Cryptocurrency markets show similar returns but different volatility responses to infrastructure and regulatory shocks.
problem Understanding how cryptocurrency markets differentiate between infrastructure and regulatory shocks.
method Event-level block bootstrap inference on 31 cryptocurrency events across Bitcoin, Ethereum, Solana, and Cardano (2019-2025).
result No statistically significant difference in cumulative abnormal returns between infrastructure failures and regulatory enforcement.
The aim of this paper is to introduce a synthetic ALM model that catches the main specificity of life insurance contracts. First, it keeps track of both market and book values to apply the regulatory profit sharing rule. Second, it introduces a determination of the crediting rate to policyholders that is close to the p…
Regshock visualizes financial risks to help regulators manage systemic shocks.
problem Managing systemic risks in financial networks.
method Risk-island visualization algorithm and regshock visual exploration approach.
result Demonstrated improved risk management and control capabilities.
Cryptocurrency markets treat infrastructure failures and regulatory shocks differently, but the effect is not statistically significant.
problem Understanding how cryptocurrency markets differentiate between infrastructure failures and regulatory shocks.
method A multi-moment event study using GJR-GARCH-X model with matched dependence-robust inference.
result The differential impact of infrastructure failures and regulatory shocks on cryptocurrency markets is not statistically significant.
Model explains money creation under regulatory constraints.
problem Understanding money creation dynamics under regulatory pressures.
method Agent-based model of secured interbank network.
result Excess liquidity and repurchase agreements emerge due to regulatory constraints.
DeFi exploits lead to reduced CP spreads, contrary to contagion hypothesis.
problem Vulnerabilities in DeFi destabilize traditional short-term funding markets.
method Analysis of commercial paper spreads and regulatory segmentation.
result DeFi exploits lead to a 'Flight-to-Quality' pattern, narrowing rather than widening CP spreads.
A growing body of studies on systemic risk in financial markets has emphasized the key importance of taking into consideration the complex interconnections among financial institutions. Much effort has been put in modeling the contagion dynamics of financial shocks, and to assess the resilience of specific financial ma…
Develops a two-layer model to design mortgage assistance products.
problem Designing effective mortgage assistance products to improve household resilience.
method Two-layer approach: simulation and optimization.
result Shows how the approach can design and evaluate mortgage assistance products.
Model predicts asset prices from initial shocks using neural networks.
problem Missing data on actual asset liquidations limits model calibration.
method Dual neural network structure, first stage maps shocks to liquidations, second stage uses liquidations to predict prices.
result Model accurately predicts equilibrium prices from initial shocks without liquidation data.
In the last years, increasing efforts have been put into the development of effective stress tests to quantify the resilience of financial institutions. Here we propose a stress test methodology for central counterparties based on a network characterization of clearing members, whose links correspond to direct credits …
Study examines cryptoasset service providers in Austria, revealing global integration and distinct responses to market shocks.
problem Understanding cryptoasset integration and stress behavior in national economies.
method Directly identified on-chain addresses of Austrian crypto-asset service providers, reconstructing transaction activity across multiple cryptocurrencies.
result Austrian crypto-asset service providers are globally integrated, with distinct responses to market shocks.
Study finds significant price declines and capital reallocation from centralized to decentralized exchanges after FTX collapse.
problem Quantifying trust dynamics and redistribution between centralized and decentralized exchanges.
method Interdisciplinary approach combining causal inference and computational text analysis.
result Significant price declines and capital reallocation from centralized to decentralized exchanges following the FTX collapse.
Study examines how institutional differences and crises affect volatility in ASEAN stock markets.
problem Understanding how institutional differences and crises impact volatility in emerging Asian stock markets.
method By-window EGARCH/TGARCH analysis of daily stock index returns for Indonesia, Malaysia, and the Philippines from 2010 to 2024.
result All three markets show strong volatility persistence and fat-tailed returns; crises increase persistence and asymmetry, while tail thickness rises.
Model analyzes optimal interbank networks during liquidity shocks, revealing core-periphery structures and co-investment requirements.
problem Formation of optimal interbank networks during liquidity shocks.
method Solves system-wide optimal control problem in two settings: decentralized and centralized.
result Decentralized setting leads to less cash reserves and greater vulnerability to shocks; core banks have highest co-investment requirements.
This research proposes methods to model and assess liability liquidity risk in asset management.
problem Lack of standardized models for liability liquidity risk in asset management.
method Statistical models, zero-inflated models, aggregate and individual-based approaches, and factor models.
result Developed mathematical and statistical approaches to estimate and assess redemption shocks.
Threats on the stability of a financial system may severely affect the functioning of the entire economy, and thus considerable emphasis is placed on the analyzing the cause and effect of such threats. The financial crisis in the current and past decade has shown that one important cause of instability in global market…
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.
Paper improves SVaR estimation for stress testing under macro scenarios using a hybrid GPR-HS framework.
problem Numerical instability in traditional SVaR estimation under extreme shocks.
method Extends GPR-HS framework to forward-looking stress scenarios with SACS for stable covariance.
result Stable SVaR ranges from -2.1020% to -2.2231%, preserving coherence property.
The aim of this paper is to quantify and manage systemic risk caused by default contagion in the interbank market. We model the market as a random directed network, where the vertices represent financial institutions and the weighted edges monetary exposures between them. Our model captures the strong degree of heterog…
The study reveals asymmetries in US financial shocks' international impacts.
problem Analyzing nonlinearities in international financial spillovers.
method Developed a flexible nonlinear multi-country model to capture asymmetries in responses to financial shocks.
result Adverse shocks trigger stronger declines in output, inflation, and stock markets than benign shocks.
Study shows local governments smooth fiscal shocks from property tax revenues.
problem Impact of revenue shocks on local fiscal policy.
method Causal machine learning strategies and post-double-selection LASSO estimator.
result Local policymakers predominantly smooth fiscal shocks, but react differently to positive and negative shocks.
In this paper we study the distributional properties of a vector of lifetimes in which each lifetime is modeled as the first arrival time between an idiosyncratic shock and a common systemic shock. Despite unlike the classical multidimensional Marshall-Olkin model here only a unique common shock affecting all the lifet…
The study uses Random Matrix Theory to identify structural changes in stock markets during shocks.
problem Understanding structural changes in stock markets during exogenous shocks.
method Random Matrix Theory and complexity gap analysis.
result The complexity gap collapses during shocks, indicating strong synchronization, and widens before shocks, signaling a rich structure.
We have analyzed the Indices of Industrial Production (Seasonal Adjustment Index) for a long period of 240 months (January 1988 to December 2007) to develop a deeper understanding of the economic shocks. The angular frequencies estimated using the Hilbert transformation, are almost identical for the 16 industrial secto…
Over the last 23 years, the U.S. Securities and Exchange Commission has required over 34,000 companies to file over 165,000 annual reports. These reports, the so-called "Form 10-Ks," contain a characterization of a company's financial performance and its risks, including the regulatory environment in which a company op…
GenAI adoption paradoxically lowers ROE for U.S. banks, with spillovers but systemic risk concerns.
problem Productivity paradox and implementation costs in U.S. banking sector with AI adoption.
method Dynamic Spatial Durbin Models (DSDM) and Synthetic Difference-in-Differences (SDID) for causal inference.
result AI adoption leads to a 428-basis-point decline in ROE for banks, with spillovers but systemic risk implications.
Currency volatility shocks predict lower excess returns, and buying weak transmitters outperforms selling strong ones.
problem Predicting currency returns using volatility shocks.
method Constructed a dynamic, directed network of volatility connections using option-implied volatilities.
result Currencies that transmit more volatility shocks earn lower excess returns.
We empirically test the effects of unanticipated fiscal policy shocks on the growth rate and the cyclical component of real private output and reveal different types of asymmetries in fiscal policy implementation. The data used are quarterly U.S. observati ons over the period 1967:1 to 2011:4. In doing so, we use both …
New method quantifies market shocks and their effects.
problem Quantifying the impact and response to market shocks.
method Sparse probabilistic elliptical model with L0-norm regularization. result Shock patterns are related to network structure and sector diversification.
Paper addresses unbalanced data in common shock models for loss reserving.
problem Complications in capturing structural dependence with unbalanced data.
method Introduces a common shock Tweedie approach for unbalanced data.
result Better balance of common shock proportions and parsimonious solution.
This study assesses how economic shocks affect the efficiency and robustness of international pesticide trade networks.
problem Economic shocks impact the efficiency and robustness of international pesticide trade networks.
method Simulations were used to quantify efficiency and robustness under different economic shocks. Three strategies were tested: descending, random, and ascending node removal.
result The international pesticide trade networks became more efficient and robust except for clustering coefficient. Import-oriented economies were more vulnerable to shocks.
This paper investigates how economic shocks propagate and amplify through the input-output network connecting industrial sectors in developed economies. We study alternative models of diffusion on networks and we calibrate them using input-output data on real-world inter-sectoral dependencies for several European count…
Geopolitical and geoeconomic shocks affect sovereign risk differently, with distinct transmission channels.
problem Understanding how geopolitical and geoeconomic shocks impact sovereign credit risk.
method Daily panel data of 42 economies over 2018-2025; semistructural framework; Shapley-Taylor decomposition; machine learning predictions; placebo and sign-restricted SVAR evidence.
result Geopolitical shocks primarily increase sovereign credit spreads through direct repricing, while geoeconomic shocks mainly affect spreads through financial conditions and policy uncertainty.
New approach measures systemic risk by absorbing shocks before financial systems deteriorate.
problem Systemic risk evaluation without considering initial shocks.
method Linearized DebtRank and spectral graph theory for localized and uniform shocks; Monte Carlo simulations for heterogeneous shocks.
result Explicit computation and clear visualization of financial distress onset.
This paper examines market misconduct in DeFi and proposes regulatory solutions.
problem Novel forms of market misconduct in DeFi.
method Comprehensive analysis, comparative study, empirical measurements, and tailored regulatory framework investigation.
result Identification of key areas for regulatory enhancement in DeFi.
New method identifies uncertainty shocks in financial markets using revised VIX.
problem Traditional VIX fails to capture non-Gaussian, heavy-tailed asset returns.
method Fit a double-subordinated Normal Inverse Gaussian Levy process to S&P 500 option prices to construct a revised VIX.
result Revised VIX provides a more comprehensive measure of volatility reflecting extreme movements and heavy tails.
Using a modified damped harmonic oscillator model equivalent to a model of market dynamics with price expectations, we analyze the reaction of financial markets to shocks. In order to do this, we gather data from indices of a variety of financial markets for the 1987 Black Monday, the Russian crisis of 1998, the crash …
Paper develops a framework to discover bioprocessing regulatory mechanisms using symbolic and statistical learning.
problem Challenges in modeling complex intracellular regulation, stochastic system behavior, and limited experimental data.
method Symbolic and statistical learning framework based on stochastic differential equations and Bayesian learning.
result Improved sample efficiency and robust model selection compared to state-of-the-art approaches.
Finance is about how the continuous stream of news gets incorporated into prices. But not all news have the same impact. Can one distinguish the effects of the Sept. 11, 2001 attack or of the coup against Gorbachev on Aug., 19, 1991 from financial crashes such as Oct. 1987 as well as smaller volatility bursts? Using a …
Oil markets profoundly influence world economies through determination of prices of energy and transports. Using novel methodology devised in frequency domain, we study the information transmission mechanisms in oil-based commodity markets. Taking crude oil as a supply-side benchmark and heating oil and gasoline as dem…
We reverse engineer dynamics of financial contagion to find the scenario of smallest exogenous shock that, should it occur, would lead to a given final systemic loss. This reverse stress test can be used to identify the potential triggers of systemic events, and it removes the arbitrariness in the selection of shock sc…
Stress shocks are often calculated as multiples of the standard deviation of a history set. This paper investigates how many standard deviations are required to guarantee that this shock exceeds any observation within the history set, given the additional constraint of kurtosis. The results of this analysis are then us…
We establish a simple relation between curvatures of the group of volume-preserving diffeomorphisms and the lifespan of potential solutions to the inviscid Burgers equation before the appearance of shocks. We show that shock formation corresponds to a focal point of the group of volume-preserving diffeomorphisms regard…
We investigate shock-wave solutions of the Einstein equations in the case when the speed of propagation is equal to the speed of light. The work extends the shock matching theory of Smoller and Temple, which characterizes solutions of the Einstein equations when the spacetime metric is only Lipschitz continuous across …
regvis.net offers a visual survey of regulatory visualization.
problem Lack of a comprehensive resource for regulatory visualization.
method Collection and manual tagging of 80+ publications, creation of a searchable webpage.
result First publication set tailored for regulatory visualization.
Optimizes insurance profits under regulatory constraints.
problem Maximizing profits while adhering to regulatory and risk policies.
method Developed a formalism for in-force business profit optimisation.
result Identified optimal asset allocation and annual opportunity cost.
Universal model for soft tissue mechanics under shock waves.
problem Modeling shock wave mechanics in soft biological tissues.
method Continuum mixture theory with phase-field mechanics.
result Universal thermodynamically consistent formulation for soft porous tissues.
Study historical cholera epidemics and simulate long-term mortality impacts.
problem Long-term impacts of mortality shocks on longevity.
method Historical analysis of cholera epidemics and mathematical modeling of stochastic Individual-Based models.
result Simulated long-term mortality impacts following a mortality shock.