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.
The 1/3 Financial Rule helps prevent household bankruptcy through balanced spending, savings, and debt repayment.
Paper presents ECL dataset for multi-modal bankruptcy prediction.
The study predicts bankruptcy in Indian companies using financial ratios.
We have conducted an agent-based simulation of chain bankruptcy. The propagation of credit risk on a network, i.e., chain bankruptcy, is the key to nderstanding largesized bankruptcies. In our model, decrease of revenue by the loss of accounts payable is modeled by an interaction term, and bankruptcy is defined as a ca…
Study explores how labour income impacts optimal bankruptcy strategy.
Narrative disclosures in 10-K filings improve bankruptcy prediction beyond accounting ratios.
Study on Spanish households' investment choices in housing, deposits, and stocks.
Credit expansion led to stronger household leverage cycles during the U.S. business cycle.
Optimizes dividend control in a bankruptcy process using a special Levy process.
Investment herding can reduce household consumption, a phenomenon called crowding-out effect.
Financial planners helped preserve and increase household net financial assets during the Great Recession.
Study proposes a data-driven CBR system for improved bankruptcy prediction.
In this article we present an alternative model for the distribution of household incomes in the United States. We provide arguments from two differing perspectives which both yield the proposed income distribution curve, and then fit this curve to empirical data on household income distribution obtained from the Unite…
We describe a method to identify poor households in data-scarce countries by leveraging information contained in nationally representative household surveys. It employs standard statistical learning techniques---cross-validation and parameter regularization---which together reduce the extent to which the model is over-…
Interval bankruptcy problems arise in situations where an estate has to be liquidated among a fixed number of creditors and uncertainty about the amounts of the claims is modeled by intervals. We extend in the interval setting the classical results by Curiel, Maschler and Tijs (1987) that characterize division rules wh…
Research aims to predict fallen angel bonds' bankruptcy using machine learning.
Predicting bankruptcy using financial data and news sentiment.
This paper considers an optimal life insurance for a householder subject to mortality risk. The household receives a wage income continuously, which is terminated by unexpected (premature) loss of earning power or (planned and intended) retirement, whichever happens first. In order to hedge the risk of losing income st…
Gradient boosted trees outperform other models in predicting corporate bankruptcy.
Model analyzes mortgage relief during financial hardship.
Optimal dividends strategy in a two-state regime-switching environment.
Develops a two-layer model to design mortgage assistance products.
New model uses financial filings to predict bankruptcy, even without MDA sections.
We study a singular stochastic control problem faced by the owner of an insurance company that dynamically pays dividends and raises capital in the presence of the restriction that the surplus process must be above a given dividend payout barrier in order for dividend payments to be allowed. Bankruptcy occurs if the su…
Study combines intra-risk and contagion risk for SME bankruptcy prediction.
Using an exhaustive list of Japanese bankruptcy in 1997, we discover a Zipf law for the distribution of total liabilities of bankrupted firms in high debt range. The life-time of these bankrupted firms has exponential distribution in correlation with entry rate of new firms. We also show that the debt and size are high…
We model a network economy with three sectors: downstream firms, upstream firms, and banks. Agents are linked by productive and credit relationships so that the behavior of one agent influences the behavior of the others through network connections. Credit interlinkages among agents are a source of bankruptcy diffusion…
This note explores the mathematical theory to solve modern gamblers ruin problems. We establish a ruin framework and solve for the probability of bankruptcy. We also show how this relates to the expected time to bankruptcy and review the risk neutral probabilities associated an adjustment to asymmetrical views.
We analyze the size dependence and temporal stability of firm bankruptcy risk in the US economy by applying Zipf scaling techniques. We focus on a single risk factor-the debt-to-asset ratio R-in order to study the stability of the Zipf distribution of R over time. We find that the Zipf exponent increases during market …
In bankruptcy prediction, the proportion of events is very low, which is often oversampled to eliminate this bias. In this paper, we study the influence of the event rate on discrimination abilities of bankruptcy prediction models. First the statistical association and significance of public records and firmographics i…
New method predicts bankruptcy by imputing missing data with granular semantics.
A database of objects discovered in houses in the Roman city of Pompeii provides a unique view of ordinary life in an ancient city. Experts have used this collection to study the structure of Roman households, exploring the distribution and variability of tasks in architectural spaces, but such approaches are necessari…
Study analyzes household capital risk and poverty trapping, deriving a new function for capital deficit distribution.
Credit estimation and bankruptcy prediction methods have been utilizing Altman's score method for the last several years. It is reported in many studies that score is sensitive to changes in accounting figures. Researches have proposed different variations to conventional score that can improve the predicti…
Enhanced deep learning model forecasts household leverage series accurately.
The optimal capital structure model with endogenous bankruptcy was first studied by Leland (1994) and Leland and Toft (1996), and was later extended to the spectrally negative Levy model by Hilberink and Rogers (2002) and Kyprianou and Surya (2007). This paper incorporates the scale effects by allowing the values of ba…
We found a unified formula for description of the household incomes of all society classes, for instance, of those of the European Union in year 2007. This formula is a stationary solution of the threshold Fokker-Planck equation (derived from the threshold nonlinear Langevin one). The formula is more general than the w…
Study on stock portfolio concentration among Finnish households and investors.
We revisit the optimal capital structure model with endogenous bankruptcy first studied by Leland \cite{Leland94} and Leland and Toft \cite{Leland96}. Differently from the standard case, where shareholders observe continuously the asset value and bankruptcy is executed instantaneously without delay, we assume that the …
Model shows how confidence feedback can lead to different crisis outcomes.
New method for disaggregate electricity demand forecasting at household level.
Intra-household inequality continues to remain a neglected corner despite renewed focus on income and wealth inequality. Using the LIS micro data, we present evidence that this neglect is equivalent to ignoring up to a third of total inequality. For a wide range of countries and over four decades, we show that at least…
Examines how extending home loan durations affects French households financially.
New distress dictionary improves bankruptcy prediction from disclosure text.
Paper introduces a benchmark for predicting bankruptcy from text data.
Model predicts Mozambique bank failures, aiding risk management.
We found a unified formula for description of the household incomes of all society classes, for instance, for the European Union in years 2005-2010. The formula is more general than well known that of Yakovenko et al. because, it satisfactorily describes not only the household incomes of low- and medium-income society …
New measure predicts Dutch housing market downturns.