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 examines how banks and securities markets coevolved in 19th century Belgium.
Post-Quantum Secure Federated DeFi for Inclusive Banking
Deep neural networks improve face matching across different domains for banking security.
This paper examines SVB's failure and its impact on bank stocks.
Italian banks use swaps to hedge against rising interest rates, offsetting losses on debt securities.
Prime Match protects client stock trades from market price manipulation.
Chebyshev polynomials analyze Czech enterprises' stock dynamics.
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…
Employs granular data to create a multilayer network for euro area banks, revealing distinct risk patterns.
Study uses neural networks to predict credit risk in banks.
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 …
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…
Model explains money creation under regulatory constraints.
Model shows how banks' hidden-to-maturity accounting can mask run risk and lead to financial instability.
Cryptocurrencies use blockchain tech for secure transactions, offering new research opportunities.
New framework assesses LLM security risks in BFSI.
Analysis of the 2007-8 credit crisis has concentrated on issues of relaxed lending standards, and the perception of irrational behaviour by speculative investors in real estate and other assets. Asset backed securities have been extensively criticised for creating a moral hazard in loan issuance and an associated incre…
Study confirms eurozone interbank market stability but finds higher collateral reuse.
We develop the first basic Operational Risk perspective on key risk management issues associated with the development of new forms of electronic currency in the real economy. In particular, we focus on understanding the development of new risks types and the evolution of current risk types as new components of financia…
This study models Burundi's bond market yield curve using Nelson-Siegel and Svensson models.
PrivacyFL simulates privacy-preserving federated learning.
HSBC grew from Hong Kong to global dominance despite political upheavals.
The paper examines how CoCo bonds can enhance financial stability in interconnected banking systems.
We model bond's price curves corresponding to the sovereign uruguayan debt nominated in USD, as an alternative to the official bond prices publication released by the Central Bank of Uruguay (CBU). Four different gaussian models are fitted, based on historical data issued by the CBU, corresponding to some of the more f…
We analyze four structured products that have caused severe losses to investors in recent years. These products are: return optimization securities, yield magnet notes, reverse exchangeable securities, and principal-protected notes. We describe the basic structure of these products, analyze them probabilistically using…
Optimizes loan recovery timing by forecasting cash flows.
This study analyzes information flow networks in Chinese stock sectors using transfer entropy.
Unlike other industries in which intellectual property is patentable, the financial industry relies on trade secrecy to protect its business processes and methods, which can obscure critical financial risk exposures from regulators and the public. We develop methods for sharing and aggregating such risk exposures that …
The interest rates (or nominal yields) can be negative, this is an unavoidable fact which has already been visible during the Great Depression (1929-39). Nowadays we can find negative rates easily by e.g. auditing. Several theoretical and practical ideas how to model and eventually overcome empirical negative rates can…
We develop a model to price inflation and interest rates derivatives using continuous-time dynamics that have some links with macroeconomic monetary DSGE models equipped with a Taylor rule: in particular, the reaction function of the central bank, the bond market liquidity, inflation and growth expectations play an imp…
The paper optimizes exceptions in a statistical production system using machine learning.
We study superreplication of European contingent claims in discrete time in a large trader model with market indifference prices recently proposed by Bank and Kramkov. We introduce a suitable notion of efficient friction in this framework, adopting a terminology introduced by Kabanov, Rasonyi, and Stricker in the conte…
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…
A new method streamlines digital payment programming using smart contracts.
The inability to see and quantify systemic financial risk comes at an immense social cost. Systemic risk in the financial system arises to a large extent as a consequence of the interconnectedness of its institutions, which are linked through networks of different types of financial contracts, such as credit, derivativ…
The interbank market has a natural multiplex network representation. We employ a unique database of supervisory reports of Italian banks to the Banca d'Italia that includes all bilateral exposures broken down by maturity and by the secured and unsecured nature of the contract. We find that layers have different topolog…
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.
Central bank influence in Wikipedia analyzed by largest world banks.
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…
Model analyzes systemic risk in banking systems using stochastic differential equations.
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…
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.