Machine learning methods for systemic risk analysis in financial sectors.
Financial systemic risk is an important issue in economics and financial systems. Trying to
detect and respond to systemic risk with growing amounts of data produced in financial …
detect and respond to systemic risk with growing amounts of data produced in financial …
Network based credit risk models
Peer-to-Peer lending platforms may lead to cost reduction, and to an improved user
experience. These improvements may come at the price of inaccurate credit risk …
experience. These improvements may come at the price of inaccurate credit risk …
Bank survival around the World: A meta‐analytic review
Bank survival is essential to economic growth and development because banks mediate the
financing of the economy. A bank's overall condition is often assessed by a supervisory …
financing of the economy. A bank's overall condition is often assessed by a supervisory …
Crypto price discovery through correlation networks
P Giudici, G Polinesi - Annals of Operations Research, 2021 - Springer
We aim to understand the dynamics of crypto asset prices and, specifically, how price
information is transmitted among different bitcoin market exchanges, and between bitcoin …
information is transmitted among different bitcoin market exchanges, and between bitcoin …
Latent factor models for credit scoring in P2P systems
Abstract Peer-to-Peer (P2P) FinTech platforms allow cost reduction and service
improvement in credit lending. However, these improvements may come at the price of a …
improvement in credit lending. However, these improvements may come at the price of a …
An ordinal classification framework for bank failure prediction: Methodology and empirical evidence for US banks
G Manthoulis, M Doumpos, C Zopounidis… - European Journal of …, 2020 - Elsevier
Bank failure prediction models usually combine financial attributes through binary
classification approaches. In this study we extend this standard framework in three main …
classification approaches. In this study we extend this standard framework in three main …
High frequency price change spillovers in bitcoin markets
P Giudici, P Pagnottoni - Risks, 2019 - mdpi.com
The study of connectedness is key to assess spillover effects and identify lead-lag
relationships among market exchanges trading the same asset. By means of an extension of …
relationships among market exchanges trading the same asset. By means of an extension of …
Measuring contagion risk in international banking
We propose a distress measure for national banking systems that incorporates not only
banks' CDS spreads, but also how they interact with the rest of the global financial system …
banks' CDS spreads, but also how they interact with the rest of the global financial system …
Network based scoring models to improve credit risk management in peer to peer lending platforms
Financial intermediation has changed extensively over the course of the last two decades.
One of the most significant change has been the emergence of FinTech. In the context of …
One of the most significant change has been the emergence of FinTech. In the context of …
[HTML][HTML] Bank failure prediction models: Review and outlook
A Citterio - Socio-Economic Planning Sciences, 2024 - Elsevier
This paper presents a literature review of recent empirical contributions on bank default
prediction. The topic has always been important in the banking and finance literature, but it …
prediction. The topic has always been important in the banking and finance literature, but it …