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.
Proposes a method to model financial returns with extreme shocks using flexible tail transformations.
New method identifies uncertainty shocks in financial markets using revised VIX.
External or internal shocks may lead to the collapse of a system consisting of many agents. If the shock hits only one agent initially and causes it to fail, this can induce a cascade of failures among neighoring agents. Several critical constellations determine whether this cascade remains finite or reaches the size o…
Study optimal reinsurance and investment strategies under common shocks affecting financial and actuarial markets.
Universal model for soft tissue mechanics under shock waves.
This study analyzes dynamic connectedness in global supply chain infrastructure portfolios, identifying key risk factors and extreme events.
We propose a model and an estimation technique to distinguish systemic risk and contagion in credit risk. The main idea is to assume, for a set of obligors, a set of idiosyncratic shocks and a shock that triggers the default of all them. All shocks are assumed to be linked by a dependence relationship, that in …
Bayesian model uses mobile data to assess business resilience after hurricanes.
A growing body of studies on systemic risk in financial markets has emphasized the key importance of taking into consideration the complex interconnections among financial institutions. Much effort has been put in modeling the contagion dynamics of financial shocks, and to assess the resilience of specific financial ma…
Inference over tails is usually performed by fitting an appropriate limiting distribution over observations that exceed a fixed threshold. However, the choice of such threshold is critical and can affect the inferential results. Extreme value mixture models have been defined to estimate the threshold using the full dat…
This paper proposes an empirical test of financial contagion in European equity markets during the tumultuous period of 2008-2011. Our analysis shows that traditional GARCH and Gaussian stochastic-volatility models are unable to explain two key stylized features of global markets during presumptive contagion periods: s…
Physics-constrained GP predicts material states under shockwave conditions.
The study measures systemic risk using common and tail dependence factors.
Recently, large-scale cascading failures in complex systems have garnered substantial attention. Such extreme events have been treated as an integral part of the self-organized criticality (SOC). Recent empirical work has suggested that some extreme events systematically deviate from the SOC paradigm, requiring a diffe…
Study extends Gai-Kapadia framework to assess systemic risk in global equity markets.
Paper improves SVaR estimation for stress testing under macro scenarios using a hybrid GPR-HS framework.
The study reveals asymmetries in US financial shocks' international impacts.
Study examines how institutional differences and crises affect volatility in ASEAN stock markets.
Crypto markets show negative spillovers between chains, not positive co-movements.
Study shows local governments smooth fiscal shocks from property tax revenues.
Develops a climate risk model for asset managers.
Investigates how extreme temperature events affect global equity portfolios.
In this paper we study the distributional properties of a vector of lifetimes in which each lifetime is modeled as the first arrival time between an idiosyncratic shock and a common systemic shock. Despite unlike the classical multidimensional Marshall-Olkin model here only a unique common shock affecting all the lifet…
The study uses Random Matrix Theory to identify structural changes in stock markets during shocks.
We have analyzed the Indices of Industrial Production (Seasonal Adjustment Index) for a long period of 240 months (January 1988 to December 2007) to develop a deeper understanding of the economic shocks. The angular frequencies estimated using the Hilbert transformation, are almost identical for the 16 industrial secto…
Currency volatility shocks predict lower excess returns, and buying weak transmitters outperforms selling strong ones.
We empirically test the effects of unanticipated fiscal policy shocks on the growth rate and the cyclical component of real private output and reveal different types of asymmetries in fiscal policy implementation. The data used are quarterly U.S. observati ons over the period 1967:1 to 2011:4. In doing so, we use both …
New method quantifies market shocks and their effects.
Paper addresses unbalanced data in common shock models for loss reserving.
Paper proposes SERT model for US stock pricing, outperforming standard models during market shocks.
This study assesses how economic shocks affect the efficiency and robustness of international pesticide trade networks.
This paper investigates how economic shocks propagate and amplify through the input-output network connecting industrial sectors in developed economies. We study alternative models of diffusion on networks and we calibrate them using input-output data on real-world inter-sectoral dependencies for several European count…
Geopolitical and geoeconomic shocks affect sovereign risk differently, with distinct transmission channels.
New approach measures systemic risk by absorbing shocks before financial systems deteriorate.
Using a modified damped harmonic oscillator model equivalent to a model of market dynamics with price expectations, we analyze the reaction of financial markets to shocks. In order to do this, we gather data from indices of a variety of financial markets for the 1987 Black Monday, the Russian crisis of 1998, the crash …
Finance is about how the continuous stream of news gets incorporated into prices. But not all news have the same impact. Can one distinguish the effects of the Sept. 11, 2001 attack or of the coup against Gorbachev on Aug., 19, 1991 from financial crashes such as Oct. 1987 as well as smaller volatility bursts? Using a …
Oil markets profoundly influence world economies through determination of prices of energy and transports. Using novel methodology devised in frequency domain, we study the information transmission mechanisms in oil-based commodity markets. Taking crude oil as a supply-side benchmark and heating oil and gasoline as dem…
We reverse engineer dynamics of financial contagion to find the scenario of smallest exogenous shock that, should it occur, would lead to a given final systemic loss. This reverse stress test can be used to identify the potential triggers of systemic events, and it removes the arbitrariness in the selection of shock sc…
Stress shocks are often calculated as multiples of the standard deviation of a history set. This paper investigates how many standard deviations are required to guarantee that this shock exceeds any observation within the history set, given the additional constraint of kurtosis. The results of this analysis are then us…
We establish a simple relation between curvatures of the group of volume-preserving diffeomorphisms and the lifespan of potential solutions to the inviscid Burgers equation before the appearance of shocks. We show that shock formation corresponds to a focal point of the group of volume-preserving diffeomorphisms regard…
We investigate shock-wave solutions of the Einstein equations in the case when the speed of propagation is equal to the speed of light. The work extends the shock matching theory of Smoller and Temple, which characterizes solutions of the Einstein equations when the spacetime metric is only Lipschitz continuous across …
Study historical cholera epidemics and simulate long-term mortality impacts.
Network models assume unrealistic idiosyncratic risk, which can be mitigated by allowing for correlated shocks.
This paper combines and develops the models in Lastrapes (2002) and Mankiw & Weil (1989), which enables us to analyze the effects of interest rate and population growth shocks on housing price in one integrated framework. Based on this model, we carry out policy simulations to examine whether the housing (stock or flow…
The paper analyzes optimal timing for converting wealth into annuities in the presence of a mortality shock.
Study adapts OHLC volatility estimators for monitoring market stress in diverse settings.
We study the cascading dynamics immediately before and immediately after 219 market shocks. We define the time of a market shock T_{c} to be the time for which the market volatility V(T_{c}) has a peak that exceeds a predetermined threshold. The cascade of high volatility "aftershocks" triggered by the "main shock" is …
Modeling financial contagion through bank networks, revealing solvency correlations.