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.
Emergenet predicts animal influenza strain emergence, outperforming current methods.
This paper evaluates investment risks in LATAM AI startups using DCF method.
We show that the emergence of systemic risk in complex systems can be understood from the evolution of functional networks representing interactions inferred from fluctuation correlations between macroscopic observables. Specifically, we analyze the long-term collective dynamics of the New York Stock Exchange between 1…
Modern society heavily relies on strongly connected, socio-technical systems. As a result, distinct risks threatening the operation of individual systems can no longer be treated in isolation. Consequently, risk experts are actively seeking for ways to relax the risk independence assumption that undermines typical risk…
New AI governance framework tackles risks in finance.
A new risk measure (FRM) for EM FI returns helps investors protect against volatility and policy instability.
Study replicates reference-dependent preferences impact on risk-return trade-off in Chinese stock market.
Viral zoonoses have emerged as the key drivers of recent pandemics. Human infection by zoonotic viruses are either spillover events -- isolated infections that fail to cause a widespread contagion -- or species jumps, where successful adaptation to the new host leads to a pandemic. Despite expensive bio-surveillance ef…
Economic interdependencies have become increasingly present in globalized production, financial and trade systems. While establishing interdependencies among economic agents is crucial for the production of complex products, they may also increase systemic risks due to failure propagation. It is crucial to identify how…
We study the properties of Expected Shortfall from the point of view of financial risk management. This measure --- which emerges as a natural remedy in some cases where Value at Risk (VaR) is not able to distinguish portfolios which bear different levels of risk --- is indeed shown to have much better properties than …
The Basel II Accords have sparked increased interest in the development of approaches based on internal ratings systems and have initiated the elaboration of models for remote ratings forecasts based on external ones as part of Risk Management and Early Warning Systems. This article evaluates the peculiarities of curre…
The paper explores new risk models for autonomous driving.
Model financial network dynamics to avoid systemic risk.
GenAI offers financial benefits but requires risk management.
Paper tackles AI risks by customizing metrics and models.
Study applies HRP to Latin American markets, showing smoother risk-return profile.
Paper characterizes star-shaped risk measures and their properties.
In this article, we investigate whether exchange rate risk is priced. We use a multivariate GARCH-in-Mean specification and test alternative conditional international CAPM versions. Our results support strongly the international asset-pricing model that includes exchange rate risk for both developed and emerging stock …
With the emergence of the Hospital Readmission Reduction Program of the Center for Medicare and Medicaid Services on October 1, 2012, forecasting unplanned patient readmission risk became crucial to the healthcare domain. There are tangible works in the literature emphasizing on developing readmission risk prediction m…
This research improves value-at-risk estimation during financial crises using non-extensive statistical methods.
We show how to restructure the counterparty risk faced by the originator of a securitization or covered bond arising from an interest rate hedging swap assisted by a "one-way" collateral agreement. This risk emerges when the swap is negotiated between the special purpose vehicle and a third party that covers itself thr…
Paper analyzes transfer risk in transfer learning for finance.
Different models of capital exchange among economic agents have been proposed recently trying to explain the emergence of Pareto's wealth power law distribution. One important factor to be considered is the existence of risk aversion. In this paper we study a model where agents posses different levels of risk aversion,…
The global financial crisis in 2007-2009 demonstrated that systemic risk can spread all over the world through a complex web of financial linkages, yet we still lack fundamental knowledge about the evolution of the financial web. In particular, interbank credit networks shape the core of the financial system, in which …
Geospatial framework assesses climate risks for California's banking and exposed sectors.
This paper maps the insurability of AI risks across various insurance products.
Proposes a new model to price options considering market forces beyond Black-Scholes.
Study examines ETFs for Pakistan exposure, highlighting risks and performance.
Study applies Gai-Kapadia framework to global equity markets to assess systemic risk and default cascades.
The presence of non linear instruments is responsible for the emergence of non Gaussian features in the price changes distribution of realistic portfolios, even for Normally distributed risk factors. This is especially true for the benchmark Delta Gamma Normal model, which in general exhibits exponentially damped power…
New model explains option pricing with time-varying volatility risk aversion.
Shaped by structural forces of change, banking in emerging markets has recently experienced a decline in its traditional activities, leading banks to diversify into new business strategies. This paper examines whether the observed shift into non-interest based activities improves financial performance. Using a sample o…
The correlation coefficient between stocks depends on price history and includes information on hierarchical structure in financial markets. It is useful for portfolio selection and estimation of risk. I introduce the Life Time of Correlation between stocks prices to know how far we should investigate the price history…
Develops uniform convergence guarantees for a broad class of risk functionals in supervised learning.
Aggregate and systemic risk in complex systems are emergent phenomena depending on two properties: the idiosyncratic risks of the elements and the topology of the network of interactions among them. While a significant attention has been given to aggregate risk assessment and risk propagation once the above two propert…
A very brief history of relative valuation in neoclassical finance since 1973 is presented, with attention to core currency issues for emerging economies. Price formation is considered in the context of hierarchical causality, with discussion focussed on identifying mathematical modelling challenges for robust and tran…
Surveying risk measures for handling uncertainty in various fields.
Stocks of more resilient firms outperformed during the pandemic, reflecting disaster risk.
The paper characterizes dynamic return and star-shaped risk measures via BSDEs.
Many real-world complex systems across natural, social, and economical domains consist of manifold layers to form multiplex networks. The multiple network layers give rise to nonlinear effect for the emergent dynamics of systems. Especially, weak layers that can potentially play significant role in amplifying the vulne…
Expanding on techniques of concentration of measure, we develop a quantitative framework for modeling liquidity risk using convex risk measures. The fundamental objects of study are curves of the form , where is a convex risk measure and a random variable, and we call such a curve a \emph{liqu…
Study enhances financial forecasting with machine learning and fuzzy MCDM.
Modeling bank leverage dynamics to understand systemic risk in financial markets.
The study compares clustering risk in Hidden Markov and i.i.d. models, showing the Bayes classifier is nearly optimal.
Mathematical framework for transfer learning feasibility and transfer risk.
This study proves new financial market theorems breaking standard risk definitions.
The aim of this paper is to determine the Value at Risk (VaR) of the portfolio consisting of long positions in foreign currencies on an emerging market. Basing on empirical data we restrict ourselves to the case when the tail parts of distributions of logarithmic returns of these assets follow the power laws and the lo…
Model financial network dynamics to avoid systemic risk.