Model optimizes mediation for insolvent suppliers by finding an optimal contract solution.
problem Optimizing contract outcomes for insolvent suppliers in disputes.
method Linear optimization model with complex number phasor approach and Gompertz function for supplier offers.
result Optimal solution adherence to initial contract terms.
Model predicts insolvency risks in banks due to liquidity and credit risks.
problem Determining insolvency regions in banks due to non-linear interaction between liquidity and credit risks.
method Developed a continuous-time structural dynamic model integrating Basel III requirements into a stochastic optimal control framework. Used Hamilton-Jacobi-Bellman (HJB) equation to solve for insolvency boundary. Derived surrogate analytical approximation for real-time monitoring.
result Calibrated model reveals significant non-linear threshold effects and accelerates insolvency transition.
New risk index measures insolvency risk using fractal geometry of balance sheets.
problem Measuring insolvency risk in financial firms.
method Developed a symmetrical, proportional, and scale-invariant Firm Insolvency Risk Index (FIRI) based on fractal geometry of balance sheets.
result The fractal index can differentiate between asset risk and is bounded to a risk thermometer.
CDS market redesign makes financial networks more resilient to insolvency.
problem Managing systemic risk in financial networks during insolvency cascades.
method Designing a CDS market to rewire interbank exposures, adding systemic insurance surcharges based on network topology.
result A regulated CDS market makes financial systems more resilient to insolvency.
Supply uncertainty leads to inefficient supply chain network formation.
problem How supply uncertainty affects supply chain network structure.
method Modeling a supply chain network with uncertain yield, where retailers and suppliers must form relationships and compete.
result Retailers tend to link to too few suppliers, leading to insufficient diversification of the supply base.
We address the problem of banking system resilience by applying off-equilibrium statistical physics to a system of particles, representing the economic agents, modelled according to the theoretical foundation of the current banking regulation, the so called Merton-Vasicek model. Economic agents are attracted to each ot…
Paper proposes machine learning for pricing 3D printing services in marketplaces.
problem Inefficient pricing methods for 3D printing services in marketplaces.
method Data mining and machine learning methods to estimate price ranges based on supplier and customer characteristics.
result Machine learning model achieves 65% accuracy for US suppliers and 59% for Europe suppliers in classifying 3D printer listings.
Bailouts in financial networks are hard to optimize due to NP-hardness.
problem Optimizing bailouts in a network of insolvent banks.
method Modeling bailouts as an optimization problem, proving NP-hardness and inapproximability.
result Banks can strategically alter debt contracts to increase their market value in the event of a bailout.
Supplier learns to price contracts against a learning retailer.
problem Designing data-driven pricing policies for a supplier facing a learning retailer.
method Connecting to non-stationary online learning, proposing dynamic pricing policies for discrete and continuous demand.
result Supplier's pricing policies lead to sublinear regret bounds under various retailer learning policies.
We propose a unified structural credit risk model incorporating both insolvency and illiquidity risks, in order to investigate how a firm's default probability depends on the liquidity risk associated with its financing structure. We assume the firm finances its risky assets by mainly issuing short- and long-term debt.…
This paper proposes a use of an ordinal classifier to evaluate the financial solidity of non-life insurance companies as strong, moderate, weak, and insolvency. This study constructed an efficient classification model that can be used by regulators to evaluate the financial solidity and to determine the priority of fur…
Suppliers (including companies and individual prosumers) may wish to protect their private information when selling items they have in stock. A market is envisaged where private information can be protected through the use of differential privacy and option contracts, while privacy-aware suppliers deliver their stock a…
Model financial contagion with dynamic interbank liabilities.
problem Model financial contagion with time dynamics of interbank liabilities.
method Generalized Eisenberg-Noe model with time dynamics, separating cash and capital accounts.
result Distinguish between delinquency and default, insolvency and illiquidity.
This study examines how supplier and customer networks affect credit spreads.
problem Current models assume all networks are the same and ignore partner credit risk.
method Supply-chain data from Bloomberg analyzed to control for credit risk and size.
result Well diversified customer networks lower CDS spreads, while stable partners increase them.
Study characterizes community structure in Japanese production network.
problem Characterize community structure in a large-scale production network.
method Directed network analysis of one million Japanese firms.
result Large fraction of firms have local interactions, and community strengths are heterogeneous.
Approach for assessing supply chain cyber risks using expert judgment and forecasting.
problem Supply chain managers face challenges in assessing cyber risks affecting business factors.
method Structured expert judgment and forecasting models to assess various attack techniques and impacts.
result Facilitates implementation of risk management activities and decision-making processes.
This paper models insurance company insolvency using Lévy processes.
problem Imitating real-world liquidation process in insurance companies.
method Three-barrier model with spectrally negative Lévy processes.
result Rigorous definition and semi-explicit expressions for liquidation ruin.
Modeling supply chain disruptions from climate hazards with adaptive firms.
problem Systemic physical climate risk in supply chains.
method Agent-based model integrating geospatial hazards and firm adaptation.
result Firms' adaptive strategies reduce disruption by 48%.
Supply chain resilience depends on balancing competition and self-interest.
problem Maintaining resilience in decentralized supply chains under uncertainty and competition.
method Modeling competitive suppliers and retailers with yield uncertainty and congestion, analyzing network formation.
result Decentralized supply chains can form resilient networks through competition and self-interest, contrary to intuition.
We study equilibrium in hedonic markets, when consumers and suppliers have reservation utilities, and the utility functions are separable with respect to price. There is one indivisible good, which comes in different qualities; each consumer buys 0 or 1 unit, and each supplier sells 0 or 1 unit. Consumer types, supplie…
We explore a model of the interaction between banks and outside investors in which the ability of banks to issue inside money (short-term liabilities believed to be convertible into currency at par) can generate a collapse in asset prices and widespread bank insolvency. The banks and investors share a common belief abo…
Study develops smart contract framework for procurement under demand variability.
problem Operational and economic implications of smart contract adoption under moderate uncertainty.
method Multi-supplier model with endogenized adoption costs, supplier readiness, and inventory penalties; analytical and numerical results.
result Partial adoption strategies support moderate demand variability, while excessive digital investment reduces profitability.
Study proposes a tax-based system to share disaster risk among regions.
problem Systemic risk in catastrophic events and insurer insolvency.
method Public-private partnership with government intervention through taxation.
result Taxation system effectively shares residual claims in case of insurer insolvency.
PriceAggregator optimizes hotel price fetching to increase Agoda's bookings.
problem Limited QPS from suppliers causes many user searches to be ignored.
method Intelligently determines queries to suppliers for price fetching.
result PriceAggregator increases Agoda's bookings significantly.
Blockchain and AI improve invoice financing for supply chains.
problem Challenges in invoice financing for upstream suppliers in complex supply chains.
method Combining blockchain and AI technologies to solve financing issues.
result Atomic crosschain functionality enables informed decisions under uncertainty.
Propagation of balance-sheet or cash-flow insolvency across financial institutions may be modeled as a cascade process on a network representing their mutual exposures. We derive rigorous asymptotic results for the magnitude of contagion in a large financial network and give an analytical expression for the asymptotic …
We investigate the structure of global inter-firm linkages using a dataset that contains information on business partners for about 400,000 firms worldwide, including all the firms listed on the major stock exchanges. Among the firms, we examine three networks, which are based on customer-supplier, licensee-licensor, a…
Modeling market impacts leads to perfect hedging strategies.
problem Trading with permanent market impacts and nonlinearity.
method Modeling market impacts using g-expectation and nonlinear stochastic integrals; introducing completeness condition for perfect replication.
result Under certain conditions, derivatives can be perfectly hedged dynamically.
Framework for realistic insurance liability valuation.
problem Economic realism in insurance liability valuation.
method Replication approach of no-arbitrage theory, considering capital and fulfillment conditions.
result Identifies conditions for market price recovery and extends production for insolvency.
We propose a novel approach and an empirical procedure to test direct contagion of growth rate in a trade credit network of firms. Our hypotheses are that the use of trade credit contributes to contagion (from many customers to a single supplier - "many to one" contagion) and amplification (through their interaction wi…
Research simulates Lloyd's of London's specialty insurance market dynamics.
problem Quantitative study of complex market phenomena in Lloyd's of London.
method Discrete Event Simulation (DES) framework for Lloyd's of London specialty insurance market.
result Model shows sophisticated exposure management reduces syndicate insolvency, and syndication enhances actuarial price accuracy.
In the context of the current financial crisis, when more companies are facing bankruptcy or insolvency, the paper aims to find methods to identify distressed firms by using financial ratios. The study will focus on identifying a group of Romanian listed companies, for which financial data for the year 2008 were availa…
This paper introduces a Decision Tree Learner as an early warning system for classification of the non-life insurance companies according to their financial solid as strong, moderate, weak, or insolvency. In this study, we ran several experiments to show that the proposed model can achieve a good result using standard …
This paper considers optimal control problem of a large insurance company under a fixed insolvency probability. The company controls proportional reinsurance rate, dividend pay-outs and investing process to maximize the expected present value of the dividend pay-outs until the time of bankruptcy. This paper aims at des…
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…
Study a market with uncertain informed traders, finding price impact depends on both asset value and informed trader count distribution.
problem Uncertain participation of informed traders in a market with limit orders.
method Characterized equilibrium by a fixed point integral equation, analyzed large order asymptotics, solved numerically.
result Equilibrium price impact depends on both asset value and distribution of informed traders, not just expected number of informed traders.
This paper discusses the financial risks faced by the UK Pension Protection Fund (PPF) and what, if anything, it can do about them. It draws lessons from the regulatory regimes under which other financial institutions, such as banks and insurance companies, operate and asks why pension funds are treated differently. It…
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…
New approach predicts microfinance borrower risk to manage portfolios.
problem Non-repayment problem in microfinance due to asymmetric information.
method Modeling and simulation of ordinary differential systems.
result Prediction of solvent and insolvent borrowers over time.
Network models assume unrealistic idiosyncratic risk, which can be mitigated by allowing for correlated shocks.
problem Network models assume idiosyncratic risk, which can be unrealistic and lead to incorrect predictions.
method Proposed a production-based asset pricing model to account for substitutability between trade partners and correlation in supply and demand shocks.
result Assets positively exposed to average propagation of upstream and downstream shocks earn lower average risk premia.
Although standard economics textbooks are seldom interested in production networks, modern economies are more and more based upon suppliers/customers interactions. One can consider entire sectors of the economy as generalised supply chains. We will take this view in the present paper and study under which conditions lo…
Machine learning predicts corporate bankruptcy with high accuracy.
problem Predicting corporate insolvency to mitigate economic disruption.
method Applied machine learning techniques like SVM, boosting, neural networks, and Gaussian processes.
result Achieved predictions with over 95% accuracy using expert assessments.
Regulator allocates buffers to prevent financial contagion in networks with common assets.
problem Containment of default contagion in financial networks with common asset exposures.
method Allocates nonnegative buffer vectors under linear budget constraints to maximize default or insolvency resilience margins or minimize worst-case systemic losses.
result Exact synthesis results for buffer allocation under ℓ∞ and ℓ1 uncertainty sets, showing significant gains over uniform and exposure-proportional allocations. This thesis models financial contagion and stability, providing insights for systemic risk management.
problem Systemic risk in financial networks through default contagion and fire sales.
method Developed mathematical models for default contagion in weighted financial networks, derived asymptotic expressions for total damage.
result Explicit asymptotic expressions for total damage and stability criteria for financial systems.
Study on supply chain networks using wire transfers in Brazil.
problem Understanding economic integration and specialization in Brazilian cities.
method Constructed a directed and weighted network of wire transfers between cities, analyzed centrality measures, and used econometric analysis.
result Disassortative mixing pattern in trade network, stronger after recession, and impact of court efficiency on economic transactions.
The recently announced Energy Union by the European Commission is the most recent step in a series of developments aiming at integrating the EU's gas markets to increase social welfare (SW) and security of gas supply. Based on a spatial partial equilibrium model, we analyze the changes in consumption, prices, and SW up…
This paper shows how we can build a model for transactions when goods are given away in the expectation of a later settlement. In settings where people keep track of their social accounts we are able to redefine concepts like account balance, yield curve and the law of diminishing returns. The model provides us with a …
Modeling trading behavior with information signals and limit order books, showing market impact and equilibrium properties.
problem Analyzing the impact of information signals on trading behavior and market equilibrium in limit order books.
method Static equilibrium model with profit-maximizing investors and competitive dealers, using iterative algorithms and asymptotic analysis.
result The market impact of large trades follows a power law with fat tails and a logarithmic law with lighter tails, and the order book flattens as noise trading increases.