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.
New systemic risk models for banks choosing their group memberships.
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…
On June 26th, 2004, Central bank governors and the heads of bank supervisory authorities in the Group of Ten (G10) countries issued a press release and endorsed the publication of "International Convergence of Capital Measurement and Capital Standards: a Revised Framework", the new capital adequacy framework commonly k…
We use bank-level balance sheet data from 2005 to 2010 to study interactions within the banking system of five emerging countries: Argentina, Brazil, Mexico, South Africa, and Taiwan. For each country we construct a financial network based on the leverage ratio dependence between each pair of banks, and find results th…
This paper develops a dynamic internal fraud model for operational losses in retail banking. It considers public operational losses arising from internal fraud in retail banking within a group of international banks. Additionally, the model takes into account internal factors such as the ethical quality of workers and …
Oil prices affect Russian banks' stability, with negative impacts from decreases.
It had been believed in the conventional practice that the risk of a bank going bankrupt is lessened in a straightforward manner by transferring the risk of loan defaults. But the failure of American International Group in 2008 posed a more complex aspect of financial contagion. This study presents an extension of the …
Study examines market reactions and spillovers in Japanese bank mergers using multiple methods.
When banks choose similar investment strategies the financial system becomes vulnerable to common shocks. We model a simple financial system in which banks decide about their investment strategy based on a private belief about the state of the world and a social belief formed from observing the actions of peers. Observ…
Model shows how banks' hidden-to-maturity accounting can mask run risk and lead to financial instability.
We study the system of heterogeneous interbank lending and borrowing based on the relative average of log-capitalization given by the linear combination of the average within groups and the ensemble average and describe the evolution of log-capitalization by a system of coupled diffusions. The model incorporates a game…
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…
iConViz helps banks manage default contagion risk in networked loans.
This paper analyzes how banking risks spread through sentiment and policy shocks.
The manipulation of LIBOR by a group of banks became one of the major blows to the remaining confidence in financial industry. Yet, despite an enormous amount of popular literature on the subject, rigorous time-series studies are few. In my paper, I discuss the following hypothesis. Namely, if we should assume for a st…
The study compares profitability of conventional and Islamic banks in Bangladesh.
Study on electronic banking satisfaction in Nigeria.
Study analyzes profitability and efficiency of Chinese banks, finding state-owned banks superior.
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…
This paper examines SVB's failure and its impact on bank stocks.
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…
Learning data representations that reflect the customers' creditworthiness can improve marketing campaigns, customer relationship management, data and process management or the credit risk assessment in retail banks. In this research, we adopt the Variational Autoencoder (VAE), which has the ability to learn latent rep…
Optimal microlending group size is 5 people.
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.
Analysis finds no evidence of banks managing deposit run risk prior to 2023 Regional Banking Crisis.
Study examines factors influencing lending to SMEs by Kenyan banks.
Bangladesh's banking sector improved through financial reforms, but challenges remain.
Study evaluates profitability of Islamic banks in Bangladesh using ROA, ROE, and ROD.
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…
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…
The paper discusses fairness in bank stress tests, comparing various methods to address institutional differences.
Based on an empirical analysis of the network structure of the Austrian inter-bank market, we study the flow of funds through the banking network following exogenous shocks to the system. These shocks are implemented by stochastic changes in variables like interest rates, exchange rates, etc. We demonstrate that the sy…
The paper models systemic risk in European and U.S. banks using factor copulas.
Bailouts in financial networks are hard to optimize due to NP-hardness.
Study evaluates sustainability of European banks using a new model.
Study assesses the impact of Basel III reforms on Bangladeshi banks.
We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential equations whose dependent variables are the log-monetary reserves of the banks as functions of time. The banking system model considered gen…
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…
Islamic banks being commercial entities strive to earn profit within shariah ambit. Therefore, they seem to be basing themselves upon two knowledge streams namely i) Islamic jurisprudence principles, and ii) banking principles. Islamic jurisprudence principles primarily aim at bringing shariah compliance while banking …
The negative externalities from an individual bank failure to the whole system can be huge. One of the key purposes of bank regulation is to internalize the social costs of potential bank failures via capital charges. This study proposes a method to evaluate and allocate the systemic risk to different countries/regions…
Study models systemic risks in BRICS banks under geopolitical shocks.
We propose a simple model of inter-bank borrowing and lending where the evolution of the log-monetary reserves of banks is described by a system of diffusion processes coupled through their drifts in such a way that stability of the system depends on the rate of inter-bank borrowing and lending. Systemic risk is ch…
This paper investigates two mechanisms of financial contagion that are, firstly, the correlated exposure of banks to the same source of risk, and secondly the direct exposure of banks in the interbank market. It will consider a random network of banks which are connected through the inter-bank market and will discuss t…
Central banks play a key role in promoting sustainable finance.
AI enhances bank credit risk management through deep learning and data analysis.
Develops a framework for synthetic banking microdata evaluation.