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 paper connects monetary and star-shaped risk measures by showing their equivalence under certain conditions.
This study shows how monetary uncertainty affects stock market reactions to macroeconomic news.
The paper explores non-convex risk measures and their characterizations.
We study time-consistency questions for processes of monetary risk measures that depend on bounded discrete-time processes describing the evolution of financial values. The time horizon can be finite or infinite. We call a process of monetary risk measures time-consistent if it assigns to a process of financial values …
Study on efficiency in economies with risk-averse agents, finding Pareto optima.
This survey gives an introduction to monetary measures of risk as monotone and cash additive functions on spaces of univariate random variables. Primal and dual representation results as well as several examples are discussed. Principal ways to construct risk measures are given and extensions to more general situations…
The paper studies dynamic star-shaped risk measures and their representation.
The paper uses LSM to solve complex monetary utility functions.
Geometrically convex return risk measures on AM-algebras
Simple conditions for comonotonic additive risk measures from acceptance sets.
We consider the problem of governing systemic risk in a banking system model. The banking system model consists in an initial value problem for a system of stochastic differential equations whose dependent variables are the log-monetary reserves of the banks as functions of time. The banking system model considered gen…
Theory integrates loss aversion into expected utility for monetary returns.
The paper models and prices cyber insurance risks, distinguishing idiosyncratic, systematic, and systemic risks.
Skewness dispersion predicts future stock market returns, especially in months with monetary policy announcements.
Monetary risk measures are usually interpreted as the smallest amount of external capital that must be added to a financial position to make it acceptable. We propose a new concept: intrinsic risk measures and argue that this approach provides a direct path from unacceptable positions towards the acceptance set. Intrin…
Study develops hybrid model to mitigate stablecoin liquidity risk.
We consider the problem of decomposing monetary risk in the presence of a fully traded market in {\it some} risks. We show that a mark-to-market approach to pricing leads to such a decomposition if the risk measure is time-consistent in the sense of Delbaen.
We propose a simple model of inter-bank borrowing and lending where the evolution of the log-monetary reserves of banks is described by a system of diffusion processes coupled through their drifts in such a way that stability of the system depends on the rate of inter-bank borrowing and lending. Systemic risk is ch…
Investigates Meyer risk measures and their applications in finance.
New algorithm minimizes Bayesian regret in offline linear bandits.
Study on time-varying APT validity in Japanese stock market.
We propose a simple model of the banking system incorporating a game feature where the evolution of monetary reserve is modeled as a system of coupled Feller diffusions. The Markov Nash equilibrium generated through minimizing the linear quadratic cost subject to Cox-Ingersoll-Ross type processes creates liquidity and …
Paper studies central bank's strategy to control systemic risk in interbank system.
Study improves U.S. monetary policy forecasting by integrating text and data.
Paper introduces quasi-logconvex risk measures and their properties.
New risk measures for financial and ESG risks using utility functions.
New set-valued star-shaped risk measures introduced for better risk assessment.
Paper characterizes star-shaped risk measures and their properties.
News on inflation and monetary policy impacts US household inflation expectations.
Operational risk is the risk relative to monetary losses caused by failures of bank internal processes due to heterogeneous causes. A dynamical model including both spontaneous generation of losses and generation via interactions between different processes is presented; the efforts made by the bank to avoid the occurr…
Study finds monetary policy uncertainty negatively impacts Bitcoin returns.
Develops risk measures on Lipschitz spaces for financial positions.
Algorithmic stablecoins optimize monetary policy to balance price stability.
Paper introduces new risk measures for default risk and model uncertainty.
Regardless of the gold-standard being considered as outdated, it provides valuable signs concerning the development of novel monetary standards, better adjusted to the current macroeconomic environment. By using a point of view of classical physics, the intent of this work is doing a review of the concept of monetary s…
This paper empirically analyses risk in the Euro relative to other currencies. Comparisons are made between a sub period encompassing the final transitional stage to full monetary union with a sub period prior to this. Stability in the face of speculative attack is examined using Extreme Value Theory to obtain estimate…
Kalshi prediction markets forecast cryptocurrency volatility through monetary policy and inflation signals.
Study examines remittances in Nepal, linking external demand and domestic monetary conditions.
In this paper we consider a mean-field model of interacting diffusions for the monetary reserves in which the reserves are subjected to a self- and cross-exciting shock. This is motivated by the financial acceleration and fire sales observed in the market. We derive a mean-field limit using a weak convergence analysis …
We consider the problem of governing systemic risk in an assets-liabilities dynamical model of banking system. In the model considered each bank is represented by its assets and its liabilities.The capital reserves of a bank are the difference between assets and liabilities of the bank. A bank is solvent when its capit…
RLFA estimates misstated monetary fraction with weighted sampling without replacement.
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…
The paper studies the convergence of SAA for systemic risk measures.
The left tail of the implied volatility skew, coming from quotes on out-of-the-money put options, can be thought to reflect the market's assessment of the risk of a huge drop in stock prices. We analyze how this market information can be integrated into the theoretical framework of convex monetary measures of risk. In …
Research shows SBP's tone impacts stock market returns positively or negatively.
Growth of monetary assets and debts is commonly described by the formula of compound interest which for the case of continuous compounding is the exponential growth law. Its differential form is dc/dt = i c where dc/dt describes the rate of monetary growth, i the compounded interest rate and c the actual principal. Exp…
We study the problem of portfolio insurance from the point of view of a fund manager, who guarantees to the investor that the portfolio value at maturity will be above a fixed threshold. If, at maturity, the portfolio value is below the guaranteed level, a third party will refund the investor up to the guarantee. In ex…
This paper provides a unified framework, which allows, in particular, to study the structure of dynamic monetary risk measures and dynamic acceptability indices. The main mathematical tool, which we use here, and which allows us to significantly generalize existing results is the theory of -modules. In the first p…