arXiv research

The paper develops a comprehensive valuation method for OTC claims that considers credit and funding risks.

We study the solution's existence for a generalized Dynkin game of switching type which is shown to be the natural representation for general defaultable OTC contract with contingent CSA. This is a theoretical counterparty risk mitigation mechanism that allows the counterparty of a general OTC contract to switch from z…

Model analyzes OTC market making with reputation feedback.

Model analyzes how reputation feedback affects OTC market making.

Model predicts OTC dealers' trading behavior using historical data.

The research presented in this work is motivated by some recent papers regarding hedging and valuation of financial securities subject to funding costs, collateralization and counterparty credit risk. Our goal is to provide a sound theoretical underpinning for some results presented in these papers by developing a unif…

Optimal liquidation model reduces trading costs in OTC markets.

Backward SDEs help price XVA for OTC derivatives.

Study uncovers CDS anomalies leading to arbitrage profits.

Paper uses reinforcement learning to optimize bid-ask spreads in OTC markets.

The extended Wild sums considered in this article generalize the classi- cal Wild sums of statistical physics. We first show how to obtain explicit solutions for the evolution equation of a large system where the interactions are given by a single, but general, interacting kernel which involves m components, for a fixe…

Counterparty risk denotes the risk that a party defaults in a bilateral contract. This risk not only depends on the two parties involved, but also on the risk from various other contracts each of these parties holds. In rather informal markets, such as the OTC (over-the-counter) derivative market, institutions only rep…

Study price impact in OTC credit index market without order book.

ABM simulates OTC government bond market dynamics, enhancing liquidity and stability.

Paper calculates robust FVA for OTC derivatives under distributional uncertainty.

This paper tackles multi-asset market making by reducing dimensionality and considering different transaction sizes.

The present work studies and analyzes general defaultable OTC contract in presence of a contingent CSA, which is a theoretical counterparty risk mitigation mechanism of switching type that allows the counterparty of a general OTC contract to switch from zero to full/perfect collateralization and switch back whenever sh…

Market makers use a new method to predict and respond to RFQs in the OTC market.

Study competition in OTC CDS market through CCP and interdealer choice models.

We study the impact of central clearing of over-the-counter (OTC) transactions on counterparty exposures in a market with OTC transactions across several asset classes with heterogeneous characteristics. The impact of introducing a central counterparty (CCP) on expected interdealer exposure is determined by the tradeof…

Develops a haircut model for non-cash collateral.

The paper examines how banks charge a KVA to clients under stricter capital requirements.

Broker uses multi-task dynamic pricing to learn competitive prices in credit markets.

This article prices OTC derivatives with either an exogenously determined initial margin profile or endogenously approximated initial margin. In the former case, margin valuation adjustment (MVA) is defined as the liability-side discounted expected margin profile, while in the latter, an extended partial differential e…

We introduce and study a class of over-the-counter market models specified by systems of Ordinary Differential Equations (ODE's), in the spirit of Duffie- G^arleanu-Pedersen [6]. The key innovation is allowing for multiple assets. We show the existence and uniqueness of a steady state for these ODE's.

Extends micro-price concept to RFQ markets for fair pricing.

Study multi-agent RL in OTC markets, learning from agents' interactions.

Paper details how to smoothly transition from EONIA to ESTR without significant financial impact.

In [1] Zawadoski introduces a banking network model in which the asset and counter-party risks are treated separately and the banks hedge their assets risks by appropriate OTC contracts. In his model, each bank has only two counter-party neighbors, a bank fails due to the counter-party risk only if at least one of its …

The paper proposes a machine learning method to estimate proxy CDS rates for illiquid counterparties.

Paper improves ISDA margin calculation using LSMC.

Reinforcement learning improves insurance claims reserving by learning from all claim trajectories.

The study analyzes how bonus-malus systems and delayed claims settlement affect insurance companies' financial stability.

Deep Claim predicts payer responses from claims data using deep learning.

Paper proposes auction method for smart derivatives to avoid disputes.

New method for individual claims reserving using machine learning.

The tail of the distribution of a sum of a random number of independent and identically distributed nonnegative random variables depends on the tails of the number of terms and of the terms themselves. This situation is of interest in the collective risk model, where the total claim size in a portfolio is the sum of a …

Two machine learning models detect anomalies in ER claims, saving up to 40% in improper payments.

A self-attention model improves fraud detection in health care claims.

Optimizes insurance processing capacity to minimize costs.

New model bridges pricing and reserving for insurance claims.

This study compares the largest claims from two insurance portfolios using stochastic orderings.

This work fine-tunes GPT-2 for generating patent claims.

Model detects insurance fraud using social network analysis.

We approximate prices of various financial claims using a combination of expansions.

We consider trading in a financial market with proportional transaction costs. In the frictionless case, claims are maximal if and only if they are priced by a consistent price process--the equivalent of an equivalent martingale measure. This result fails in the presence of transaction costs. A properly maximal claim i…

Investor maximizes utility from an unknown claim using robust optimization.

Model predicts individual insurance claim reserves using activation patterns.