A number of papers have shown that rapid growth in private sector credit is a strong predictor
of a banking crisis. This paper will ask if credit growth is itself the cause of a crisis, or is it …

A topos is a categorical model of constructive set theory. In particular, the e ective topos is
the categoricaluniverse'of recursive mathematics. Among its objects are the modest sets, …

Traditional interestrate risk management focuses on duration and duration management. In
other words, it assumes that only parallel yield curve shifts are important. In practice, of …

Let ℕ be the natural numbers object in , the effective topos. It was shown in [1] that the maps
ℕ → ℕ are (internally or externally) just the total recursive functions. Now a subset A ⊆ ω of …

Topos theory is the categorical analog of constructive set theory; and conveniently, PERs (partial
equivalence relations) do sit inside a topos-the category of PERs can be (loosely …

In 1998, many fixed-income investors grossly underestimated the extent of credit spread risk.
The main reasons were a failure to take heavy tails into account when estimating risk, and …

This paper uses category theory to provide a formal mathematical framework for specifying
and integrating relational database schemas; it builds on the work of Buneman et al. [2], who …

… Wesley Phoa covers a variety of important topics within the bond markets, including
inflation-indexed bonds, prepayment risk and modeling, term structure models, credit spread and …

Let B be the closed term model of the λ-calculus in which terms with the same Böhm tree are
identified. We investigate which partial equivalence relations (PERs) on B can be regarded …

A novel event becomes financially relevant (ie, a novel risk) if it causes--or threatens to
cause--a financial crisis. While novel events are all different, financial crises have much in …