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.
Private credit markets have expanded significantly, offering unique lending technology to private equity firms.
This study examines whether tokenized assets improve liquidity and finds significant differences across categories.
Tokenized RWAs face liquidity issues despite promising markets.
Study shows credit expansion in mortgage markets influenced U.S. business cycle.
Credit expansion led to stronger household leverage cycles during the U.S. business cycle.
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 …
This research investigated the potential for improving Peer-to-Peer (P2P) credit scoring by using "private information" about communications and travels of borrowers. We found that P2P borrowers' ego networks exhibit scale-free behavior driven by underlying preferential attachment mechanisms that connect borrowers in a…
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.
Model assesses credit risk using behavioral data from Experian and Bank of Italy.
In recent years, the economic policy of privatization, which is defined as the transfer of property or responsibility from public sector to private sector, is one of the global phenomenon that increases use of markets to allocate resources. One important motivation for privatization is to help develop factor and produc…
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.
In order to adapt to the liberalization of the financial sphere started in the Eighties, marked in particular by the end of the framing of credit, the disappearance of the various forms of protection of the State whose profited the banks, and the privatization of the near total of the establishments in Europe, the bank…
Unified theory explains housing cycle across metros, showing credit expansion impacts.
Secure federated learning reduces privacy risks with differential privacy and secure multiparty computation.
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.
A new model uses a Levy-driven process to value credit index swaptions.
This work models GHG offset credit markets to find optimal strategies for market participants.
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 propose an option approach for pricing bond illiquidity that is reminiscent of the celebrated work of Longstaff (1995) on the non-marketability of some non-dividend-paying shares in IPOs. This approach describes a quite common situation in the fixed income market: it is rather usual to find issuers that, besides liq…
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…
New framework replicates private equity performance using AI and liquid strategies.
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…
Private equity deals predict public market returns with up to 70% accuracy.
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.
Dynamic model considers private asset markets' complexities.
I studied what role the US stock markets and money markets have possibly played in the Gross Private Domestic Investment (GPDI) of the United States from the year 1959 to the year 2001, Gross Private Domestic Investment refers to the total amount of investment spending by businesses and firms located within the borders…
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…
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.
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.
The sustainability conditions for the market participants with a different ownership model were also determined. It was revealed, that the nonlinear form of the equations describing the market behavior with the prevailing private capital, predetermines the development of such a market according to the subharmonic casca…
AXI assesses bank funding costs transparently, improving loan pricing and reducing financial risk.
Agent-based simulation assesses tradable credit schemes for congestion reduction.
This research uses reinforcement learning to find optimal emission offsets in greenhouse gas markets.
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…
Study on markets with insiders receiving private signals affecting asset prices and information flow.
Trading floors need to be twice as deep as electronic markets to compete.