensuing losses. This entails a mark-to-market valuation adjustment for interbank…
Standard benchmarks fixate on how well large language model (LLM) agents perform in finance, yet say little about whether they are safe to deploy. We argue that accuracy metrics and return-based scores provide an illusion of reliability,…
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…
Markovian credit migration models are a reasonably standard tool nowadays, but there are fundamental difficulties with calibrating them. We show how these are resolved using a simplified form of matrix generator and explain why risk-neutral…
Since the inception of permissionless blockchains with Bitcoin in 2008, it became apparent that their most well-suited use case is related to making the financial system and its advantages available to everyone seamlessly without depending…
Over the last two decades, the danger of sharing resources between programs has been repeatedly highlighted. Multiple side-channel attacks, which seek to exploit shared components for leaking information, have been devised, mostly targeting…
Classical measures of structural reliability, such as the probability of failure and the related reliability index, are still widely applied in practice. However, these measures are frequency-based only, and they do not give information…
Decentralized Finance (DeFi) services are moving traditional financial operations to the Internet of Value (IOV) by exploiting smart contracts, distributed ledgers, and clever heterogeneous transactions among different protocols. The…
Many aspects of blockchain-based decentralized finance can be understood as an extension of classical distributed computing. In this paper, we trace the evolution of two interrelated notions: failure and fault-tolerance. In classical…
We provide a constructive way of defining new elicitable risk measures that are characterised by a multiplicative scoring function. We show that depending on the choice of the scoring function's components, the resulting risk measure…
The family of admissible positions in a transaction costs model is a random closed set, which is convex in case of proportional transaction costs. However, the convexity fails, e.g. in case of fixed transaction costs or when only a finite…
The classical reduced-form and filtration expansion framework in credit risk is extended to the case of multiple, non-ordered defaults, assuming that conditional densities of the default times exist. Intensities and pricing formulas are…
Microfinance, despite its significant potential for poverty reduction, is facing sustainability hardships due to high default rates. Although many methods in regular finance can estimate credit scores and default probabilities, these…
To protect cryptographic implementations from side-channel vulnerabilities, developers must adopt constant-time programming practices. As these can be error-prone, many side-channel detection tools have been proposed. Despite this, such…
Macroeconomic factors have a critical impact on banking credit risk, which cannot be directly controlled by banks, and therefore, there is a need for an early credit risk warning system based on the macroeconomy. By comparing different…
Determining contributions by sub-portfolios or single exposures to portfolio-wide economic capital for credit risk is an important risk measurement task. Often economic capital is measured as Value-at-Risk (VaR) of the portfolio loss…
Tool-augmented LLM agents call APIs whose intermediate outputs, such as presigned URLs, session tokens, and OAuth state parameters, are observation contracts: artifacts whose later use is constrained by the external system that produced…
Banks utilize credit scoring as an important indicator of financial strength and eligibility for credit. Scoring models aim to assign statistical odds or probabilities for predicting if there is a risk of nonpayment in relation to many…
Decentralized Finance (DeFi) is a system of financial products and services built and delivered through smart contracts on various blockchains. In the past year, DeFi has gained popularity and market capitalization. However, it has also…