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.
Analysis finds no evidence of banks managing deposit run risk prior to 2023 Regional Banking Crisis.
Bank deposits are analyzed as having dual characteristics, akin to quantum physics.
Paper models non-maturing deposits using a Lévy-driven Ornstein-Uhlenbeck process.
Commercial banks and other depository institutions in some countries are required to hold in reserve against deposits made by their customers at their Central Bank or Federal Reserve. Although some countries have been eliminated it, this requirement is useful as one of many Central Bank's regulation made to control rat…
This paper examines SVB's failure and its impact on bank stocks.
We investigate the macroeconomic consequences of narrow banking in the context of stock-flow consistent models. We begin with an extension of the Goodwin-Keen model incorporating time deposits, government bills, cash, and central bank reserves to the base model with loans and demand deposits and use it to describe a fr…
Study analyzes profitability and efficiency of Chinese banks, finding state-owned banks superior.
We propose a simple model of the banking system incorporating a game feature where the evolution of monetary reserve is modeled as a system of coupled Feller diffusions. The Markov Nash equilibrium generated through minimizing the linear quadratic cost subject to Cox-Ingersoll-Ross type processes creates liquidity and …
The definition of deposit substitutes in Philippine tax law fails to consider the maturity of a debt instrument. This makes it possible for long-term bonds to be considered as deposit substitutes if they meet the 20-lender rule, taxable at 20% final tax. However, long-term debt instruments cannot realistically function…
Study evaluates profitability of Islamic banks in Bangladesh using ROA, ROE, and ROD.
As economic entities become increasingly interconnected, a shock in a financial network can provoke significant cascading failures throughout the system. To study the systemic risk of financial systems, we create a bi-partite banking network model composed of banks and bank assets and propose a cascading failure model …
The model of this paper gives a convenient strategy that a bank in the federal funds market can use in order to maximize its profit in a contemporaneous reserve requirement (CRR) regime. The reserve requirements are determined by the demand deposit process, modelled as a Brownian motion with drift. We propose a new mod…
The study examines how limited liability and haircut affect a bank's loan portfolio's liquidity risk.
Develops a framework for synthetic banking microdata evaluation.
Study on Spanish households' investment choices in housing, deposits, and stocks.
Once upon a time there was a classical financial world in which all the Libors were equal. Standard textbooks taught that simple relations held, such that, for example, a 6 months Libor Deposit was replicable with a 3 months Libor Deposits plus a 3x6 months Forward Rate Agreement (FRA), and that Libor was a good proxy …
Model explains money creation under regulatory constraints.
Financial contagion from liquidity shocks has being recently ascribed as a prominent driver of systemic risk in interbank lending markets. Building on standard compartment models used in epidemics, in this work we develop an EDB (Exposed-Distressed-Bankrupted) model for the dynamics of liquidity shocks reverberation be…
We show that any objective risk measurement algorithm mandated by central banks for regulated financial entities will result in more risk being taken on by those financial entities than would otherwise be the case. Furthermore, the risks taken on by the regulated financial entities are far more systemically concentrate…
Analysis of the 2007-8 credit crisis has concentrated on issues of relaxed lending standards, and the perception of irrational behaviour by speculative investors in real estate and other assets. Asset backed securities have been extensively criticised for creating a moral hazard in loan issuance and an associated incre…
We develop the first basic Operational Risk perspective on key risk management issues associated with the development of new forms of electronic currency in the real economy. In particular, we focus on understanding the development of new risks types and the evolution of current risk types as new components of financia…
Study assesses impact of CBDC on financial stability in dual-currency economy.
One of the most important applications of seismic reflection is the hydrocarbon exploration which is closely related to salt deposits analysis. This problem is very important even nowadays due to it's non-linear nature. Taking into account the recent developments in deep learning networks TGS-NOPEC Geophysical Company …
Dual ML approach predicts peak temperatures in AFSD, improving process optimization.
A second order linear integro-differential equation with Volterra integral operator and strong singularities at the endpoints (zero and infinity) is considered. Under limit conditions at the singular points, and some natural assumptions, the problem is a singular initial problem with limit normalizing conditions at inf…
Bayesian method predicts future network configurations from past snapshots.
A computer vision approach improves neutral particle detection in particle flow algorithms.
In this paper, a novel architecture of Recurrent Neural Network (RNN) is designed and experimented. The proposed RNN adopts a computational memory based on the concept of stigmergy. The basic principle of a Stigmergic Memory (SM) is that the activity of deposit/removal of a quantity in the SM stimulates the next activi…
Framework optimizes expensive manufacturing processes efficiently.
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…
Paper examines constraints on cryptocurrency networks to improve liquidity and capital costs.
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…
The study compares profitability of conventional and Islamic banks in Bangladesh.
Study on electronic banking satisfaction in Nigeria.
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…
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…
We consider the problem of governing systemic risk in an assets-liabilities dynamical model of banking system. In the model considered each bank is represented by its assets and its liabilities.The capital reserves of a bank are the difference between assets and liabilities of the bank. A bank is solvent when its capit…
This study uses high-frequency data to identify early warning signals for bank crises.
Study examines factors influencing lending to SMEs by Kenyan banks.
Bangladesh's banking sector improved through financial reforms, but challenges remain.
A modern version of Monetary Circuit Theory with a particular emphasis on stochastic underpinning mechanisms is developed. It is explained how money is created by the banking system as a whole and by individual banks. The role of central banks as system stabilizers and liquidity providers is elucidated. It is shown how…
Research examines how Islamic banking principles spread among managers and scholars.
We present an extended version of the recently proposed "LLOB" model for the dynamics of latent liquidity in financial markets. By allowing for finite cancellation and deposition rates within a continuous reaction-diffusion setup, we account for finite memory effects on the dynamics of the latent order book. We compute…
We discuss the portfolio optimization problem with the obligatory deposits constraint. Recently it has been shown that as a consequence of this nonlinear constraint, the solution consists of an exponentially large number of optimal portfolios, completely different from each other, and extremely sensitive to any changes…
A hierarchical Bayesian classifier is trained at pixel scale with spectral data from the CRISM (Compact Reconnaissance Imaging Spectrometer for Mars) imagery. Its utility in detecting rare phases is demonstrated with new geologic discoveries near the Mars-2020 rover landing site. Akaganeite is found in sediments on the…
Modeling financial contagion through bank networks, revealing solvency correlations.
We analyze the influence and interactions of 60 largest world banks for 195 world countries using the reduced Google matrix algorithm for the English Wikipedia network with 5 416 537 articles. While the top asset rank positions are taken by the banks of China, with China Industrial and Commercial Bank of China at the f…
In the wake of the still ongoing global financial crisis, bank interdependencies have come into focus in trying to assess linkages among banks and systemic risk. To date, such analysis has largely been based on numerical data. By contrast, this study attempts to gain further insight into bank interconnections by tappin…