Blockchain Papers

Reza Javadzadeh

No abstract is available for this record.

Mindy L. Mallory

This paper estimates the carry embedded in listed IBIT options and compares it with the carry embedded in matched CME bitcoin futures. Put-call parity recovers an implied forward on the ETF; BlackRock's daily holdings file maps each ETF share into bitcoin units; and CME futures prices and BRRNY, a U.S. close bitcoin reference rate, provide the corresponding futures-market carry. The difference in carry implied by these two products is consistent with frictions that limit cross-margining between spot bitcoin or ETF exposure and CME futures. In the selected-strike IBIT sample of 386 date-bucket observations, the mean wedge is 2.58 percent and the median wedge is 2.52 percent, both measured in annual percentage points. The result is consistent with segmented collateral and margin systems limiting arbitrage between regulated bitcoin-exposure venues.

Ганна Коптєва

The article substantiates the critical inadequacy of traditional static risk assessment methods (specifically, VaR and standard deviation) for analyzing the effectiveness of integrating Decentralized Finance (DeFi) assets into investment portfolios. It is proven that the returns of DeFi assets are characterized by a non-normal distribution with pronounced «fat tails», which creates a significant risk of underestimating catastrophic losses. The purpose of the study is to develop and theoretically substantiate a methodology for evaluating the effectiveness of DeFi platforms in diversifying investment portfolios. The methodological gap between the requirements of the volatile DeFi market and the limitations of classical financial models is investigated, particularly in the areas of controlling Tail Risk and the dynamic nature of correlational dependence, which critically increases during market shocks (the «correlation-to-one» effect). A four-stage methodology is proposed, which includes the theoretical integration of Conditional Value-at-Risk (CVaR) as a basic coherent measure of extreme risk and a developed algorithm for proactive diversification management based on the DCC-GARCH model. This made it possible to calculate the Optimal Dynamic Hedging Weight, necessary for the daily adjustment of the portfolio structure to prevent the loss of the diversification effect. The comprehensive methodology developed provides a complete cycle of proactive risk management and offers a clear algorithm for making decisions about the structure of an investment portfolio. The scientific and practical significance of the research lies in formulating methodological recommendations and evaluation criteria that ensure a transition from static analysis to proactive risk management in investment activities. The developed methodology provides a toolkit for making informed decisions regarding the optimal share of DeFi assets in a portfolio, combining return maximization with extreme risk minimization. The application of this methodology is beneficial for investors, financial analysts, quantitative strategists, and hedge fund managers working with high-risk and innovative asset classes that require advanced risk control tools.

Bogdan Adamyk, Vladlena Benson, Oksana Adamyk, Oksanа Liashenko

Decentralized Finance (DeFi) is a recent advancement of the cryptocurrency ecosystem, giving plenty of opportunities for financial inclusion, innovation, and growth domains by providing services such as lending, borrowing, and trading without traditional intermediaries. However, inadequate regulatory oversight and technological vulnerabilities raise pressing concerns around market manipulation, fraud, and regulatory compliance, exposing a clear research gap in effective DeFi risk management. This paper addresses this gap by proposing a utility-based framework to evaluate six leading DeFi tracking platforms—Chainalysis, Elliptic, Nansen, Dune Analytics, DeBank, and Etherscan—focusing on two critical metrics: transaction accuracy and real-time responsiveness. Applying a mixed methods approach that combines a quantitative survey (n = 138) with qualitative interviews (n = 12), we identified critical platform features and found significant differences across these platforms with respect to compliance features, advanced analytics, and user experience. We used a utility-based model that links accuracy and responsiveness metrics, allowing us to adjust differing priorities and risk management needs for users. The results show the need for balanced, user-centric solutions that accommodate regulatory, technological efficiency and affordability requirements. Our study contributes to the growing knowledge base by providing a structured evaluation model and empirical insights, offering clear directions for practitioners, platform developers, and policymakers aiming to strengthen the DeFi ecosystem.

Ashimiyu Nafiu, Salaam Olawale Balogun, Courage Oko-Odion, Olanrewaju Olukoya Odumuwagun

The complexities of modern financial markets, characterized by heightened volatility and uncertainty, have necessitated the evolution of advanced risk management strategies. As global markets become increasingly interconnected, financial institutions, investors, and policymakers face unprecedented challenges in identifying, assessing, and mitigating risks. Effective risk management has emerged as a cornerstone of financial stability, requiring a blend of traditional methods and innovative tools. This paper explores comprehensive strategies for navigating volatility in complex financial environments, addressing systemic, credit, market, and operational risks. Traditional approaches, such as portfolio diversification and value-at-risk (VaR) modelling, remain foundational but are now complemented by cutting-edge technologies, including artificial intelligence (AI), machine learning (ML), and big data analytics. These tools enable real-time monitoring, predictive analytics, and stress testing, enhancing the capacity to anticipate and respond to emerging threats. Additionally, the integration of blockchain technology offers improved transparency and resilience in financial transactions, further mitigating systemic vulnerabilities. Case studies from diverse sectors highlight the practical applications of these strategies, illustrating how robust risk management frameworks can minimize losses, enhance profitability, and ensure regulatory compliance. The paper also examines the role of regulatory frameworks in shaping risk management practices and emphasizes the importance of a proactive, adaptive approach in navigating volatile market conditions. By combining traditional methodologies with technological advancements, financial institutions can build resilient systems capable of withstanding shocks and fostering long-term stability. This paper concludes by identifying emerging trends, such as quantum computing and decentralized finance, as transformative forces likely to redefine risk management in the future.

Ashimiyu Nafiu, Salaam Olawale Balogun, Courage Oko-Odion

The complexities of modern financial markets, characterized by heightened volatility and uncertainty, have necessitated the evolution of advanced risk management strategies.As global markets become increasingly interconnected, financial institutions, investors, and policymakers face unprecedented challenges in identifying, assessing, and mitigating risks.Effective risk management has emerged as a cornerstone of financial stability, requiring a blend of traditional methods and innovative tools.This paper explores comprehensive strategies for navigating volatility in complex financial environments, addressing systemic, credit, market, and operational risks.Traditional approaches, such as portfolio diversification and value-at-risk (VaR) modelling, remain foundational but are now complemented by cutting-edge technologies, including artificial intelligence (AI), machine learning (ML), and big data analytics.These tools enable real-time monitoring, predictive analytics, and stress testing, enhancing the capacity to anticipate and respond to emerging threats.Additionally, the integration of blockchain technology offers improved transparency and resilience in financial transactions, further mitigating systemic vulnerabilities.Case studies from diverse sectors highlight the practical applications of these strategies, illustrating how robust risk management frameworks can minimize losses, enhance profitability, and ensure regulatory compliance.The paper also examines the role of regulatory frameworks in shaping risk management practices and emphasizes the importance of a proactive, adaptive approach in navigating volatile market conditions.By combining traditional methodologies with technological advancements, financial institutions can build resilient systems capable of withstanding shocks and fostering long-term stability.This paper concludes by identifying emerging trends, such as quantum computing and decentralized finance, as transformative forces likely to redefine risk management in the future.

Imran Hussain Shah

Purpose:This study provides a user-prioritized, data-driven framework for evaluating DeFi risk management platforms and offers actionable insights for developers, investors, and regulators seeking to enhance the transparency, security, and sustainability of the DeFi ecosystem.Design/Methodology/Approach: This study investigates the effectiveness of six leading DeFi tracking platforms-Chainalysis, Elliptic, Nansen, Dune Analytics, DeBank, and Etherscan-in mitigating these risks.Employing a mixed-methods approach, the research integrates survey data (n = 138), expert interviews, and platform metrics, analyzed through advanced statistical techniques such as T-Test, MANOVA, Logistic Regression, Kruskal-Wallis H Test, Cohen's D Effect Size, Survival Analysis, Cluster Analysis, and a Utility-Based Scoring Model.Findings: Results reveal significant differences in platform performance, with Chainalysis and Etherscan emerging as top performers in compliance and usability, respectively.Practical Implications: The rapid expansion of Decentralized Finance (DeFi) has revolutionized financial services by eliminating intermediaries and enabling peer-to-peer interactions through blockchain-based smart contracts.However, this innovation introduces significant risk management challenges, including smart contract vulnerabilities, transaction opacity, and compliance limitations.Originality value: The utility model highlights the importance of real-time alerts, trust, and compliance tools in platform adoption.

Daniele Maria Di Nosse, Federico Gatta

No abstract is available for this record.

Kezban Hitay

Bu çalışmanın amacı, Bitcoin fiyatında meydana gelen değişimlerin bankaların finansal performansı üzerindeki etkisini belirlemektir. Bu doğrultuda BIST Banka endeksinde bulunan 10 bankanın, 2017-2022 yılları arasındaki çeyrek dönem verileri araştırma dönemi olarak belirlenmiştir. Finansal performansın tespiti için verilerin incelemesinde ve araştırılan etkinin tespitinde Panel Veri Regresyon analizinden yararlanılmıştır. Regresyon analizini uygulamadan önce değişkenler arasındaki ilişkiyi belirlemek amacıyla korelasyon analizi yapılmış ve değişkenler arasında negatif bir ilişkinin varlığı tespit edilmiştir. Ardından Panel regresyon analizi için iki model oluşturulmuştur. Modellerin analizi sonucunda ise her iki modelde de bağımsız değişken olan Bitcoin fiyatı ile bağımlı değişkenler arasında anlamlı bir ilişki tespit edilemezken, kontrol değişkeni ile finansal performansı ifade eden bağımlı değişkenler arasında negatif ve anlamlı bir ilişki olduğu sonucuna ulaşılmıştır.

John R. Graham, Jillian Grennan, Campbell R. Harvey, Shivaram Rajgopal

Culture is given credit for some of the greatest business successes and blamed for some of the biggest failures. Policymakers often point to dysfunctional corporate culture in banking as a first-order contributor to the recent financial crisis.1 Several books identify culture as a key driver of Google's success.2 What is corporate culture? How important is corporate culture? What mechanisms underlie the creation and effectiveness of corporate culture?4 How do other formal institutions (e.g., governance or compensation) reinforce or work against culture? Do companies think their culture is effective and if not, what deters firms from having an effective corporate culture? Are the upside benefits of an effective culture greater than the downside costs of ineffective culture? What aspects of business performance does corporate culture affect? Does culture impact firm value, productivity, corporate risk-taking, growth, M&A, financial and tax reporting, whether employees take a long-run view, and/or corporate ethics? How can corporate culture be measured? We try to answer these questions in multiple ways. First, we surveyed 1348 chief executives and financial officers (CEOs and CFOs, referred to interchangeably as executives or managers) across a wide range of North American public and private firms. The details underlying the survey evidence and an econometric investigation into the effects of culture on business outcomes are reported in an accompanying paper5 by the same four authors that supplement this paper; referred to henceforth as GGHR. Second, the survey contained several open-ended questions. We analyze the text of these questions to enhance our understanding of the survey respondents' views of the corporate culture. Third, we conducted in-depth interviews with business executives representing over 20% of the US equity market capitalization. The purpose of this paper is to discuss the interview evidence and the open-ended responses from the survey. We summarize the survey statistics to provide context for the interviews and open-ended responses. Survey evidence offers a number of insights into corporate culture. Briefly, the survey shows that managers are largely united in believing that corporate culture is one of the most important forces behind value creation and the ultimate success or failure of a firm. The majority of executives consider corporate culture to be a top three value driver at their companies. Almost every officer believes that improving their corporate culture would increase their firm's value. The current CEO is seen as the most influential person responsible for setting the firm's current culture. The interviews offer insight into how other firm policies and practices may reinforce or work against the effectiveness of the culture. Boards affect culture not via active management but primarily via CEO choice. The finance function may influence the culture, especially when it serves an internal governance role by acting as steward of integrity. Incentive compensation and hiring, firing, and promotion decisions also may modify the effectiveness of a firm's culture. 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Jeremy Bertomeu, Xiumin Martin, Ibrahima Sall

No abstract is available for this record.

Darcy W E Allen, Chris Berg, Sinclair Davidson

No abstract is available for this record.

Yang Xiao, Shanghao Shi, Wenjing Lou, Chonggang Wang · 8 authors

Spectrum access system (SAS) is widely considered the de facto solution to coordinating dynamic spectrum sharing (DSS) and protecting incumbent users. The current SAS paradigm prescribed by the FCC for the CBRS band and standardized by the WInnForum follows a centralized service model in that a spectrum user subscribes to a SAS server for spectrum allocation service. This model, however, neither tolerates SAS server failures (crash or Byzantine) nor resists dishonest SAS administrators, leading to serious concerns about SAS system reliability and trustworthiness. This is especially concerning for the evolving DSS land-scape where an increasing number of SAS service providers and heterogeneous user requirements are coming up. To address these challenges, we propose a novel blockchain-based decentralized SAS architecture called BD-SAS that provides SAS services securely and efficiently, without relying on the trust of each individual SAS server for the overall system trustworthiness. In BD-SAS, a global blockchain (G-Chain) is used for spectrum regulatory compliance while smart contract-enabled local blockchains (L-Chains) are instantiated in individual spectrum zones for automating spectrum access assignment per user request. We hope our vision of a decentralized SAS, the BD-SAS architecture, and discussion on future challenges can open up a new direction toward reliable spectrum management in a decentralized manner.

Håkan Jankensgård, Alf Alviniussen, Lars Oxelheim

This article provides a comprehensive critique of current corporate foreign exchange risk management (FXRM) practices. The authors characterize much of FXRM as a “legacy” activity, a set of outdated, often decentralized and “earnings‐driven” methods and procedures that have not been subjected to rigorous cost‐benefit analysis at the enterprise level. And according to the authors, the costs of poorly designed and executed FXRM have increased sharply in recent decades because of the growing demand by analysts and investors for cost‐efficiency, transparency, and predictability. After discussing six ways in which the FX policy of most large multinationals fails to serve the interests of their investors and other important stakeholders, the authors offer the following: (1) a restatement of the goals of FXRM; (2) an illustration of various ways of implementing a largely (if not completely) centralized approach to FXRM; (3) a proposal for aligning performance evaluation and executive pay with the goals of FXRM; (4) suggestions for improving decision‐support tools in relation to FXRM; (5) proposals for integrating FXRM into an enterprise‐wide risk management system, which include shifting responsibility for FXRM from the Finance/Treasury group to a centralized risk committee (typically under a Chief Risk Officer who reports to the board of directors); and (6) suggestions for improving communication of a company's risk management policies and practices to investors and other stakeholders.

Hsihui Chang, Christopher D. Ittner, Michael Paz

ABSTRACT This study focuses on three broad Finance organization roles: reporting, compliance, and internal control/risk management (RCCR); performance management; and strategic partner. Using data from a global survey of 832 firms, we examine the determinants of the various roles' importance and their relation with Finance effectiveness. While the effects of organizational change, market growth, international operations, firm size, decentralization, and industry on Finance responsibilities vary depending upon the role, we find little evidence of tradeoffs between the various roles. Instead, we find evidence of complementarities between roles, whereby greater emphasis on one role is associated with greater Finance effectiveness in the other roles. Additionally, we find that information system integration (ISI) not only has a positive direct impact on effectiveness in all three roles, but also interacts with the importance placed on RCCR and performance management roles to improve the Finance organization's effectiveness at carrying out these responsibilities.

Lima Zhao, Arnd Huchzermeier

No abstract is available for this record.

Felicia Cornelia Macarie

The internal public audit procedures have been applied since recent time in our country and this strongly influences the managers’ and employees’ perception of the internal audit relevance. The internal audit is perceived as “another form or a new form of control” due to the fact that the audit departments were organized, especially in the local public administration and in the decentralized public institutions, with the support of the internal control structure and with the participation of the personnel who was in the past responsible for control activities. This error of perception impairs the internal auditors’ work and the organization management. The sources of the research are the annual reports of UCAAPI regarding the internal public audit activity between 2004-2007, available on the site of the Ministry of Economy and Finance. The obtained results partly confirm the hypotheses of the research.