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.
Model shows how banks' hidden-to-maturity accounting can mask run risk and lead to financial instability.
Oil prices affect Russian banks' stability, with negative impacts from decreases.
Survey examines types of systemic risk in financial networks.
This paper examines SVB's failure and its impact on bank stocks.
Study assesses the impact of Basel III reforms on Bangladeshi banks.
Unified framework deciphers global central bank communications.
Paper proposes a new topology for AML analysis using Poincaré embeddings.
Quantum computing aids in optimizing currency reserves for central banks.
Prime Match protects client stock trades from market price manipulation.
We propose a continuous-time stock-flow consistent model for inventory dynamics in an economy with firms, banks, and households. On the supply side, firms decide on production based on adaptive expectations for sales demand and a desired level of inventories. On the demand side, investment is determined as a function o…
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.
Proposes a new model to simulate interbank market liquidity risk.
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…
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…
The role of Network Theory in the study of the financial crisis has been widely spotted in the latest years. It has been shown how the network topology and the dynamics running on top of it can trigger the outbreak of large systemic crisis. Following this methodological perspective we introduce here the Accounting Netw…
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.
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.
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.
During recent years the counterparty risk subject has received a growing attention because of the so called Basel Accord. In particular the Basel III Accord asks the banks to fulfill finer conditions concerning counterparty credit exposures arising from banks' derivatives, securities financing transactions, default and…
Study evaluates sustainability of European banks using a new model.
We propose the development of a prediction market for forecasting prices for "toxic assets" to be transferred from Irish banks to the National Asset Management Agency (NAMA). Such a market allows market participants to assume a stake in a security whose value is tied to a future event. We propose that securities are cr…
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…
Intensive development of urban systems creates a number of challenges for urban planners and policy makers in order to maintain sustainable growth. Running efficient urban policies requires meaningful urban metrics, which could quantify important urban characteristics including various aspects of an actual human behavi…
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…
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.
Haircutting non-cash collateral has become a key element of the post-crisis reform of the shadow banking system and OTC derivatives markets. This article develops a parametric haircut model by expanding haircut definitions beyond the traditional value-at-risk measure and employing a double-exponential jump-diffusion mo…
AI enhances bank credit risk management through deep learning and data analysis.
Develops a framework for synthetic banking microdata evaluation.