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.
Oil prices affect Russian banks' stability, with negative impacts from decreases.
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…
Paper uses Time Series Transformer for bank stability prediction.
Study on sequential defaulting in financial networks, analyzing stability and optimal timing.
We consider a model of contagion in financial networks recently introduced in the literature, and we characterize the effect of a few features empirically observed in real networks on the stability of the system. Notably, we consider the effect of heterogeneous degree distributions, heterogeneous balance sheet size and…
We consider a model of financial contagion in a bipartite network of assets and banks recently introduced in the literature, and we study the effect of power law distributions of degree and balance-sheet size on the stability of the system. Relative to the benchmark case of banks with homogeneous degrees and balance-sh…
Threats on the stability of a financial system may severely affect the functioning of the entire economy, and thus considerable emphasis is placed on the analyzing the cause and effect of such threats. The financial crisis in the current and past decade has shown that one important cause of instability in global market…
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…
Central banks play a key role in promoting sustainable finance.
Study examines large banks' role in interbank markets using game theory.
The study shows that limited liability can make banks more stable by choosing less risky assets.
Study models systemic risks in BRICS banks under geopolitical shocks.
Unified framework deciphers global central bank communications.
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…
The paper examines how CoCo bonds can enhance financial stability in interconnected banking systems.
The changing nature of the relationship between a retail bank and its customers is examined, particularly with respect to new financial concepts, debt and regulation. The traditional image of a bank is portrayed as a physical building a classical Doric portico. This image conveys concepts of service, soundness, strengt…
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…
Diversification increases systemic risk, contrary to belief.
An interbank market lets participants pool the risk arising from the combination of illiquid investments and random withdrawals by depositors. But it also creates the potential for one bank's failure to trigger off avalanches of further failures. We simulate a model of interbank lending to study the interplay of these …
We analyse the importance of international relations between countries on the financial stability. The contagion effect in the network is tested by implementing an epidemiological model, comprising a number of European countries and using bilateral data on foreign claims between them. Banking statistics of consolidated…
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…
Study uses neural networks to predict credit risk in banks.
AI enhances bank credit risk management through deep learning and data analysis.
We consider a dynamical model of distress propagation on complex networks, which we apply to the study of financial contagion in networks of banks connected to each other by direct exposures. The model that we consider is an extension of the DebtRank algorithm, recently introduced in the literature. The mechanics of di…
Study confirms eurozone interbank market stability but finds higher collateral reuse.
Paper studies central bank's strategy to control systemic risk in interbank system.
A quick review of European financial stability institutions and the role of stress tests in the current juridical system.
A scenario in which regulators take the drastic step of requiring coverage of all venture bank investment loans using interbank borrowed funds is considered. In this scenario, a minimal amount of default insurance is used, such that Tier 1 and 2 capital requirements are still met. To do this, the default insurance perc…
Model predicts Mozambique bank failures, aiding risk management.
GNNs generalize CNNs for graph data, showing equivariance and stability.
This review of the book "The Challenge of Financial Stability: A New Model and its Applications" by Goodhart C.A.E. and Tsomocos D.P. highlights the potential of the framework of strategic partial default of banks with credit chain on the interbank market for further theoretical and applied research on financial stabil…
We propose a new model of the liquidity driven banking system focusing on overnight interbank loans. This significant branch of the interbank market is commonly neglected in the banking system modeling and systemic risk analysis. We construct a model where banks are allowed to use both the interbank and the securities …
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…
Geospatial framework assesses climate risks for California's banking and exposed sectors.
This paper presents two cases of random banking data generators based on migration matrices and scoring rules. The banking data generator is a new hope in researches of finding the proving method of comparisons of various credit scoring techniques. There is analyzed the influence of one cyclic macro--economic variable …
Gringotts Wizarding Bank is well known as the only financial institution in all of the Wizarding UK as documented in the works recounting the heroics of Harry Potter. The concentration of power and wealth in this single bank needs to be weighed against the financial stability of the entire Wizarding economy. This study…
We present a new approach to understanding credit relationships between commercial banks and quoted firms, and with this approach, examine the temporal change in the structure of the Japanese credit network from 1980 to 2005. At each year, the credit network is regarded as a weighted bipartite graph where edges corresp…
Study examines market reactions and spillovers in Japanese bank mergers using multiple methods.
Study assesses impact of CBDC on financial stability in dual-currency economy.
The question of how to stabilize financial systems has attracted considerable attention since the global financial crisis of 2007-2009. Recently, Beale et al. ("Individual versus systemic risk and the regulator's dilemma", Proc Natl Acad Sci USA 108: 12647-12652, 2011) demonstrated that higher portfolio diversity among…
Study shows how capital constraints can lead to systemic crises in financial systems.
We consider a structural default model in an interconnected banking network as in Lipton [International Journal of Theoretical and Applied Finance, 19(6), 2016], with mutual obligations between each pair of banks. We analyse the model numerically for two banks with jumps in their asset value processes. Specifically, we…
Study examines how mergers and acquisitions affect Indian banks' financial performance and capital structure.
Sustaining efficiency and stability by properly controlling the equity to asset ratio is one of the most important and difficult challenges in bank management. Due to unexpected and abrupt decline of asset values, a bank must closely monitor its net worth as well as market conditions, and one of its important concerns …
Using public data (Forbes Global 2000) we show that the asset sizes for the largest global firms follow a Pareto distribution in an intermediate range, that is ``interrupted'' by a sharp cut-off in its upper tail, where it is totally dominated by financial firms. This flattening of the distribution contrasts with a lar…
Evaluation of systemic risk in networks of financial institutions in general requires information of inter-institution financial exposures. In the framework of Debt Rank algorithm, we introduce an approximate method of systemic risk evaluation which requires only node properties, such as total assets and liabilities, a…
Study examines credit risk's impact on Vietnamese banks' financial performance.
This paper analyzes how banking risks spread through sentiment and policy shocks.