10 December 2016 News: Prof. Dr. Jérôme Kreuser will speak on bubbles, their prediction, quantification, and mitigation at the QWAFAFEW (Quantitative Work Alliance for Applied Finance Education and Wisdom) meeting on January 24 in New York. Bubbles are percolating and yes, many are quantifiable. We discuss and debate theory and empirics.
10 December 2016 News: RisKontroller Global is now providing bubble prediction, quantification, and mitigation analytics to SBI Funds Management Private Limited which is a Joint venture between the State Bank of India (SBI) and AMUNDI of France.
10 October 2016 News: Stijn Claessens (Now at the Federal Reserve Board) and Jérôme Kreuser developed an asset and liability management model for Norway’s Government Pension Fund Global and presented a paper on it at the Central Bank Reserves and Sovereign Wealth Management Conference in Frankfurt in 2008. The model was calibrated prior to the Lehman collapse. We predicted an expected value of the portfolio to September 2016 of NOK 7.53 trillion, which is recorded in the conference proceedings paper (Reference below). Eight years on we were right on. The published paper is available in the conference proceeding, in ResearchGate, or from me.
Papers, Publications, and Opinions
See Kreuser, Jérôme (2012) “Correcting the Financial Crisis Failures of Asset–Liability Management (ALM) Risk Management”, in Bob Swarup (ed). Asset Liability Management for Financial Institutions: Balancing Financial Stability with Strategic Objectives. London, UK: Bloomsbury Information Ltd, May.
See Kreuser, Jérôme and Morton Lane (2013) “ILS Market-Derived Metrics: Finding the Market Transform”, in Alternative (Re)Insurance Strategies, Risk Books, Edited by Morton Lane; “Best paper of the AAI Colloquium of Lyon 2013.”
Some Additional Publications
More can be found here.
Kreuser, Jerome (2014). “Risk Management in Public Institutions is Different: Everyone is Different in its Own Way“, March 11, 2014 – a seminar presented at ETH Zurich.
Kreuser, J.L. (ed.), 2012. Risk Management for Sovereign Institutions: Innovations in strategic risk management for volatile times, The Marketing & Management Collection, Henry Stewart Talks Ltd, London
Bhattacharya, Himadri, Jerome Kreuser, and Sivaprakasam Sivakumar (2011). “A sovereign asset–liability framework with multiple risk factors for external reserves management—Reserve Bank of India.” in Portfolio and Risk Management for Central Banks and Sovereign Wealth Funds, Edited by Joachim Coche, Ken Nyholm and Gabriel Petre, Palgrave Macmillian, New York.
Claessens, Stijn and Jerome Kreuser (2010). “Strategic Investment and Risk Management for Sovereign Wealth Funds”, BIS/ECB/WB Meeting November 2008, in Central Bank Reserves and Sovereign wealth Management, edited by Arjan B. Berkelaar, Joachim Coche, and Ken Nyholm, 2010, Palgrave MacMillan, Hampshire, England.
Claessens, Stijn and Jerome Kreuser (2007) “Strategic foreign reserves risk management: Analytical framework”, in Financial Modeling, Annals of Operations Research Volume 152: 79-113, Springer, Netherlands.
Kreuser, Jerome and Morton Lane (2006) “An Introduction to the Benefits of Optimization Models for Underwriting Portfolio Selection”, Proceedings of the 28th International Congress of Actuaries, Paris, June,
ETH Zürich Financial Crisis Observatory: A scientific platform aimed at testing and quantifying rigorously, in a systematic way and on a large scale the hypothesis that financial markets exhibit a degree of inefficiency and a potential for predictability, especially during regimes when bubbles develop.
Review: Excellent site to go for worldwide predictions of bubbles.
Lane Financial LLC: Focusing on the intersection of reinsurance and finance. They monitor the insurance and capital markets, prices and returns, and acts as an independent commentator on contemporary developments, with assessments being published on this website.
Review: Excellent site for reinsurance information and papers.
We have yet to complete the list and reviews. Check back regularly.