Topic
Risk, Credit & Banking
Credit risk, default prediction, banking, systemic risk and risk measures.
- Papers featured
- 422
- Last 12 months
- 93
- Cited 100+
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- SSRN
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Featured papers in this topic with the most citations today.
- 7 Feb 202454cites
Attention-based Dynamic Multilayer Graph Neural Networks for Loan Default Prediction
A dynamic multilayer network model has been created for improved credit risk assessment, considering borrower connections and their evolution over time.
arXivIn European Journal of Operational Research
- 30 Jan 202428cites
Moderating effects of gender and family responsibilities on the relations between work–family policies and job performance
Research on the Spanish banking sector shows that work-family policies indirectly improve job performance through generated well-being, with no significant influence from gender or family responsibilities.
arXivIn The International Journal of Human Resource Management
- 23 Jan 202527cites
Machine Learning Based Risk Assessment for Financial Management in Big Data IoT Credit
The article highlights the importance of machine learning in evaluating financial management in big data and IoT in the credit industry, improving creditworthiness accuracy.
SSRN
- 7 Feb 202421cites
Explainable Automated Machine Learning for Credit Decisions: Enhancing Human Artificial Intelligence Collaboration in Financial Engineering
The use of Explainable Automated Machine Learning (AutoML) in financial engineering can improve the development of machine learning models for credit scoring and increase transparency in AI financial decisions.
arXiv
- 26 Mar 202520cites
Unleashing the power of text for credit default prediction: Comparing human-written and generative AI-refined texts
The study shows that using AI language model, ChatGPT, in lending decisions can improve credit default predictions and increase profitability in finance.
arXivIn European Journal of Operational Research
- 17 Aug 202320cites
Contagion Effects of the Silicon Valley Bank Run
The study analyzes the impact of Silicon Valley Bank's failure on other banks, highlighting the role of uninsured deposits and bank size, with mid-sized banks being most affected.
arXiv
- 11 Jun 202519cites
Failing Banks
A study reveals that US bank failures from 1863 to 2024 are mainly due to worsening bank fundamentals like increasing asset losses and reliance on costly noncore funding.
arXiv
- 3 Jan 202419cites
Comparative Evaluation of Anomaly Detection Methods for Fraud Detection in Online Credit Card Payments
A study found that LightGBM was the best for fraud detection when comparing anomaly detection and standard supervised learning methods, but it was more susceptible to distribution shifts, questioning the advantage of combining these two methods.
arXiv
- 23 Jan 202517cites
Neural Networks for Insurance Pricing with Frequency and Severity Data: A Benchmark Study from Data Preprocessing to Technical Tariff
The article discusses the application of deep learning in insurance pricing, comparing different models and offering a method to interpret neural network insights through generalized linear models.
arXivIn North American Actuarial Journal
- 2 Nov 202317cites
Law-invariant return and star-shaped risk measures
The paper introduces new characterizations for law-invariant star-shaped functionals, demonstrating their wide use in finance, insurance, and probability scenarios.
arXivIn Insurance: Mathematics and Economics
- 2 Nov 202317cites
Model Aggregation for Risk Evaluation and Robust Optimization
The model aggregation (MA) approach is a new method for risk evaluation that provides a robust value and distributional model, refining Value-at-Risk and Expected Shortfall characterizations.
arXivIn Manag. Sci.
- 25 Oct 202317cites
Neural Networks for Insurance Pricing with Frequency and Severity Data: A Benchmark Study from Data Preprocessing to Technical Tariff
The research evaluates different models for insurance claim frequency and severity data, presenting combined actuarial neural networks (CANNs) that merge baseline predictions with a neural network correction, and recommends using global surrogate models for practical deployment.
arXivIn North American Actuarial Journal
Latest
- 6 Nov 20263fanfare
Expected shortfall estimation and capital coverage under overlapping scenarios
When estimating expected shortfall from overlapping multi-day returns, the mismatch with standard independent-sampling theory causes systematic downward bias that weakens capital coverage, especially under heavy tails.
arXiv
- 6 Nov 20263fanfare
Who Keeps Your Debt Alive? Creditor Capacity and Corporate Debt Renewal
A 2021 life-insurer capital rule change shows that when incumbent creditors' capacity shrinks, corporate debt issuance falls and firms struggle to refinance maturing debt.
SSRN
- 6 Nov 20263fanfare
What Is (Not) in ABS-EE Data?
Analysis of 19.8 million securitized auto loans reveals that reported data systematically understate risk through selection bias, carry-over reporting gaps, and priced-at-origination hidden credit differences.
SSRN
- 6 Nov 20263fanfare
Shock Transmission Through Bank-Nonbank Linkages: Evidence from Private Credit
Private credit funds that borrow from banks transmit funding shocks to firm lending; following SVB's collapse, exposed banks increased credit-line commitments while cutting direct lending to nonfinancial firms.
SSRN
- 6 Nov 20263fanfare
Short Squeezes in the Corporate Bond Market
The study identifies two types of squeezes in corporate bonds that degrade price discovery and returns, with lender squeezes predicting negative short-horizon returns and market squeezes predicting positive ones.
SSRN
- 6 Nov 20263fanfare
The Corporate Bond ETF Creation Puzzle
Finds that authorized participants create corporate bond ETF shares at discounts to offload overvalued inventory, causing delivered bonds to underperform by 5.3 basis points.
SSRN
- 6 Nov 20263fanfare
Central Bank Independence and Sovereign Borrowing
Tighter statutory constraints on central bank lending to government reduce real borrowing costs in developing economies while raising debt-to-GDP, with effects strongest where credibility gains matter most.
RePEc
- 6 Nov 20263fanfare
Wars, Threats, and the Sovereign Bond Market
Analysis of 300,000 monthly bond prices since 1822 shows wars lower external bond returns by five percentage points and raise default risk, while military threats depress threatened states' borrowing costs.
RePEc
- 6 Nov 20263fanfare
Natural Disasters, Adaptation and Default Risk
A sovereign default model shows that high borrowing costs and debt overhang depress public adaptation spending, yet adaptation yields the largest welfare gains when financing is tightest near default.
RePEc
- 6 Nov 20262fanfare
Domestic Debt Restructuring, Central Bank, and Monetary Policy in EMDEs: Lessons from Recent Country Cases
Analysis of 17 domestic debt restructurings reveals that monetary transmission often fails to recover post-restructuring due to balance-sheet constraints across sovereigns, central banks, and financial institutions.
RePEc
- 6 Nov 20262fanfare
Bank liquidity regulation and the growth of private credit
The liquidity coverage ratio significantly boosts private credit growth in counties with more LCR-subject banks, an effect comparable in magnitude to 2012 capital requirement increases.
RePEc
- 30 Oct 20263fanfare
Contemporaneous Transmission Networks and Systemic Risk in European Banking
Using recursive network analysis of equity returns, the research identifies distinct transmitting and receiving roles among European banks and constructs measures of systemic impact and vulnerability.
arXiv
- 30 Oct 20263fanfare
Discovery of Diverse and Realistic Financial Tail-Risk Using Generative Flow Networks
Generative Flow Networks systematically sample diverse and realistic financial crisis scenarios, outperforming reinforcement learning and MCMC baselines in scenario coverage and realism.
arXiv
- 30 Oct 20263fanfare
Beyond Greenwashing: Algorithmic Resilience and the Non-Linear Governance Premium in Sovereign Capital Flows
Gradient boosting reveals that sovereign ESG improvements confer zero capital advantage until institutional quality crosses a discrete threshold, cutting forecast errors 39% during tail events.
arXiv
- 30 Oct 20262fanfare
LLM-Enhanced Heterogeneous Graph Learning with Business Semantics for Financial Fraud Detection
Role-aware prompts and LLM-derived semantic enrichment of transaction graph attributes improve detection of fraud in heterogeneous card-merchant networks.
arXiv
- 30 Oct 20263fanfare
Systemic Risk Without a Share Price: A Balance-Sheet Capital Shortfall for European Banks
Stressed expected loss measured from balance-sheet data captures systemic risk for unlisted banks, covering 38% of European bank assets that market-based SRISK cannot reach.
SSRN
- 30 Oct 20263fanfare
Pricing Power in the Mortgage Market: Evidence from GSE Fee Waivers
Mortgage intermediaries capture over 60% of $1.5 billion in GSE fee waivers; loan officers with histories of pricing expensive mortgages pass through less than 20% of savings.
RePEc
- 30 Oct 20263fanfare
Credit Markets with New Screening Technologies
When screening errors correlate through shared AI systems, lenders specialize into distinct market segments with uniform rates or uniform quality but dispersed rates.
RePEc
- 30 Oct 20262fanfare
Monitoring banks’ vulnerabilities using stressed depletion indices
Two new indicators track euro-area banking vulnerabilities using stress tests: one measures capital depletion under tail risk, the other assesses earnings capacity to absorb losses.
RePEc
- 30 Oct 20262fanfare
Domestic and foreign insurer corporate bond demand and monetary policy
UK monetary tightening raises domestic insurer demand for corporate bonds but reduces foreign demand, creating asymmetric effects driven by regulation and liability structures.
RePEc
- 30 Oct 20262fanfare
Working Paper 284
Using Austrian firm data, tighter monetary policy reduces productivity-enhancing investment and firm total factor productivity, with stronger effects among highly leveraged firms.
RePEc
- 23 Oct 20260cites
Distributions or Quantiles? A Convex Variational Theory of Worst-Case Risk
A convex variational theory unifies worst-case risk evaluation across different ambiguity sets, yielding closed-form solutions and algorithms for portfolio selection under Wasserstein and distributional uncertainty.
arXiv
- 23 Oct 20264fanfare
When Backtests Lie: A Governance-Grade Validation Framework for Machine-Learning Value-at-Risk Models under Regime Shifts
The study shows that machine-learning VaR models passing standard backtests breach risk limits two to nine times worse in stressed regimes, revealing false comfort in current regulatory validation.
SSRN
- 23 Oct 20264fanfare
The Loan Renegotiation Channel of Quantitative Easing
Large purchases of mortgage-backed securities prompt exposed banks to renegotiate existing corporate loans on lender-favorable terms, reducing borrower investment by 6 percent.
SSRN
- 23 Oct 20263fanfare
Monetary Policy Uncertainty and Bank Credit Allocation
Higher monetary policy uncertainty reduces banks' risk-bearing capacity, widening the lending gap between well-capitalized and undercapitalized banks by 1.65 percent in riskier credit.
SSRN
- 23 Oct 20263fanfare
Nonbank Lending to Distressed Firms
As firms approach bankruptcy, lending shifts to nonbanks and fintechs despite higher losses given default, revealing worse information and more pro-cyclical credit supply during downturns.
SSRN
- 23 Oct 20263fanfare
Headwind or tailwind? How banks interpret borrowers’ AI exposure
After ChatGPT, banks lower default risk for AI-exposed borrowers by about 5 percent but compress credit to market leaders, reordering risk in ways that predict future credit losses.
SSRN
- 23 Oct 20262fanfare
Comparative Performance of Archimedean and Elliptical Copulas in Tail Risk Estimation: Evaluating VaR and Expected Shortfall During Market Crashes
Asymmetric Clayton and Gumbel copulas and fat-tailed Student-t copulas substantially outperform Gaussian copulas at capturing lower-tail dependence and crisis losses.
SSRN
- 23 Oct 20263fanfare
Pledgeable Collateral, Dealer Leverage, and Runs
The paper shows that strengthening collateral pledgeability can paradoxically fuel leverage and instability, confirmed by exploiting the 2005 bankruptcy reform's expansion of repo safe harbors.
RePEc
- 23 Oct 20262fanfare
Effects of an interest coverage ratio covenant on optimal capital structure and firm value
A capital structure model shows that interest coverage ratio covenants can improve firm value by reducing default costs, though they constrain shareholder discretion.
RePEc