Topic
Risk, Credit & Banking
Credit risk, default prediction, banking, systemic risk and risk measures.
- Papers featured
- 363
- Last 12 months
- 41
- Cited 100+
- 0
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- SSRN
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Most cited
Featured papers in this topic with the most citations today.
- 7 Feb 202449cites
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
- 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
- 11 Jun 202518cites
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
- 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
- 2 Nov 202316cites
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.
Latest
- 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
- 25 Sep 20263fanfare
Credit Card Banking
Analysis of 550 million US credit card accounts shows that despite high charge-off rates, card lenders earn 1.5% alpha and 6.8% return on assets through pricing power and non-interest income.
RePEc
- 25 Sep 20263fanfare
Bank Runs With and Without Bank Failure
A database of 3,984 historical US bank runs shows runs are more likely in weak banks but often occur in strong banks; failures concentrate in fundamentally weak institutions.
RePEc
- 25 Sep 20262fanfare
LASH Risk and Interest Rates
The study measures liquidity risk from solvency hedging in sterling repo and swaps, finding that pre-crisis LASH risk predicted pension fund bond sales during the 2022 UK market stress.
RePEc
- 25 Sep 20262fanfare
Sovereign vs. Corporate Debt and Default: More Similar Than You Think
Analysis of 20 years of US junk bonds and emerging market sovereign debt reveals surprisingly similar average returns, Sharpe ratios, default frequencies, and haircuts across the two asset classes.
RePEc
- 25 Sep 20262fanfare
Collateral policy surprises
Expansionary central bank collateral policy surprises reduce bank default risk and volatility while compressing government bond spreads, transmitting effects distinctly from asset purchases.
RePEc
- 25 Sep 20262fanfare
Pension Liquidity Risk
Dutch pension funds use interest rate swaps more aggressively when underfunded, exposing themselves to margin calls exceeding 6% of assets and forcing procyclical sales of government bonds.
RePEc
- 25 Sep 20262fanfare
A theory of bank liquidity requirements
The study develops a general equilibrium model of financial intermediation showing that liquidity regulation alone cannot achieve efficient allocations and requires complementary policies like bank size limits.
RePEc
- 25 Sep 20262fanfare
Systemic at Home: the Persistence of a Too-Big-to-Fail Premium in Europe
European banks with assets exceeding half of home GDP enjoy at least 30 percent lower credit spreads, and this implicit subsidy persists and depends on sovereign fiscal strength.
RePEc
- 16 Apr 20260cites
Lambda R{\'e}nyi entropic value-at-risk
A New Measure: The article introduces the Lambda extension of Rényi entropic value-at-risk (Λ-EVaR), a new risk measure designed for better risk management by allowing adjustable confidence levels and sensitivity to higher moments.
arXiv
- 16 Apr 20269cites
AI Agents in Financial Markets: Architecture, Applications, and Systemic Implications
Recent AI advancements are enhancing financial automation by creating integrated systems that use autonomous agents for better decision-making and processing, highlighting the need for effective agent governance.
arXivIn FinTech
- 16 Apr 20260cites
Mean-field approximations in insurance
A mean-field model simplifies complex insurance liabilities into manageable solutions, showing that large groups of interdependent individuals can be effectively analyzed in both life and non-life insurance scenarios.
arXivIn Scandinavian Actuarial Journal
- 28 Dec 20253cites
Asset Prices, Collateral and Bank Lending: The Case of COVID-19 and Real Estate
The paper investigates the euro area's banking system's role in transmitting asset price shocks to credit during the Covid-19 crisis, highlighting significant frictions and a decrease in lending related to real estate collateral.
SSRNFeatured 2×
- 28 Dec 2025447shares
Bias in Credit Ratings
Subscription-based credit rating agencies may have biases that lead to overly optimistic ratings, complicating conflict resolution.
SSRNFeatured 2×
- 28 Dec 20251cites
Financial Fragilities and Risk-taking of Corporate Bond Funds in the Aftermath of Central Bank Policy Interventions
It finds that central bank asset purchases during the pandemic led corporate bond fund managers to take more risks, affecting market stability.
SSRNFeatured 2×
- 19 Dec 20251cites
Financial Instruments for Decarbonization: Likely Pathways for the Romanian Economy
The study highlights key financial tools in Romania, like green bonds and loans, which can help transition to a low-carbon economy, with banks playing a major role.
SSRNFeatured 2×
- 19 Dec 20250cites
Extending the application of dynamic Bayesian networks in calculating market risk: Standard and stressed expected shortfall
The study enhances dynamic Bayesian networks for estimating expected shortfall, revealing that traditional models struggle in tail predictions and proposing methods for better forecasting.
arXiv
- 14 Dec 20250cites
Optimal Investment, Consumption, and Insurance with Durable Goods under Stochastic Depreciation Risk
An economic agent makes choices to maximize utility by adjusting consumption, investing in safe and risky assets, and insuring against losses on a depreciating good, using a strategy from the Hamilton-Jacobi-Bellman equation.
arXiv
- 14 Dec 20250cites
Market Reactions and Information Spillovers in Bank Mergers: A Multi-Method Analysis of the Japanese Banking Sector
This study analyzes how the market responds to major bank mergers in Japan, finding significant positive abnormal returns and lasting effects, indicating that banks benefit from synergies after merging.
arXiv