Related papers: Basel II for Physicists: A Discussion Paper
The adoption of cyber-physical systems (CPS) is on the rise in complex physical environments, encompassing domains such as autonomous vehicles, the Internet of Things (IoT), and smart cities. A critical attribute of CPS is robustness,…
In this paper are made some considerations of the application of phenomenological thermodynamics in risk analysis for the transaction on financial markets, using the concept of economic entropy and the macrostate parameter introduced by us…
We study the dynamic interactions and structural changes in global financial indices in the years 1998-2012. We apply a principal component analysis (PCA) to cross-correlation coefficients of the stock indices. We calculate the correlations…
The fragility of financial systems was starkly demonstrated in early 2023 through a cascade of major bank failures in the United States, including the second, third, and fourth largest collapses in the US history. The highly interdependent…
An outstanding problem in statistical mechanics is the determination of whether prescribed functional forms of the pair correlation function $g_2(r)$ [or equivalently, structure factor $S(k)$] at some number density $\rho$ can be achieved…
We study the formation of an optimal interbank network in a model where banks control both their supply of liquidity, through cash reserves, and their exposures to other banks' risky projects. The value of each bank's project may suddenly…
Financial global crisis has devastating impacts to economies since early XX century and continues to impose increasing collateral damages for governments, enterprises, and society in general. Up to now, all efforts to obtain efficient…
We investigate whether fractal markets hypothesis and its focus on liquidity and invest- ment horizons give reasonable predictions about dynamics of the financial markets during the turbulences such as the Global Financial Crisis of late…
In 2007, Carlet and Ding introduced two parameters, denoted by $Nb_F$ and $NB_F$, quantifying respectively the balancedness of general functions $F$ between finite Abelian groups and the (global) balancedness of their derivatives $D_a…
Measuring the contribution of a bank or an insurance company to overall systemic risk is a key concern, particularly in the aftermath of the 2007--2009 financial crisis and the 2020 downturn. In this paper, we derive worst-case and…
We develop a general theory of risk measures that determines the optimal amount of capital to raise and invest in a portfolio of reference traded securities in order to meet a pre-specified regulatory requirement. The distinguishing feature…
Assessing the stability of economic systems is a fundamental research focus in economics, that has become increasingly interdisciplinary in the currently troubled economic situation. In particular, much attention has been devoted to the…
Econophysics is a new research field, which makes an attempt to bring economics in the fold of natural sciences or specifically attempts for a "physics of economics". The term Econophysics was formally born in Kolkata in 1995. The entry on…
Within Lloyds Banking Group the heritage HBOS Corporate division deals with Corporate loans, and is required to assess these loans for risk in accordance with the Basle Accord regulations. Statistical Risk Rating models are developed by the…
The 2007--2008 financial crisis has paved the way for the use of macroprudential policies in supervising the financial system as a whole. This paper views macroprudential oversight in Europe as a process, a sequence of activities with the…
The Belle II experiment at the SuperKEKB electron-positron collider will provide a large sample of charm mesons in addition to its primary goal of B meson production. The large data sample and wide variety of accessible D meson decay modes…
This paper investigates whether a financial system can be made more stable if financial institutions share risk by exchanging contingent convertible (CoCo) debt obligations. The question is framed in a financial network model of debt and…
Applicability of the concept of financial log-periodicity is discussed and encouragingly verified for various phases of the world stock markets development in the period 2000-2010. In particular, a speculative forecasting scenario designed…
Fitting models to measured data is one of the standard tasks in the natural sciences, typically addressed early on in physics education in the context of laboratory courses, in which statistical methods play a central role in analysing and…
Banks are required to use long-term default probabilities (PDs) of their portfolios when calculating credit risk capital under internal ratings-based (IRB) models. However, the calibration models and historical data typically reflect…