Category: Finance & Markets
-
RNN-based distortion models improved catastrophe bond pricing
This research indicates that a jump-diffusion distortion model with recurrent neural network estimation can price catastrophe bonds more accurately than the Wang transform or expected loss alone, and that adding actuarial and financial-market variables can further improve performance.
AI-assisted summary
-
Correlated regime-switching raises guaranteed annuity option prices
This research indicates that modeling correlated interest and mortality rates with regime-switching dynamics can materially increase guaranteed annuity option prices compared with one-state models.
AI-assisted summary
-
Fiscal contraction is linked to lower NPLs in the long run
This research indicates that a fiscal contraction can reduce non-performing loans in the long run, while causing a temporary increase in the short run.
AI-assisted summary
-
Exchange rate depreciation raised sectoral credit allocation in Tanzania
This research indicates that exchange rate depreciation was linked to higher long-run credit allocation across five Tanzanian sectors, while short-run effects were negative in some sectors.
AI-assisted summary
-
Infinite-mean durations found in five cryptocurrency ETFs
This research indicates that durations between trades in five cryptocurrency exchange traded funds had infinite mean, and four of the five did not fit the integrated autoregressive conditional duration hypothesis.
AI-assisted summary
-
ESG controversies raise bank operating costs
This research indicates that ESG controversies significantly reduce banks' cost efficiency by increasing non-interest expenses, with the size of the effect depending on institutional context and existing ESG performance.
AI-assisted summary
-
Higher climate risk is linked to weaker EU banking stability
This research indicates that higher climate change risk reduces banking-system stability in the European Union, while renewable energy use and energy taxes help weaken that adverse effect.
AI-assisted summary
-
Health insurance was the strongest predictor of healthy aging
This research indicates that health insurance type was the most predictive feature of healthy aging, and that an XGBoost model outperformed logistic regression and a multi-layer perceptron in this cohort.
AI-assisted summary
-
Asia accounts for a small share of debt-for-nature swaps
This research indicates that Asian economies have accounted for only 13% of global debt-for-nature swap transactions, with several Asian countries identified as potential future candidates.
AI-assisted summary
-
Unweighted HJM framework allows negative yield modeling
This research indicates that an unweighted function-space version of the Heath–Jarrow–Morton framework can be calibrated to real-world yield data and can accommodate negative interest rates.
AI-assisted summary