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.
This study analyzes the alignment between charter value and supervision in banks.
Overview of SML techniques with banking applications.
Study compares classification techniques to predict customer churn in banking.
A quick review of European financial stability institutions and the role of stress tests in the current juridical system.
Study assesses the impact of Basel III reforms on Bangladeshi banks.
Model predicts Mozambique bank failures, aiding risk management.
Model shows how financial contagion spreads through complex interdependencies.
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…
On March 4th 2016 the Basel Committee on Banking Supervision published a consultative document where a new methodology, called the Standardized Measurement Approach (SMA), is introduced for computing Operational Risk regulatory capital for banks. In this note, the behavior of the SMA is studied under a variety of hypot…
Deep Convolutional features extracted from a comprehensive labeled dataset, contain substantial representations which could be effectively used in a new domain. Despite the fact that generic features achieved good results in many visual tasks, fine-tuning is required for pretrained deep CNN models to be more effective …
This paper critiques the Standardized Measurement Approach (SMA) for operational risk and recommends maintaining Advanced Measurement Approach (AMA).
To quantify the operational risk capital charge under the current regulatory framework for banking supervision, referred to as Basel II, many banks adopt the Loss Distribution Approach. There are many modeling issues that should be resolved to use the approach in practice. In this paper we review the quantitative metho…
New DL model handles missing data in biomedical datasets.
In order to adapt to the liberalization of the financial sphere started in the Eighties, marked in particular by the end of the framing of credit, the disappearance of the various forms of protection of the State whose profited the banks, and the privatization of the near total of the establishments in Europe, the bank…
The credit cards' fraud transactions detection is the important problem in machine learning field. To detect the credit cards's fraud transactions help reduce the significant loss of the credit cards' holders and the banks. To detect the credit cards' fraud transactions, data scientists normally employ the unsupervised…
We test the hypothesis that interconnections across financial institutions can be explained by a diversification motive. This idea stems from the empirical evidence of the existence of long-term exposures that cannot be explained by a liquidity motive (maturity or currency mismatch). We model endogenous interconnection…
TabNet improves fraud detection in bank transactions.
While many models are purposed for detecting the occurrence of significant events in financial systems, the task of providing qualitative detail on the developments is not usually as well automated. We present a deep learning approach for detecting relevant discussion in text and extracting natural language description…
PRAGMA models financial event sequences for various banking tasks.
The paper optimizes exceptions in a statistical production system using machine learning.
The management of operational risk in the banking industry has undergone significant changes over the last decade due to substantial changes in operational risk environment. Globalization, deregulation, the use of complex financial products and changes in information technology have resulted in exposure to new risks ve…
A new methodology for incorporating LGD correlation effects into the Basel II risk weight functions is introduced. This methodology is based on modelling of LGD and default event with a single loss variable. The resulting formulas for capital charges are numerically compared to the current proposals by the Basel Commit…
By mid 2004, the Basel Committee on Banking Supervision (BCBS) is epected to launch its final recommendations on minimum capital requirements in the banking industry. Although there is the intention to arrive at capital charges which concur with economic intuition, the risk weight formulas proposed by the committee wil…
A simple framework improves visual representation learning.
In this paper we focus our attention on the exploitation of the information contained in financial news to enhance the performance of a classifier of bank distress. Such information should be analyzed and inserted into the predictive model in the most efficient way and this task deals with all the issues related to tex…
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.
We propose a novel deep learning architecture suitable for the prediction of investor interest for a given asset in a given time frame. This architecture performs both investor clustering and modelling at the same time. We first verify its superior performance on a synthetic scenario inspired by real data and then appl…
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.
Recently, Basel Committee for Banking Supervision proposed to replace all approaches, including Advanced Measurement Approach (AMA), for operational risk capital with a simple formula referred to as the Standardised Measurement Approach (SMA). This paper discusses and studies the weaknesses and pitfalls of SMA such as …
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…
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.