Tag: Finance
VaR-constrained S-shaped utility problem has a critical wealth threshold
What the study found The study finds a critical wealth level that determines whether the constrained optimization problem is feasible. Above that level, the problem admits a unique optimal solution and Lagrange multiplier; below it, the problem is infeasible. Why the authors say this matters The authors suggest this matters because it clarifies when an…
Currency depreciation is linked to higher non-performing assets in Indian banks
Explore how currency depreciation, inflation, and monetary policy drive non-performing assets in Indian banking. Study of 30 banks reveals exchange rate management matters more than GDP growth for.
Market greenness predicts liquidity shocks
Market greenness predicts liquidity shocks tied to ESG investor preferences, and ESG-related liquidity better explains stock returns than standard measures during 2015-2019.
Liquidity shocks spill over to related corporate bond peers
Analysis of liquidity spillover in corporate bond markets following rating downgrades, showing contagion through information learning across related securities.
Negative interest rates linked to lower loan loss provisioning
Study of 1958 OECD banks shows that negative interest rate policies reduce loan loss provisioning, with effects varying by inflation, bank size, and specialization.
Fiscal contraction is linked to lower NPLs in the long run
Study shows fiscal consolidation reduces non-performing loans long-term but increases them temporarily, using bank data from Guyana. Oil prices and efficiency matter most.
Infinite-mean durations found in five cryptocurrency ETFs
Asymptotic theory for integrated autoregressive conditional duration models reveals infinite-mean trading intervals in cryptocurrency ETFs, requiring new inference methods.
Analytic GMIB valuation was faster than Monte Carlo simulation
Framework for valuing guaranteed minimum income benefits in variable annuities using numéraire transformation; achieves 99% computational time reduction versus Monte Carlo simulation.
Positive CBDC stance linked to higher bank net interest margin
Study shows CBDC development leads banks to widen interest margins by raising both deposit and lending rates to counter increased competition from digital currencies.
Price bubbles found in most examined DeFi and NFT assets
Analysis of speculative bubbles in DeFi and NFT markets using GSADF testing reveals bubble presence in eight of nine examined blockchain assets.
