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 research uses reinforcement learning to find optimal emission offsets in greenhouse gas markets.
This work models GHG offset credit markets to find optimal strategies for market participants.
Investors optimize equity and CDS trading to mitigate default risk.
Over-the-counter markets are at the center of the postcrisis global reform of the financial system. We show how the size and structure of such markets can undergo rapid and extensive changes when participants engage in portfolio compression, a post-trade netting technology. Tightly-knit and concentrated trading structu…
We apply Geometric Arbitrage Theory to obtain results in mathematical finance for credit markets, which do not need stochastic differential geometry in their formulation. We obtain closed form equations involving default intensities and loss given defaults characterizing the no-free-lunch-with-vanishing-risk condition …
Study finds no significant impact of US sovereign credit rating downgrade on equity market.
Paper uses AI to predict tail risks in US financial markets.
Develops a three-currency HJM framework for Brazilian credit markets, finding significant credit spread differences between indexed segments.
Model assesses loan profitability under changing credit conditions.
Private credit markets have expanded significantly, offering unique lending technology to private equity firms.
Over-the-counter derivatives have contributed significantly to the effectiveness and efficiency of the international financial system but also entail significant counterparty credit risk. Collateralization is one of the most important and widespread credit risk mitigation techniques used in derivatives transactions. Ho…
Revisits Jarrow & Turnbull model for credit and liquidity risk.
Paper uses SAC RL to optimize market-making strategies.
A new model uses a Levy-driven process to value credit index swaptions.
We present a quantitative study of the markets and models evolution across the credit crunch crisis. In particular, we focus on the fixed income market and we analyze the most relevant empirical evidences regarding the divergences between Libor and OIS rates, the explosion of Basis Swaps spreads, and the diffusion of c…
We give a comprehensive review of credit term structure modeling methodologies. The conventional approach to modeling credit term structure is summarized and shown to be equivalent to a particular type of the reduced form credit risk model, the fractional recovery of market value approach. We argue that the corporate p…
We detect the backbone of the weighted bipartite network of the Japanese credit market relationships. The backbone is detected by adapting a general method used in the investigation of weighted networks. With this approach we detect a backbone that is statistically validated against a null hypothesis of uniform diversi…
The market practice of extrapolating different term structures from different instruments lacks a rigorous justification in terms of cash flows structure and market observables. In this paper, we integrate our previous consistent theory for pricing under credit, collateral and funding risks into term structure modellin…
This paper examines the possibility of using derivative-implied risk premia to explain stock returns. The rapid development of derivative markets has led to the possibility of trading various kinds of risks, such as credit and interest rate risk, separately from each other. This paper uses credit default swaps and equi…
Through a long-period analysis of the inter-temporal relations between the French markets for credit default swaps (CDS), shares and bonds between 2001 and 2008, this article shows how a financial innovation like CDS could heighten financial instability. After describing the operating principles of credit derivatives i…
Study shows how to better estimate credit provisions and economic capital.
In this work we derive an approximated no-arbitrage market valuation formula for Constant Maturity Credit Default Swaps (CMCDS). We move from the CDS options market model in Brigo (2004), and derive a formula for CMCDS that is the analogous of the formula for constant maturity swaps in the default free swap market unde…
In this paper, we define dual geodesic trihedron(dual Darboux frame) of a spacelike ruled surface. Then, we study Mannheim offsets of spacelike ruled surfaces in dual Lorentzian space by considering the E. Study Mapping. We represent spacelike ruled surfaces by dual Lorentzian unit spherical curves and define Mannheim …
In this paper, we study Mannheim surface offsets in dual space. By the aid of the E. Study Mapping, we consider ruled surfaces as dual unit spherical curves and define the Mannheim offsets of the ruled surfaces by means of dual geodesic trihedron (dual Darboux frame). We obtain the relationships between the invariants …
Paper proposes a framework for precise daily default risk prediction of Chinese credit bonds.
Optimal credit and consumption strategies in a switching market with default contagion.
In this paper, using the classifications of timelike and spacelike ruled surfaces, we study the Mannheim offsets of timelike ruled surfaces in Minkowski 3-space. Firstly, we define the Mannheim offsets of a timelike ruled surface by considering the Lorentzian casual character of the offset surface. We obtain that the M…
New measure predicts Dutch housing market downturns.
Paper introduces Cycles Protocol to integrate trade credit into market clearing.
This paper presents a new model for pricing financial derivatives subject to collateralization. It allows for collateral arrangements adhering to bankruptcy laws. As such, the model can back out the market price of a collateralized contract. This framework is very useful for valuing outstanding derivatives. Using a uni…
Shorting IG ETFs can hedge bond portfolios during market drawdowns effectively.
Model estimates LIBOR rates and finds COVID-19 spread spike due to credit risk.
AXI assesses bank funding costs transparently, improving loan pricing and reducing financial risk.
Agent-based simulation assesses tradable credit schemes for congestion reduction.
The recent "correlation breakdown" in the modeling of credit default swaps, in which model correlations had to exceed 100% in order to reproduce market prices of supersenior tranches, is analyzed and argued to be a fundamental market inconsistency rather than an inadequacy of the specific model. As a consequence, marke…
This article presents a new model for valuing a credit default swap (CDS) contract that is affected by multiple credit risks of the buyer, seller and reference entity. We show that default dependency has a significant impact on asset pricing. In fact, correlated default risk is one of the most pervasive threats in fina…
In this study, we give the dual characterizations of Mannheim offsets of the ruled surface in terms of their integral invariants and the new characterization of the Mannheim offsets of developable surface. Furthermore, we obtain the relationships between the area of projections of spherical images for Mannheim offsets …
Broker uses multi-task dynamic pricing to learn competitive prices in credit markets.
Study evaluates SHAP for credit card default model consistency.
A new model calculates LGD distribution based on firm value and credit market conditions.
Method to decompose portfolio performance into FX, interest rate, carry, and residual market risks.
We explain a persistent cost-of-carry spread in EUA market and suggest ECB policy change.
Large corporate credit models may be adapted for small business risk assessment.
Extracts credit-relevant information from earnings calls.
We present an analysis of the credit market of Japan. The analysis is performed by investigating the bipartite network of banks and firms which is obtained by setting a link between a bank and a firm when a credit relationship is present in a given time window. In our investigation we focus on a community detection alg…
The paper shows how to calculate risk-neutral default probabilities from bid and ask CDS quotes.
Study shows how macroprudential policies affect credit growth in Israel, especially in housing and business sectors.
Market portfolio decomposed into body and tail legs