Financial system being the place of metting capital flows (equality between saving and investment), a volatility of capital flows can destroy the robustness and good working of financial system, it means subvert financial stability. The same a weak financial system, few regulated and bad manage can exacerbate volatilit…
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48 results for “Financial stability”
On the use of artificial intelligence in financial regulations and the impact on financial stabilityecon.GN
AI threatens financial stability through misuse and stealth adoption.
problem Misuse and stealth adoption of AI in financial regulations.
method Analysis of AI's potential risks and criteria for AI suitability.
result AI will likely become widely used by stealth, affecting high-level financial functions.
Financial instability transition under heterogeneous investments and portfolio diversificationq-fin.RM
Investment diversification affects financial stability, depending on network connectivity.
problem Analyzing stability of financial networks with diversified portfolios.
method Random matrix dynamical model with portfolio rebalancing, considering heterogeneity and diversification effects.
result Stability/instability transition depends on the largest eigenvalue of the random matrix.
Modeling financial systemic risk with optimal control theory for stability.
problem Analyzing and stabilizing systemic risk in interconnected financial entities.
method Developed a theoretical model using optimal control theory, including steps for synthesizing stabilizing controllers.
result The model ensures that the norms of the mappings from disturbance to output are less than a predefined constant, stabilizing the system.
The recent financial crisis have generated renewed interests in fragilities of global financial networks among economists and regulatory authorities. In particular, a potential vulnerability of the financial networks is the "financial contagion" process in which insolvencies of individual entities propagate through the…
The paper examines how CoCo bonds can enhance financial stability in interconnected banking systems.
problem Enhancing financial stability in interconnected banking systems.
method Financial network model with contingent convertible (CoCo) debt obligations.
result Replacing unsecured interbank debt with CoCo debt decreases systemic risk and increases bank shareholder value.
This review of the book "The Challenge of Financial Stability: A New Model and its Applications" by Goodhart C.A.E. and Tsomocos D.P. highlights the potential of the framework of strategic partial default of banks with credit chain on the interbank market for further theoretical and applied research on financial stabil…
Utilizing Effective Dynamic Graph Learning to Shield Financial Stability from Risk Propagationq-fin.RM
GraphShield uses dynamic graph learning to detect and visualize financial risks.
problem Detecting and mitigating risks in financial networks.
method Enhanced Cross-Domain Information Learning, Advanced Risk Recognition, Risk Propagation Visualization.
result GraphShield effectively identifies and visualizes hidden financial risks.
Advanced Risk Prediction and Stability Assessment of Banks Using Time Series Transformer Modelsq-fin.RM
Paper uses Time Series Transformer for bank stability prediction.
problem Predicting bank stability using complex financial data.
method Time Series Transformer model with self-attention mechanism.
result Time Series Transformer model outperforms other models in MSE and MAE.
We contrast Arbitrage Pricing Theory (APT), the theoretical basis for the development of financial instruments, with a dynamical picture of an interacting market, in a simple setting. The proliferation of financial instruments apparently provides more means for risk diversification, making the market more efficient and…
Gradient Reduction Convolutional Neural Network Policy for Financial Deep Reinforcement Learningq-fin.CP
Enhanced CNN for financial data improves predictive accuracy and stability.
problem Complexity and variability in financial data.
method Normalization and Gradient Reduction Architecture.
result Improvement in model accuracy and stability.
Decoding Financial Health in Kenyas' Medical Insurance Sector: A Data-Driven Cluster Analysisq-fin.CP
Study clusters Kenyan medical insurance companies based on financial performance and reporting consistency.
problem Identifying financial health and reporting consistency in Kenyan medical insurance companies.
method Advanced clustering techniques (KMeans, DTW) on financial ratios and time series data.
result Four distinct clusters identified, each representing different financial performance and reporting consistency combinations.
Oil prices affect Russian banks' stability, with negative impacts from decreases.
problem The impact of international oil prices on Russian public banks' financial stability.
method Data from 17 Russian public banks (2008-2016), Pool Mean Group (PMG) estimator.
result An increase in international oil prices and price to book value ratio positively affects Russian public banks' stability in the long run, while negative shocks have the opposite effect.
CoCos can increase financial fragility in certain network structures.
problem The effectiveness of CoCos in enhancing financial stability depends on the network structure.
method Analysis of phase transitions in a network of interconnected banks.
result CoCos can increase financial fragility under certain network structures.
DHLNN improves deep hedging for financial derivatives with faster convergence and better stability.
problem Challenges in computational inefficiency, sensitivity to noisy data, and optimization complexity in deep hedging methods.
method Integrates periodic fixed-gradient optimization and linearized training dynamics to stabilize and accelerate deep learning model training.
result Demonstrates faster convergence, improved stability, and superior hedging performance across diverse market scenarios.
Italy and the Eurozone are heading in the year 2012 into a financial depression of unprecedented magnitude, with a forthcoming multitude of often contradictory public economic and financial stability emergency interventions whose ultimate endogenous and exogenous effects on public and private health spending and on the…
In a general semimartingale financial model, we study the stability of the No Arbitrage of the First Kind (NA1) (or, equivalently, No Unbounded Profit with Bounded Risk) condition under initial and under progressive filtration enlargements. In both cases, we provide a simple and general condition which is sufficient to…
Study introduces a new copula-based measure for financial asset cointegration.
problem Traditional correlation coefficient's limitations in measuring financial asset relationships.
method Utilizes copulas to measure dependence among financial asset returns.
result Enhanced stability and informativeness in measuring financial asset relationships.
GNN improves financial risk detection in dynamic networks.
problem Complex, changing financial networks make traditional risk identification methods ineffective.
method Graph Neural Networks (GNN) for embedded representation learning of financial data.
result GNN enhances the detection of hidden risks and abnormal behaviors in financial networks.
Generative AI reduces herd behavior in trading, but can also lead to optimal herding.
problem Impact of generative AI on financial stability and herd behavior.
method Laboratory experiments with large language models replicating human trading behavior.
result AI agents make more rational decisions than humans, reducing herd behavior but also potentially leading to optimal herding.
Study on sequential defaulting in financial networks, analyzing stability and optimal timing.
problem Understanding which banks default and how much they can fulfill in a sequential financial network.
method Sequential model of financial networks, analyzing stability and optimal timing of defaults.
result Stabilization time can heavily depend on the ordering of announcements, and finding the best time for default is NP-hard.
Study examines Fed's pandemic communication strategies.
problem Analyzing Federal Reserve's communication during the COVID-19 pandemic.
method Sentiment analysis, topic modeling, comparative analysis of previous crises.
result Fed's communication during the pandemic focused on financial stability, market volatility, social welfare, and unconventional monetary policy.
Following the financial crisis of 2007-2008, a deep analogy between the origins of instability in financial systems and complex ecosystems has been pointed out: in both cases, topological features of network structures influence how easily distress can spread within the system. However, in financial network models, the…
Study assesses impact of CBDC on financial stability in dual-currency economy.
problem Impact of CBDC on financial stability in dual-currency economy (Romania).
method Integrated analytical framework combining econometrics, machine learning, and behavioural modelling. CBDC adoption probabilities estimated using XGBoost and logistic regression models. Liquidity stress simulations and VAR, MSVAR, SVAR models capture macro-financial transmission.
result CBDC uptake would be moderate, primarily driven by digital readiness and trust in the central bank.
Paper uses Ricci curvature to measure and forecast China's stock market stability.
problem Measuring and predicting systemic stability of China's stock market.
method Geometric measure derived from discrete Ricci curvature applied to financial networks.
result Ricci curvature effectively captures market stability and predicts future trends.
Debt-financed collateral in DeFi increases stability risks.
problem Financial stability risks in DeFi ecosystems due to debt-financed collateral.
method Categorization and classification algorithm to measure debt-financed collateral.
result Wide-spread use of stablecoins as debt-financed collateral increases financial stability risks.
Study quantifies financial contagion risks in supply chains.
problem Supply chain shocks contribute to financial losses.
method Multi-layer network framework, micro-dataset of Hungarian firms.
result Supply chain shocks amplify financial losses by 4-3x.
Threats on the stability of a financial system may severely affect the functioning of the entire economy, and thus considerable emphasis is placed on the analyzing the cause and effect of such threats. The financial crisis in the current and past decade has shown that one important cause of instability in global market…
Recurring international financial crises have adverse socioeconomic effects and demand novel regulatory instruments or strategies for risk management and market stabilization. However, the complex web of market interactions often impedes rational decisions that would absolutely minimize the risk. Here we show that, for…
Study on diversifying equity portfolios during financial crises and stability.
problem Determining the effectiveness of diversification strategies during financial crises and stability.
method Analysis of 20 years of US stock price data, including GFC and COVID-19 crashes, using eigenvalues, graph-theoretic diagnostics, and hierarchical clustering.
result During financial crises, diversification via sector-based portfolios is ineffective, while during stability, 30-40 stocks provide sufficient diversification.
The new business paradigms originate a strong necessity to re-think the theory of the firm with the aim to get a better understanding on the organizational and functional principles of the firm, operating in the investment economies in the prosperous societies. In this connection, we make the innovative research to adv…
We combine geometric data analysis and stochastic modeling to describe the collective dynamics of complex systems. As an example we apply this approach to financial data and focus on the non-stationarity of the market correlation structure. We identify the dominating variable and extract its explicit stochastic model. …
We analyse the importance of international relations between countries on the financial stability. The contagion effect in the network is tested by implementing an epidemiological model, comprising a number of European countries and using bilateral data on foreign claims between them. Banking statistics of consolidated…
In financial markets, greater volatility is usually considered synonym of greater risk and instability. However, large market downturns and upturns are often preceded by long periods where price returns exhibit only small fluctuations. To investigate this surprising feature, here we propose using the mean first hitting…
Economic effects on households of an augmentation of the cash back duration of real estate loanq-fin.CP
Examines how extending home loan durations affects French households financially.
problem Financial implications for households with extended home loan durations.
method Analysis of French and international home loan systems, including bullet loans and Japanese home loans.
result Extending home loan durations can reduce monthly payments but raises financial risks.
A new method for computing Greeks without bias, improving stability.
problem Inaccurate and unstable computation of second order Greeks (like Gamma) in financial instruments.
method Apply Chebyshev interpolation techniques to finite differences for improved stability.
result Improved stability and accuracy in computing spot Greeks without bias.
Central banks play a key role in promoting sustainable finance.
problem Addressing global environmental and social challenges through sustainable finance.
method Analyzes central banks' influence on financial stability, economic growth, and sustainability.
result Central banks can promote sustainable finance through various strategies.
JFR-rg: A New Macroeconomic Framework for High-Debt, Low-Growth Economies under Financial Repressionecon.EM
JFR-rg model explains Japan's stable debt despite high interest rates and low growth.
problem Understanding Japan's stable government debt despite high interest rates and low growth.
method Formalizes financial repression channels through JFR-rg model, incorporating financial repression bias and exchange-rate channel.
result Identifies Normalization Trap and Captive Financial System Parameter, showing debt dynamics under financial repression.
Develops pathwise analysis for log-optimal portfolios using rough paths theory.
problem Analyzing stability and approximation of log-optimal portfolios.
method Pathwise approach based on càdlàg rough paths theory.
result Establishes pathwise stability and error estimates for log-optimal portfolios.
Suffocating Fire Salesq-fin.RM
Mathematical framework investigates fire sales amplification and stability.
problem Market instability caused by fire sales amplification.
method Developed a mathematical framework to investigate system characteristics and resilience.
result Characterized systems resilient to small shocks for financial stability assessment.
Emerging economies use countercyclical policies to manage crises and dominant currencies.
problem Managing economic crises and fluctuations in dominant currencies like USD and EUR.
method Theoretical analysis, case studies, econometric modeling.
result Emerging economies can stabilize growth with countercyclical monetary policies.
A quick review of European financial stability institutions and the role of stress tests in the current juridical system.
Interbank Credit and the Money Manufacturing Process. A Systemic Perspective on Financial Stabilityq-fin.GN
Interbank lending and borrowing occur when financial institutions seek to settle and refinance their mutual positions over time and circumstances. This interactive process involves money creation at the aggregate level. Coordination mismatch on interbank credit may trigger systemic crises. This happened when, since sum…
Neuro-symbolic traders suppress market prices, highlighting risks to stability.
problem Understanding and quantifying the influence of AI-generated financial models on markets.
method Developed virtual neuro-symbolic traders using deep generative models and tested them in a virtual market.
result Neuro-symbolic traders suppress market prices compared to historical data, indicating potential market instability.
The study establishes stability in WMOT, crucial for finance with imprecise data.
problem Stability in weak martingale optimal transport for finance with imprecise data.
method Established stability through rigorous mathematical analysis.
result Stability of WMOT is proven, with applications to VIX futures and Brownian motion.
Study how firm liquidation regimes affect shareholder value and stability.
problem Balancing shareholder value and financial stability during firm liquidation.
method Modelled forced liquidation in reduced form, solved singular stochastic control problem.
result Combining distress regions below and above ruin threshold improves both shareholder value and firm survival.
A new space-time model for interacting agents on the financial market is presented. It is a combination of the Curie-Weiss model and a space-time model introduced by Järpe 2005. Properties of the model are derived with focus on the critical temperature and magnetization. It turns out that the Hamiltonian is a sufficien…
Survey of stablecoins to reduce cryptocurrency volatility.
problem Reduction of cryptocurrency volatility during financial crises.
method Classification of stablecoin approaches and assessment of tradeoffs.
result Different stablecoin types offer varying tradeoffs and challenges.