Topic
Risk, Credit & Banking
Credit risk, default prediction, banking, systemic risk and risk measures.
- Papers featured
- 381
- Last 12 months
- 58
- Cited 100+
- 0
- Top venue
- SSRN
Featured per quarter
The last four quarters are highlighted.
Methods that come up
Click one to search for it.
Most cited
Featured papers in this topic with the most citations today.
- 7 Feb 202450cites
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
- 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
- 26 Mar 202519cites
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
- 7 Feb 202419cites
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
- 17 Aug 202319cites
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
- 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.
- 23 Jan 202516cites
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
- 21 Aug 202416cites
Infinite-mean models in risk management: Discussions and recent advances
The article explores the importance and challenges of using infinite-mean models in economics and finance, particularly when dealing with heavy-tailed datasets.
arXivIn Risk Sciences
- 3 Jan 202416cites
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
- 2 Nov 202316cites
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
Latest
- 9 Oct 20264fanfare
Agentic AI Systems and Financial Stability, From Model Risk to Systemic Risk
The study shows that agentic AI systems sharing a foundation model create non-diversifiable common exposure whose systemic risk floor does not shrink as the fleet grows, shifting concern from individual model risk to population-level contagion.
arXiv
- 9 Oct 20263fanfare
Ranking Prior Alignment for Credit Risk Modeling: When Do External Priors Matter?
A model-agnostic framework distills ranking priors from experts or teacher models into credit scorers via KL divergence, improving cold-start performance with scarce labeled data.
arXiv
- 9 Oct 20262fanfare
Regime-Aware Estimation of Large Equity Correlation Matrices: Tail-Pairwise Dependence and Dynamic Conditional Correlation Decomposition for Water and Energy Sectors
Fitting separate dependence matrices to lower-tail, central, and upper-tail regimes reveals tail-driven co-movements that single Gaussian-copula structures systematically miss.
arXiv
- 9 Oct 20263fanfare
Heterogeneous Estimation of the Causal Effect of Debt Restructuring Interventions: A Causal and Explainable Uplift Modeling Framework for the Economic Optimization of Credit Risk Portfolios
A causal framework compares six estimators of treatment effect to optimally assign debt restructuring interventions, revealing that targeting borrowers by predicted effect generates substantially positive value where blanket treatment fails.
SSRN
- 9 Oct 20263fanfare
Common Banks, Supply Chains, and the Transmission of Real Shocks
Using Portuguese wildfire data, the research finds firms whose banks also lend to suppliers experience 10 percentage points smaller credit declines and face attenuated real losses.
SSRN
- 9 Oct 20263fanfare
Beyond Financial Conditions: Measuring Structural Vulnerabilities in the U.S. Financial System
An index capturing structural financial weaknesses displays gradual buildup before crises, predicts shock amplification, and reveals delayed monetary policy transmission effects.
RePEc
- 9 Oct 20263fanfare
The Equilibrium Impact of Credit Frictions: Evidence from Default Risk Using Firm-Level Data
UK firm-level data shows relaxing credit frictions raises output by 25% and wages by 23%, with most gains from capital accumulation rather than reallocation.
RePEc
- 9 Oct 20263fanfare
What is the Impact of a Major Unconventional Monetary Policy Intervention?
The ECB's "whatever it takes" announcement reversed euro area banks' risk appetite, reducing loan growth and credit risk, showing capitalization can curb lending during crises.
RePEc
- 9 Oct 20263fanfare
Bankers’ Outside Options and Financial Risk
Improved job opportunities for bankers increase non-investment-grade lending and borrower risk without compensating spreads, raising systemic risk through weakened workplace discipline.
RePEc
- 2 Oct 20264fanfare
Banks versus Private Credit: How Capital Requirements Shape Tailored Lending
The study models how capital requirements tax banks on tailored loans, pushing riskier firms toward private credit; evidence shows that tighter leverage rules reduce bank tailoring by 25 percent in quantitative terms.
SSRN
- 2 Oct 20262fanfare
The Geometry of Risk: An Integrated Monitoring Framework for Multi-Asset Systemic Stress
The research develops a four-layer diagnostic framework combining network topology, dynamic causality, tail risk, and regime classification to monitor multi-asset systemic stress in real time.
SSRN
- 2 Oct 20262fanfare
Impact of Central Bank Digital Currencies on Financial Stability
Calibrated simulations show existing central bank digital currencies remain below thresholds needed to measurably affect bank credit or financial stability.
SSRN
- 2 Oct 20263fanfare
The Fed Put and Bank Risk-Taking: Evidence from the Loan Book
The paper shows that monetary policy reduces perceived tail risk for bank equity, encouraging banks to originate riskier loans to commercial and industrial borrowers.
RePEc
- 2 Oct 20263fanfare
Bank Dollarization, Lending Behavior and Real Effects
The study shows that banks with high foreign exchange risk reduce lending to both exposed and unexposed firms after exchange rate shocks, with measurable real effects on small and medium enterprises.
RePEc
- 2 Oct 20262fanfare
Financial frictions and firms’ capital composition: a structural estimation of firms’ borrowing constraints for the UK
UK firm-level analysis shows that interest rate spreads are less sensitive to capital-to-debt ratios for firms with higher intangible intensity, suggesting intangibles are less effective collateral than tangible assets.
RePEc
- 2 Oct 20262fanfare
Solvency and systemic risk of European life insurers
The research distinguishes solvency risk from systemic risk in European life insurers, finding growing systemic risk exposure since 2007 and evidence of interconnectedness with banks that intensifies during financial stress.
RePEc
- 2 Oct 20262fanfare
Financial Crisis Cycles
A theoretical model shows that debt accumulation during booms delays post-crash recovery through debt overhang and coordination failures, with debt restructuring conditional on recapitalization being more efficient than unconditional subsidies.
RePEc
- 2 Oct 20262fanfare
The Cov-lite Liquidity Advantage, Regulatory Pressures, and the Evolution of the Leveraged Loan Market
Post-GFC, banks facing stricter regulation increased cov-lite loan issuances due to liquidity advantages that lower credit spreads, particularly for private firms seeking easier asset sales.
RePEc
- 25 Sep 20260cites
Financial Tail Risk Beyond Lipschitz Continuity via Semi-Discrete Optimal Transport
Proposes semi-discrete optimal transport to capture heavy tails in financial returns, maintaining stable tail ratio estimates across diverse neural generators when standard Lipschitz methods fail.
arXiv
- 25 Sep 20260cites
DefaultGNN: A Dual-Perspective GNN Framework for Predicting Corporate Default from Buyer-Seller Transaction Networks
A dual-perspective graph neural network framework predicts corporate defaults from buyer-seller transaction networks, improving approval rates by 7-11 percentage points without increasing default risk.
arXiv
- 25 Sep 20260cites
Risk Measures under Paired-Ambiguity: A Deep Learning Reflected BSDE Framework
Develops a deep learning scheme for optimal stopping under simultaneous model and discount-rate ambiguity, with application to American option valuation under uncertainty.
arXiv
- 25 Sep 20263fanfare
Forward Guidance and the Dynamics of Bank Credit: The Bank Balance-Sheet Channel of Monetary News
High-frequency analysis reveals contractionary forward guidance immediately cuts bank lending, while expansionary guidance produces weak stimulus, driven by binding capital constraints.
SSRN
- 25 Sep 20263fanfare
Monetary policy transmission by securitising banks
Banks engaged in securitization contract lending more sharply after monetary tightening because their investor base demands higher returns and cuts risk exposure when rates rise.
SSRN
- 25 Sep 20263fanfare
Hedge Fund Performance and Interest Rate Conditions: Evidence from Regulatory Data
Using SEC filings from 2013-2021, the paper finds hedge fund returns show heterogeneous sensitivity to interest rates, with effects varying by strategy, leverage, and derivative exposure.
SSRN
- 25 Sep 20262fanfare
State-dependent global banking systemic risk: An integrated framework of network connectedness, tail risk, and global financial conditions
Combining quantile-connectedness, tail-risk measures, and network analysis, the research shows tail connectedness exceeds median levels and lower-tail effects persist longer, with the VIX alone reliably predicting next-week systemic risk.
SSRN
- 25 Sep 20262fanfare
The Low Return Channel of Negative Interest Rates in Bank Lending
Japan's 2016 negative-rate policy reduced lending from low-profitability banks holding reserves, consistent with lower expected returns on bank assets rather than deposit-side stress.
SSRN
- 25 Sep 20262fanfare
Signature-Based Structural Models and Applications in Credit Markets
The study develops a time-varying signature asset model for structural credit that improves calibration across CDS maturities and equity option prices, especially for high-yield firms.
SSRN
- 25 Sep 20263fanfare
Sell, Hold Out, or Accept: The Creditor's Trilemma in Distressed Debt Exchanges
Analysis of 284 distressed exchanges from 2009-2022 reveals over 50% of firms face subsequent default, with large illiquid creditors trapped in a prisoner's dilemma explaining high acceptance rates.
SSRN
- 25 Sep 20263fanfare
The Global Credit Cycle
A nonlinear factor constructed from credit spreads and equity volatility prices global corporate bond returns, explaining up to 13% of three-month-ahead return variation across markets.
RePEc
- 25 Sep 20263fanfare
The credit channel of monetary policy: direct survey evidence from UK firms
UK firm survey data validates that external borrowers face larger cost-of-capital increases and cut investment more than internal funders when rates rise, accounting for a quarter of monetary policy's total effect.
RePEc