We consider fixed-smoothing asymptotics for the Diebold and Mariano (1995) test of predictive accuracy. We show that this approach delivers predictive accuracy tests that are correctly sized even when only a small number of out of sample observations are available. We apply the fixed-smoothing...

In a risk exchange, participants trade a privately owned risk for a share in a pool. If participants agree on a valuation rule, it can be decided whether or not, according to the given rule, these trades take place at equal value. If equality holds for all participants, then the exchange is said...

We highlight caveats arising in the application of traditional ROA-based Z-scores for the measurement of bank insolvency risk, develop alternative Z-score measures to resolve these issues, and make recommendations for best practice for the US/Europe based on the experience of the financial...

During the last twenty years, literature has emerged researching into why an individual investor invests in high-fee index Mutual Funds (MF) while there are funds tracking the same index charging remarkably lower commissions. Another strand of literature has explored why those Exchange-Traded...

We provide a general and tractable framework under which all multiple yield curve modeling approaches based on affine processes, be it short rate, Libor market, or HJM modeling, can be consolidated. We model a numéraire process and multiplicative spreads between Libor rates and simply...

Landslide is one of the major hazards in Nepal resulting annual loss of more than 50 million Nepalese Rupees. Almost all of the landslide are caused by rainfall and occur during the monsoon season. Landslides, like other weather induced disasters, need significant resources to mitigate the risks...

Our research focuses on the storage decision in a semi-automated storage system, where the inventory is stored on mobile storage pods. In a typical system, each storage pod carries a mixture of items, and the inventory of each item is spread over multiple storage pods. These pods are transported...

We use a natural experiment and matched bank/firm data to identify the effects of bank guarantees on allocative efficiency. We find that with guarantees in place unproductive firms invest more and maintain higher rates of sales growth. Moreover, firms produce less productively. Firms also...

The paper proposes a new Monte-Carlo simulator combining the advantages of Sequential Monte Carlo simulators and Hamiltonian Monte Carlo simulators. The result is a method that is robust to multimodality and complex shapes to use for inference in presence of difficult likelihoods or target...