Focal Interest
Focal Interest

Capital asset pricing model

  1. 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.
  2. RNN-based distortion models improved CAT bond pricing
    Catastrophe bond pricing framework combining distortion operator theory with recurrent neural networks, capturing discontinuous repricing and tail-risk compensation.