相关论文: Life after (Soft) Default

What happens when the Supreme Court of the United States decides a case impacting one or more publicly-traded firms? While many have observed anecdotal evidence linking decisions or oral arguments to abnormal stock returns, few have…

While financial misconduct in advisory services persists despite regulation, the demand-side of market discipline, specifically the timing of investor detection, remains a critical bottleneck. Using approximately 55,700 FINRA BrokerCheck…

Based on the quarterly data from 26 advanced economies (AEs) and 18 emerging market economies (EMs) over the past two decades, this paper estimates the short- and medium-term impacts of financial cycles on the duration and amplitude of…

The 2008 financial crisis illustrated the need for a thorough, functional understanding of systemic risk in strongly interconnected financial structures. Dynamic processes on complex networks being intrinsically difficult, most recent…

In general, homeowners refinance in response to a decrease in interest rates, as their borrowing costs are lowered. However, it is worth investigating the effects of refinancing after taking the underlying costs into consideration. Here we…

We show how bad and good volatility propagate through forex markets, i.e., we provide evidence for asymmetric volatility connectedness on forex markets. Using high-frequency, intra-day data of the most actively traded currencies over 2007 -…

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…

Almost all countries in the world require banks to report suspicious transactions to national authorities. The reports are known as suspicious transaction or activity reports (we use the former term) and are intended to help authorities…

Changes in collateralization have been implicated in significant default (or near-default) events during the financial crisis, most notably with AIG. We have developed a framework for quantifying this effect based on moving between…

Empirical estimation of critical points at which complex systems abruptly flip from one state to another is among the remaining challenges in network science. However, due to the stochastic nature of critical transitions it is widely…

The European sovereign debt crisis has impaired many European banks. The distress on the European banks may transmit worldwide, and result in a large-scale knock-on default of financial institutions. This study presents a computer…

Large-scale power failures are induced by nearly all natural disasters from hurricanes to wild fires. A fundamental problem is whether and how recovery guided by government policies is able to meet the challenge of a wide range of…

Trust lies at the crux of most economic transactions, with credit markets being a notable example. Drawing on insights from the literature on coordination games and network growth, we develop a simple model to clarify how trust breaks down…

Short-term survival and an exuberant plunge into building our future are generating a new kind of unintended consequence -- hidden fragility. This is a direct effect of the sophistication and structural complexity of the socio-technical…

This paper proposes a new measure of tail risk spillover. The empirical application provides evidence of significant volatility and tail risk spillovers from the financial sector to many real economy sectors in the U.S. economy in the…

One single code change can significantly influence a wide range of software systems and their users. For example, 1) adding a new feature can spread defects in several modules, while 2) changing an API method can improve the performance of…

We investigate the impact of available information on the estimation of the default probability within a generalized structural model for credit risk. The traditional structural model where default is triggered when the value of the firm's…

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…

Failure studies are important in revealing the root causes, behaviors, and life cycle of defects in software systems. These studies either focus on understanding the characteristics of defects in specific classes of systems or the…

Technical debt refers to taking shortcuts to achieve short-term goals, which might negatively influence software maintenance in the long-term. There is increasing attention on technical debt that is admitted by developers in source code…