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.
Derivatives impact U.S. banking sector's systemic risk, but loan and leverage ratios are more significant.
We derive a "semi-analytic" solution for a stock loan in which the lender forces liquidation when the loan-to-collateral ratio drops beneath a certain threshold. We use this to study the sensitivity of the contract to model parameters.
In this paper, which is the third installment of the author's trilogy on margin loan pricing, we analyze monthly observations of the U.S. broker call money rate, which is the interest rate at which stock brokers can borrow to fund their margin loans to retail clients. We describe the basic features and mean-rev…
I unravel the basic long run dynamics of the broker call money market, which is the pile of cash that funds margin loans to retail clients (read: continuous time Kelly gamblers). Call money is assumed to supply itself perfectly inelastically, and to continuously reinvest all principal and interest. I show that the rela…
New measure predicts Dutch housing market downturns.
In this paper the dependence of wealth distribution and the velocity of money on the required reserve ratio is examined based on a random transfer model of money and computer simulations. A fractional reserve banking system is introduced to the model where money creation can be achieved by bank loans and the monetary a…
We extend the Vasiček loan portfolio model to a setting where liabilities fluctuate randomly and asset values may be subject to systemic jump risk. We derive the probability distribution of the percentage loss of a uniform portfolio and analyze its properties. We find that the impact of liability risk is ambiguous and …
The seniority of debt, which determines the order in which a bankrupt institution repays its debts, is an important and sometimes contentious feature of financial crises, yet its impact on system-wide stability is not well understood. We capture seniority of debt in a multiplex network, a graph of nodes connected by mu…
Study analyzes profitability and efficiency of Chinese banks, finding state-owned banks superior.
Banks are interested in evaluating the risk of the financial distress before giving out a loan. Many researchers proposed the use of models based on the Neural Networks in order to help the banker better make a decision. The objective of this paper is to explore a new practical way based on the Neural Networks that wou…
In order to protect brokers from customer defaults in a volatile market, an active margin system is proposed for the transactions of margin lending in China. The probability of negative return under the condition that collaterals are liquidated in a falling market is used to measure the risk associated with margin loan…
Commercial banks and other depository institutions in some countries are required to hold in reserve against deposits made by their customers at their Central Bank or Federal Reserve. Although some countries have been eliminated it, this requirement is useful as one of many Central Bank's regulation made to control rat…
Study examines credit risk's impact on Vietnamese banks' financial performance.
In this paper we first introduce two new financial products: stock loan and capped stock loan. Then we develop a pure variational inequality method to establish explicitly the values of these stock loans. Finally, we work out ranges of fair values of parameters associated with the loans.
Loan default prediction is one of the most important and critical problems faced by banks and other financial institutions as it has a huge effect on profit. Although many traditional methods exist for mining information about a loan application, most of these methods seem to be under-performing as there have been repo…
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…
It had been believed in the conventional practice that the risk of a bank going bankrupt is lessened in a straightforward manner by transferring the risk of loan defaults. But the failure of American International Group in 2008 posed a more complex aspect of financial contagion. This study presents an extension of the …
Examines how extending home loan durations affects French households financially.
The paper analyzes debt recycling strategies for mortgage repayment, revealing complex phases of success and failure.
Two models predict net loan losses using Bayesian and frequentist regression.
Current auto loans converge to super-prime credit despite remaining underwater.
An integrated and extendable approach for stress-testing loan portfolios
A stock loan is a loan, secured by a stock, which gives the borrower the right to redeem the stock at any time before or on the loan maturity. The way of dividends distribution has a significant effect on the pricing of the stock loan and the optimal redeeming strategy adopted by the borrower. We present the pricing mo…
Extends ASRF model for green and brown loans, accounting for systematic and idiosyncratic risks.
Paper solves stock loan pricing with finite maturity using integral equations.
Logistic Regression and Support Vector Machine algorithms, together with Linear and Non-Linear Deep Neural Networks, are applied to lending data in order to replicate lender acceptance of loans and predict the likelihood of default of issued loans. A two phase model is proposed; the first phase predicts loan rejection,…
Optimal student loan repayment strategies vary based on loan size.
This paper works out fair values of stock loan model with automatic termination clause, cap and margin. This stock loan is treated as a generalized perpetual American option with possibly negative interest rate and some constraints. Since it helps a bank to control the risk, the banks charge less service fees compared …
Paper calculates loan loss after default using Bayesian model.
A stock loan is a contract whereby a stockholder uses shares as collateral to borrow money from a bank or financial institution. In Xia and Zhou (2007), this contract is modeled as a perpetual American option with a time varying strike and analyzed in detail within a risk--neutral framework. In this paper, we extend th…
Kiva is an online non-profit crowdsouring microfinance platform that raises funds for the poor in the third world. The borrowers on Kiva are small business owners and individuals in urgent need of money. To raise funds as fast as possible, they have the option to form groups and post loan requests in the name of their …
In 1979 following a decade of hyperinflation, Iceland introduced Verðtryggð lán, negatively amortised, index-linked loans whose outstanding principal is increased by the rate of the consumer price inflation index(CPI). The loans were part of a general government policy which used indexation to the CPI to address the ec…
Flashot visualizes Flash Loan attacks in DeFi systems.
Paper uses BERT to assess P2P borrowers' credit risk from loan descriptions.
The study examines how limited liability and haircut affect a bank's loan portfolio's liquidity risk.
Set-Sequence model learns cross-sectional dynamics directly from time series data.
Zero-Liquidation loans protect ETH borrowers from liquidation risks.
Retail investors set interest rates for P2P loans based on borrower characteristics.
The authors examine the concept of probability of default for asset-backed loans. In contrast to unsecured loans it is shown that probability of default can be defined as either a measure of the likelihood of the borrower failing to make required payments, or as the likelihood of an insufficiency of collateral value on…
Online Peer to Peer Lending (P2PL) systems connect lenders and borrowers directly, thereby making it convenient to borrow and lend money without intermediaries such as banks. Many recommendation systems have been developed for lenders to achieve higher interest rates and avoid defaulting loans. However, there has not b…
Quantum mechanics applied to credit loans for better repayment schedules.
Credit Scores are ubiquitous and instrumental for loan providers and regulators. In this paper we showcase how micro-loan credit system can be developed in real setting. We show what challenges arise and discuss solutions. Particularly, we are concerned about model interpretability and data quality. In the final sectio…
Optimizes loan recovery timing by forecasting cash flows.
5D AI model detects bad loans without biased features, improving consumer protection.
Model assesses loan profitability under changing credit conditions.
We use bank-level balance sheet data from 2005 to 2010 to study interactions within the banking system of five emerging countries: Argentina, Brazil, Mexico, South Africa, and Taiwan. For each country we construct a financial network based on the leverage ratio dependence between each pair of banks, and find results th…
High-value transactions between Australian banks are settled in the Reserve Bank Information and Transfer System (RITS) administered by the Reserve Bank of Australia. RITS operates on a real-time gross settlement (RTGS) basis and settles payments sourced from the SWIFT, the Austraclear, and the interbank transactions e…
Deep neural networks reduce loan portfolio risk.