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.
Proposes a robust risk measure to minimize capital errors.
Proposes a new method for determining LGD discount rates based on cost of capital.
In this paper we see the evolution of a capitalized financial event e, with respect to a capitalization factor f, as the exponential map of a suitably defined Lie group G(f,e), supported by the half-space of capitalized financial events having the same capital sign of e. The Lie group G(f,e) depends upon the capitaliza…
A new approach optimizes capital allocation for firms with multiple business lines.
Optimizes financial decisions with illiquid assets using Kelly criterion.
In this paper we propose a look at the capital risk problem inspired by deterministic, known from classical mechanics, problem of juggling. We propose capital equivalents to the Newton's laws of motion and on this basis we determine the most secure form of credit repayment with regard to maximisation of profit. Then we…
Dynamic reinsurance minimizes insurer's cost of capital over time.
A dynamical model of capital exchange is introduced in which a specified amount of capital is exchanged between two individuals when they meet. The resulting time dependent wealth distributions are determined for a variety of exchange rules. For ``greedy'' exchange, an interaction between a rich and a poor individual r…
We design an optimal strategy for investment in a portfolio of assets subject to a multiplicative Brownian motion. The strategy provides the maximal typical long-term growth rate of investor's capital. We determine the optimal fraction of capital that an investor should keep in risky assets as well as weights of differ…
Fair reinsurance premiums calculated for a perturbed risk model with capital injections.
In a capital adequacy framework, risk measures are used to determine the minimal amount of capital that a financial institution has to raise and invest in a portfolio of pre-specified eligible assets in order to pass a given capital adequacy test. From a capital efficiency perspective, it is important to identify the s…
In this paper we introduce a new coherent cumulative risk measure on , the space of càdlàg processes having Laplace transform. This new coherent risk measure turns out to be tractable enough within a class of models where the aggregate claims is driven by a spectrally positive Lévy process. Moreover, w…
The sustainability conditions for the market participants with a different ownership model were also determined. It was revealed, that the nonlinear form of the equations describing the market behavior with the prevailing private capital, predetermines the development of such a market according to the subharmonic casca…
Study analyzes factors affecting capital adequacy in Bangladesh's banks.
The banking systems that deal with risk management depend on underlying risk measures. Following the Basel II accord, there are two separate methods by which banks may determine their capital requirement. The Value at Risk measure plays an important role in computing the capital for both approaches. In this paper we an…
Determining contributions by sub-portfolios or single exposures to portfolio-wide economic capital for credit risk is an important risk measurement task. Often economic capital is measured as Value-at-Risk (VaR) of the portfolio loss distribution. For many of the credit portfolio risk models used in practice, the VaR c…
Paper introduces a new method for allocating capital based on risk measures from ruin theory.
This study uses quantile regression to analyze U.S. firms' capital structure across different leverage levels.
Study examines financial performance determinants of Kenyan microfinance banks.
Study examines how insurance affects households prone to proportional losses, especially those near poverty.
One possible way of risk management for an insurance company is to develop an early and appropriate alarm system before the possible ruin. The ruin is defined through the status of the aggregate risk process, which in turn is determined by premium accumulation as well as claim settlement outgo for the insurance company…
The paper models financial markets and real economy interactions using a large agent framework.
In this paper, we address the aggregation of dependent stop loss reinsurance risks where the dependence among the ceding insurer(s) risks is governed by the Sarmanov distribution and each individual risk belongs to the class of Erlang mixtures. We investigate the effects of the ceding insurer(s) risk dependencies on th…
SHARC explains machine learning risk models for regulatory capital, linking outputs to scenarios.
In this paper we study a spectrally negative Lévy process which is refracted at its running maximum and at the same time reflected from below at a certain level. Such a process can for instance be used to model an insurance surplus process subject to tax payments according to a loss-carry-forward scheme together with t…
ChatGPT scores corporate investment plans, predicting future spending and returns.
This paper analyzes the equilibrium distribution of wealth in an economy where firms' productivities are subject to idiosyncratic shocks, returns on factors are determined in competitive markets, dynasties have linear consumption functions and government imposes taxes on capital and labour incomes and equally redistrib…
The paper develops a model using risk-neutral pricing for financial decision-making.
The study measures home bias in stock portfolios of emerging and developed markets.
Framework insures AI actions with reserve capital, preventing loss.
Study optimizes CT and microinsurance for efficient social protection in low-income countries.
In this paper we propose a novel index to quantify and measure the flow of information on macro and micro scales. We discuss the implications of this index for knowledge management fields and also as intellectual capital that can thus be utilized by entrepreneurs. We explore different function and human oriented metric…
Study uses VC correlation to uncover directional financial relationships.
Collectivized funds need less initial capital to match individual funds, improving pension adequacy.
Introduces an asymmetric model for measuring market risk.
This paper examines if CTE risk measure aligns with profit-maximizing risk capital allocations.
Business cycles affect startup valuations, both directly and indirectly.
The aim of this paper is to quantify and manage systemic risk caused by default contagion in the interbank market. We model the market as a random directed network, where the vertices represent financial institutions and the weighted edges monetary exposures between them. Our model captures the strong degree of heterog…
The paper optimizes dividend strategies for companies with assets and liabilities under solvency constraints.
The Labouchere gambling system is hypothesized to increase the probability of winning a predetermined arbitrary profit in a gambling system such as a coin flip or a roulette game in which both payouts and odds are 1:1. However, use of the system increases the downside monetary risk in the event of a streak of multiple …
We investigate the impact of capital gains taxes on optimal investment decisions in a quite simple model. Namely, we consider a risk neutral investor who owns one risky stock from which she assumes that it has a lower expected return than the riskless bank account and determine the optimal stopping time at which she se…
We investigate the growth optimal strategy over a finite time horizon for a stock and bond portfolio in an analytically solvable multiplicative Markovian market model. We show that the optimal strategy consists in holding the amount of capital invested in stocks within an interval around an ideal optimal investment. Th…
The principal portfolios of the standard Capital Asset Pricing Model (CAPM) are analyzed and found to have remarkable hedging and leveraging properties. Principal portfolios implement a recasting of any correlated asset set of N risky securities into an equivalent but uncorrelated set when short sales are allowed. Whil…
The paper explores capital allocation using Euler formula with VaR and ES, revealing non-monotonicity and providing estimation methods.
Study finds stock prices rarely appreciate during capital inflows but often appreciate during normal flows.
Study on risk sharing in capital requirements for diverse security markets.
Statistical fields model explains capital allocation and accumulation among firms and investors.
This study examines how risky investments affect insurance capital valuation.