相关论文: Legacy Lending Relationships and Credit Rationing:…

The Paycheck Protection Program (PPP) was the largest targeted business support program in the United States, yet its firm-level effects remain contested. I link administrative PPP and SBA 7(a) records to a near-universe panel of U.S.…

We study a credit risk model which captures effects of economic interactions on a firm's default probability. Economic interactions are represented as a functionally defined graph, and the existence of both cooperative, and competitive,…

The existence of asymmetric information has always been a major concern for financial institutions. Financial intermediaries such as commercial banks need to study the quality of potential borrowers in order to make their decision on…

For more than a half-century, credit risk management has used credit scoring models in each of its well-defined stages to manage credit risk. Application scoring is used to decide whether to grant a credit or not, while behavioral scoring…

U.S. discrimination law can impose liability on firms that fail to adopt a less discriminatory alternative (LDA): a decision policy that achieves the same business objectives while reducing disparate impact on legally protected groups.…

In this paper we present a novel algorithm to study the evolution of credit risk across complex multilayer networks. Pagerank-like algorithms allow for the propagation of an influence variable across single networks, and allow quantifying…

We develop an Empirical Bayes grading scheme that balances the informativeness of the assigned grades against the expected frequency of ranking errors. Applying the method to a massive correspondence experiment, we grade the racial biases…

Public and private institutions must often allocate scare resources under uncertainty. Banks, for example, extend credit to loan applicants based in part on their estimated likelihood of repaying a loan. But when the quality of information…

Credit is an essential component of financial wellbeing in America, and unequal access to it is a large factor in the economic disparities between demographic groups that exist today. Today, machine learning algorithms, sometimes trained on…

Algorithmic lending has transformed the consumer credit landscape, with complex machine learning models now commonly used to make or assist underwriting decisions. To comply with fair lending laws, these algorithms typically exclude legally…

The DebtRank algorithm has been increasingly investigated as a method to estimate the impact of shocks in financial networks, as it overcomes the limitations of the traditional default-cascade approaches. Here we formulate a dynamical…

Small and Medium-sized Enterprises (SMEs) are known to play a vital role in economic growth, employment, and innovation. However, they tend to face significant challenges in accessing credit due to limited financial histories, collateral…

Disparities in lending to minority applicants persist even as algorithmic lending finds widespread adoption. We study the role of risk-management constraints, specifically Value-at-Risk ($\VaR$) and Expected Shortfall (ES), in inducing…

Social and professional networks affect labor market dynamics, knowledge diffusion and new business creation. To understand the determinants of how these networks are formed in the first place, we analyze a unique dataset of business cards…

In the area of credit risk analytics, current Bankruptcy Prediction Models (BPMs) struggle with (a) the availability of comprehensive and real-world data sets and (b) the presence of extreme class imbalance in the data (i.e., very few…

This paper investigates the impact of Social Discount Rate (SDR) choice on intergenerational equity issues caused by Public-Private Partnerships (PPPs) projects. Indeed, more PPPs mean more debt being accumulated for future generations…

We develop and evaluate a family of discrete-time logit-link (LLink) models (including fixed-effects and frailty extensions) to capture latent heterogeneity in repayment behaviour and quantify the effects of socio-temporal factors in…

Link prediction is a fundamental problem in network science, aiming to infer potential or missing links based on observed network structures. With the increasing adoption of parameterized models, the rigor of evaluation protocols has become…

Recent studies on fairness in automated decision making systems have both investigated the potential future impact of these decisions on the population at large, and emphasized that imposing ''typical'' fairness constraints such as…

We consider a model of financial contagion in a bipartite network of assets and banks recently introduced in the literature, and we study the effect of power law distributions of degree and balance-sheet size on the stability of the system.…