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.
Study examines market reactions and spillovers in Japanese bank mergers using multiple methods.
Study examines how mergers and acquisitions affect Indian banks' financial performance and capital structure.
Empirical researchers are increasingly faced with rich data sets containing many controls or instrumental variables, making it essential to choose an appropriate approach to variable selection. In this paper, we provide results for valid inference after post- or orthogonal -Boosting is used for variable selection.…
As part of Basel II's incremental risk charge (IRC) methodology, this paper summarizes our extensive investigations of constructing transition probability matrices (TPMs) for unsecuritized credit products in the trading book. The objective is to create monthly or quarterly TPMs with predefined sectors and ratings that …
Semi-analytic models are best suited to compare galaxy formation and evolution theories with observations. These models rely heavily on halo merger trees, and their realistic features (i.e., no drastic changes on halo mass or jumps on physical locations). Our aim is to provide a new framework for halo merger tree gener…
Company mergers and acquisitions are often perceived to act as catalysts for corporate growth in free markets systems: it is conventional wisdom that those activities lead to better and more efficient markets. However, the broad adoption of this perception into corporate strategy is prone to result in a less diverse an…
This article extends, in a stochastic environment, the Yagil (1987) model which establishes, in a deterministic dividend discount model, a range for the exchange ratio in a stock-for-stock merger agreement. Here, we generalize Yagil's work letting both pre- and post-merger dividends grow randomly over time. If Yagil fo…
Pakistan examines digital mergers using traditional competition tools.
Optimal execution strategy for merger & acquisition contracts with price impact.
New method resolves ambiguity in measuring black hole merger angular momentum.
The present work has as principal objective analyze the evolution of the process of privatization, mergers and acquisitions of the big companies in the country in the last decades, to understand the conductive threads that formed the structural changes of the economy, in order world oligopólicas to insert it to the glo…
The article improves the display of acceptable exchange ratios for merging companies.
Gravitational waves are predicted by the general theory of relativity. In [6] D. Christodoulou showed that gravitational waves have a nonlinear memory. We proved in [3] that the electromagnetic field contributes at highest order to the nonlinear memory effect of gravitational waves. In the present paper, we study this …
New algorithm clusters GRBs into two groups: short and long duration.
The FCA improved insider trading regulation after 2012, reducing abnormal returns.
Mass algorithm predicts M&A deals from patent data.
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.
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…
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…
Research examines how Islamic banking principles spread among managers and scholars.
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…
The paper discusses fairness in bank stress tests, comparing various methods to address institutional differences.
Oil prices affect Russian banks' stability, with negative impacts from decreases.
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.
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…
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…
A concept of martingale-fair index of return, consistent with Arbitrage Free Pricing Theory, is introduced. An explicit formula for the average rate of return of a group of investment/pension funds in a discrete time stochastic model is derived and several properties of this index are shown. In particular, it is proven…
We introduce deep learning models to estimate the masses of the binary components of black hole mergers, , and three astrophysical properties of the post-merger compact remnant, namely, the final spin, , and the frequency and damping time of the ringdown oscillations of the fundamental bar mo…
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.