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Found 25 papers, 3 papers with code
Large Language Model in Financial Regulatory Interpretation
This study explores the innovative use of Large Language Models (LLMs) as analytical tools for interpreting complex financial regulations.
Statistical Validation of Contagion Centrality in Financial Networks
In this paper, we introduce a novel centrality measure to evaluate shock propagation on financial networks capturing a notion of contagion and systemic risk contributions.
Price-mediated contagion with endogenous market liquidity
Price-mediated contagion occurs when a positive feedback loop develops following a drop in asset prices which forces banks and other financial institutions to sell their holdings.
Modeling Inverse Demand Function with Explainable Dual Neural Networks
Financial contagion has been widely recognized as a fundamental risk to the financial system.
Decentralized Prediction Markets and Sports Books
Importantly, we study how liquidity can be pooled or withdrawn from the AMM and the resulting implications to the market behavior.
Stochastic Cell Transmission Models of Traffic Networks
We introduce a rigorous framework for stochastic cell transmission models for general traffic networks.
Endogenous Distress Contagion in a Dynamic Interbank Model
In this work we introduce an interbank network with stochastic dynamics subject to an endogenous notion of distress contagion that accounts for worries about future defaults within the network.
Axioms for Automated Market Makers: A Mathematical Framework in FinTech and Decentralized Finance
Within this work we consider an axiomatic framework for Automated Market Makers (AMMs).
Decentralized Payment Clearing using Blockchain and Optimal Bidding
Finally, we consider the optimal bidding strategies for each firm in the network so that all firms are utility maximizers with respect to their terminal wealths.
Set-Valued Dynamic Risk Measures for Processes and Vectors
Finally, the equivalence of multiportfolio time consistency between set-valued risk measures for processes and vectors is provided; to accomplish this, an augmented definition for multiportfolio time consistency of set-valued risk measures for processes is proposed.
Clearing prices under margin calls and the short squeeze
In this paper, we propose a clearing model for prices in a financial markets due to margin calls on short sold assets.
Endogenous inverse demand functions
In this work we present an equilibrium formulation for price impacts.
Dynamic Default Contagion in Heterogeneous Interbank Systems
In this work we provide a simple setting that connects the structural modelling approach of Gai-Kapadia interbank networks with the mean-field approach to default contagion.
Optimal Network Compression
This paper introduces a formulation of the optimal network compression problem for financial systems.
Contingent Convertible Obligations and Financial Stability
This paper investigates whether a financial system can be made more stable if financial institutions share risk by exchanging contingent convertible (CoCo) debt obligations.
A Repo Model of Fire Sales with VWAP and LOB Pricing Mechanisms
Similarly the fire-sale price of the asset obtained by each of the banks depends on the amount of assets liquidated by the bank itself and by other banks.
Reanimating a Dead Economy: Financial and Economic Analysis of a Zombie Outbreak
In this paper, we study the financial and economic implications of a zombie epidemic on a major industrialized nation.
Set-Valued Risk Measures as Backward Stochastic Difference Inclusions and Equations
Scalar dynamic risk measures for univariate positions in continuous time are commonly represented as backward stochastic differential equations.
Price mediated contagion through capital ratio requirements with VWAP liquidation prices
We develop a framework for price-mediated contagion in financial systems where banks are forced to liquidate assets to satisfy a risk-weight based capital adequacy requirement.
Time consistency for scalar multivariate risk measures
We are motivated to study time consistency of multivariate scalar risk measures as the superhedging risk measure in markets with transaction costs (with a single eligible asset) (Jouini and Kallal (1995), Roux and Zastawniak (2016), Loehne and Rudloff (2014)) does not satisfy the usual scalar concept of time consistency.
Pricing of debt and equity in a financial network with comonotonic endowments
In this paper we present formulas for the valuation of debt and equity of firms in a financial network under comonotonic endowments.
Scalar multivariate risk measures with a single eligible asset
First, some results are provided on the dual representation of such risk measures, with particular emphasis given on the space of dual variables as (equivalent) martingale measures and prices consistent with the market model.
Capital Regulation under Price Impacts and Dynamic Financial Contagion
We use this model to find analytical bounds on the risk-weights for an asset as a function of the market liquidity.
Mathematical Finance Risk Management
Impact of Contingent Payments on Systemic Risk in Financial Networks
In this paper we study the implications of contingent payments on the clearing wealth in a network model of financial contagion.
Mathematical Finance Risk Management
Dynamic Clearing and Contagion in Financial Networks
In this paper we introduce a generalized extension of the Eisenberg-Noe model of financial contagion to allow for time dynamics of the interbank liabilities, including a dynamic examination of default risk.
