Related papers: Vault as a credit instrument
Large language model (LLM) benchmarks inform LLM use decisions (e.g., "is this LLM safe to deploy for my use case and context?"). However, benchmarks may be rendered unreliable by various failure modes that impact benchmark bias, variance,…
Credit default prediction is a tabular learning problem with severe class imbalance, heterogeneous features, and tight latency budgets. Tabular Foundation Models (TFMs) approach this problem through in-context learning, which makes their…
Organizations across finance, healthcare, transportation, content moderation, and critical infrastructure are rapidly deploying highly automated AI systems, yet they lack principled methods to quantify how increasing automation amplifies…
We address the joint detection-and-attribution problem in cross-border financial contagion through a two-stage framework. The first stage applies wavelet-quantile transfer entropy across time-scales and lower, median, and upper-tail…
One of the most defining features of the global financial network is its inherent complex and intertwined structure. From the perspective of systemic risk it is important to understand the influence of this network structure on default…
Credit Valuation Adjustment is a balance sheet item which is nowadays subject to active risk management by specialized traders. However, one of the most important risk factors, which is the vector of default intensities of the counterparty,…
With the rapid development of blockchain technology in recent years, all kinds of blockchain-based applications have emerged. Among them, the decentralized finance (DeFi) is one of the most successful applications, which is regarded as the…
Our contributions with this paper are twofold. First, we elucidate the methodological requirements for a risk framework of custodial operations and argue for the value of this type of risk model as complementary with cryptographic and…
The proliferation of SQL for data processing has often occurred without the rigor of traditional software development, leading to siloed efforts, logic replication, and increased risk. This ad-hoc approach hampers data governance and makes…
Decentralized finance (DeFi) is revolutionizing the traditional centralized finance paradigm with its attractive features such as high availability, transparency, and tamper-proofing. However, attacks targeting DeFi services have severely…
We characterize optimal monetary policy when policy endogenously moves risk premia through redistribution across agents who differ in their willingness to bear risk. The analytical core is Marginal Risk Capacity, the covariance of monetary…
The current research on credit risk is primarily focused on modeling default probabilities. Recovery rates are often treated as an afterthought; they are modeled independently, in many cases they are even assumed constant. This is despite…
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 liability liquidity risk (or funding liquidity) modeling, the second…
This work focuses on financial risks from a probabilistic point of view. The value of a firm is described as a geometric Brownian motion and default emerges as a first passage time event. On the technical side, the critical threshold that…
In this paper we estimate the propagation of liquidity shocks through interbank markets when the information about the underlying credit network is incomplete. We show that techniques such as Maximum Entropy currently used to reconstruct…
We develop a novel stress-test framework to monitor systemic risk in financial systems. The modular structure of the framework allows to accommodate for a variety of shock scenarios, methods to estimate interbank exposures and mechanisms of…
Decentralized Finance (DeFi) applications introduce novel financial instruments replicating and extending traditional ones through blockchain-based smart contracts. Among these applications, DeFi derivatives protocols enable the creation…
Uncovering the risk transmitting path within economic sectors in China is crucial for understanding the stability of the Chinese economic system, especially under the current situation of the China-US trade conflicts. In this paper, we try…
A Value-at-Risk based model is proposed to compute the adequate equity capital necessary to cover potential losses due to operational risks, such as human and system process failures, in banking organizations. Exploring the analogy to a…
Supply chain disruptions constitute an often underestimated risk for financial stability. As in financial networks, systemic risks in production networks arises when the local failure of one firm impacts the production of others and might…