A locally-built, LLM-digested index of recent arXiv papers in quant finance, geometry/topology, and statistical ML — keyword search served straight from SQLite on this machine.
Network analysis reveals distinct financial relationships among Euro Area banks.
Employs granular data to create a multilayer network for euro area banks, revealing distinct risk patterns.
A digital euro protocol offers complete privacy and offline transactions using Groth-Sahai proofs.
To mitigate potential contagion from future banking crises, the European Commission recently proposed a framework which would provide for the of bank creditors in the event of failure. In this study, we examine this framework retrospectively in the context of failed European banks during the global f…
The paper estimates CoVaR with various models for financial risk analysis.
This paper contains a feasibility study of deep neural networks for the classification of Euro banknotes with respect to requirements of central banks on the ATM and high speed sorting industry. Instead of concentrating on the accuracy for a large number of classes as in the famous ImageNet Challenge we focus thus on c…
Study assesses impact of CBDC on financial stability in dual-currency economy.
This study applies old and new generations of panel unit root tests to test the validity of long-run real interest rate parity (RIP) hypothesis for ten Central and Eastern European Countries (CEECs) with respect to the Euro area and an average of the CEECs' real interest rates, respectively. When the panel unit root te…
Italian banks use swaps to hedge against rising interest rates, offsetting losses on debt securities.
Paper details how to smoothly transition from EONIA to ESTR without significant financial impact.
In the present work we propose an original analytical model of coopetitive game. We try to apply this analytical model of coopetition - based on game theory and conceived at a macro level - to the Greek crisis, suggesting feasible solutions in a cooperative perspective for the divergent interests which drive the econom…
This paper investigates and compares currency substitution between the currencies of Central and Eastern European (CEE) countries and the euro. In addition, we develop a model with microeconomic foundations, which identifies difference between currency substitution and money demand sensitivity to exchange rate variatio…
We study the frictions in the patterns of trades in the Euro money market. We characterize the structure of lending relations during the period of recent financial turmoil. We use network-topology method on data from overnight transactions in the Electronic Market for Interbank Deposits (e-Mid) to investigate on two ma…
This paper empirically analyses risk in the Euro relative to other currencies. Comparisons are made between a sub period encompassing the final transitional stage to full monetary union with a sub period prior to this. Stability in the face of speculative attack is examined using Extreme Value Theory to obtain estimate…
We study the performance of the euro/Swiss franc exchange rate in the extraordinary period from September 6, 2011 and January 15, 2015 when the Swiss National Bank enforced a minimum exchange rate of 1.20 Swiss francs per euro. Based on the analogy between Brownian motion in finance and physics, the first-order effect …
We generalize a money demand micro-founded model to explain Romanians' recent loss of interest for the euro. We show that the reason behind this loss of interest is a severe decline in the relative degree of the euro liquidity against that of the Romanian leu.
This paper investigates two mechanisms of financial contagion that are, firstly, the correlated exposure of banks to the same source of risk, and secondly the direct exposure of banks in the interbank market. It will consider a random network of banks which are connected through the inter-bank market and will discuss t…
Research examines how Islamic banking principles spread among managers and scholars.
Tall wheatgrass outperforms rye in energy and environmental metrics, marginally improving economic viability.
This paper reviews bank performance determinants, highlighting future research areas.
Bayesian econometrics improves nowcasting during pandemics.
XGBoost predicts bank loan defaults with improved accuracy.
In this paper, we empirically study models for pricing Italian sovereign bonds under a reduced form framework, by assuming different dynamics for the short-rate process. We analyze classical Cox-Ingersoll-Ross and Vasicek multi-factor models, with a focus on optimization algorithms applied in the calibration exercise. …
Survey examines machine learning for credit rating predictions.
Various works have already showed that common shocks and cross-country financial linkages caused the banking systems of several countries to be highly interconnected with the result that during bad times, banking crises may arise simultaneously in different countries. Our aim is to provide further evidence on the topic…
The study classifies policy announcements' impact on stock market volatility.
A system for Operational Risk management based on the computational paradigm of Bayesian Networks is presented. The algorithm allows the construction of a Bayesian Network targeted for each bank using only internal loss data, and takes into account in a simple and realistic way the correlations among different processe…
We first show that there are in fact triangular arbitrage opportunities in the spot foreign exchange markets, analyzing the time dependence of the yen-dollar rate, the dollar-euro rate and the yen-euro rate. Next, we propose a model of foreign exchange rates with an interaction. The model includes effects of triangular…
Access to food assistance programs such as food pantries and food banks needs focus in order to mitigate food insecurity. Accessibility to the food assistance programs is impacted by demographics of the population and geography of the location. It hence becomes imperative to define and identify food assistance deserts …
We have presented a novel technique of detecting intermittencies in a financial time series of the foreign exchange rate data of U.S.- Euro dollar(US/EUR) using a combination of both statistical and spectral techniques. This has been possible due to Continuous Wavelet Transform (CWT) analysis which has been popularly a…
Machine learning reveals inventory effects on VSTOXX futures pricing.
The banking industry is very important for an economic cycle of each country and provides some quality of services for us. With the advancement in technology and rapidly increasing of the complexity of the business environment, it has become more competitive than the past so that efficiency analysis in the banking indu…
We present a HJM approach to the projection of multiple yield curves developed to capture the volatility content of historical term structures for risk management purposes. Since we observe the empirical data at daily frequency and only for a finite number of time-to-maturity buckets, we propose a modelling framework w…
Over the last decade, dividends have become a standalone asset class instead of a mere side product of an equity investment. We introduce a framework based on polynomial jump-diffusions to jointly price the term structures of dividends and interest rates. Prices for dividend futures, bonds, and the dividend paying stoc…
Tree-based synthesis improves forecast accuracy in GDP and inflation.
The probability distribution of log-returns for financial time series, sampled at high frequency, is the basis for any further developments in quantitative finance. In this letter, we present experimental results based on a large set of time series on futures. We show that the t-distribution with gives a ni…
Credit risk management in Italy is characterized, in the period June 2008 to June 2012, by frequent (frequency=0.5 cycles per year) and intense (peak amplitude: mean=39.2 billion Euros, s.e.=2.83 billion Euros) quarterly contractions and expansions around the mean (915.4 billion Euros, s.e.=3.59 billion Euros) of the n…
Study analyzes foreign exchange rates using MFDFA, revealing multifractality and its sources.
This paper analyzes Libor interest rates for seven different maturities and referred to operations in British Pounds, Euro, Swiss Francs and Japanese Yen, during the period years 2001 to 2015. The analysis is performed by means of two quantifiers derived from Information Theory: the permutation Shannon entropy and the …
An asset network systemic risk (ANWSER) model is presented to investigate the impact of how shadow banks are intermingled in a financial system on the severity of financial contagion. Particularly, the focus of this study is the impact of the following three representative topologies of an interbank loan network betwee…
In an efficient stock market, the returns and their time-dependent volatility are often jointly modeled by stochastic volatility models (SVMs). Over the last few decades several SVMs have been proposed to adequately capture the defining features of the relationship between the return and its volatility. Among one of th…
Bayesian model averaging has become a widely used approach to accounting for uncertainty about the structural form of the model generating the data. When data arrive sequentially and the generating model can change over time, Dynamic Model Averaging (DMA) extends model averaging to deal with this situation. Often in ma…
The study compares profitability of conventional and Islamic banks in Bangladesh.
Study on electronic banking satisfaction in Nigeria.
Study analyzes profitability and efficiency of Chinese banks, finding state-owned banks superior.
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 simulation model to analyze the risk of insolvency of banks and defaults in a bank credit…
This paper examines SVB's failure and its impact on bank stocks.
We report a study of a stylized banking cascade model investigating systemic risk caused by counter party failure using liabilities and assets to define banks' balance sheet. In our stylized system, banks can be in two states: normally operating or distressed and the state of a bank changes from normally operating to d…