MoneyScience News |
- Published / Preprint: Ross Recovery with Recurrent and Transient Processes. (arXiv:1410.2282v1 [q-fin.MF])
- Published / Preprint: Propagation of Systemic Risk in Interbank Networks. (arXiv:1410.2549v1 [q-fin.GN])
- Published / Preprint: Communication impacting financial markets. (arXiv:1410.2550v1 [q-fin.GN])
- Published / Preprint: Optimal Monitoring and Mitigation of Systemic Risk in Financial Networks. (arXiv:1410.2570v1 [q-fin.RM])
- Blog Post: TheAlephBlog: The Future Will Be Like The Past, Only More So
- Blog Post: TheFinancialServicesClub: HSBC's shared service centre in Poland: an interesting insight or two
- JPMorgan Hackers Said to Probe 13 Financial Firms
- The Finanser’s Week at #SIBOS: 29th September – 5th October 2014 - The Financial Services Club's blog - MoneyScience
- Published / Preprint: An initial approach to Risk Management of Funding Costs. (arXiv:1410.2034v1 [q-fin.RM])
- Published / Preprint: Reconstructing topological properties of complex networks using the fitness model. (arXiv:1410.2121v1 [cs.SI])
- Blog Post: iMFdirect: Smart Fiscal Policy Will Help Jobs
| Posted: 09 Oct 2014 05:38 PM PDT Recently, Ross suggested that it is possible to recover an objective measure from a risk-neutral measure. His model assumes that there is a finite-state Markov process X that drives the economy in discrete time. This article extends his model to a continuous-time setting with a Markov diffusion process X with state space R. Unfortunately, the continuous-time model fails to recover an objective... Visit MoneyScience for the Complete Article. |
| Posted: 09 Oct 2014 05:38 PM PDT This work explores the characteristics of financial contagion in networks whose links distributions approaches a power law, using a model that defines banks balance sheets from information of network connectivity. By varying the parameters for the creation of the network, several interbank networks are built, in which the concentrations of debts and credits are obtained from links distributions... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Communication impacting financial markets. (arXiv:1410.2550v1 [q-fin.GN]) Posted: 09 Oct 2014 05:38 PM PDT Behavioral finance has become an increasingly important subfield of finance. However the main parts of behavioral finance, prospect theory included, understand financial markets through individual investment behavior. Behavioral finance thereby ignores any interaction between participants. We introduce a socio-financial model that studies the impact of communication on the pricing in financial... Visit MoneyScience for the Complete Article. |
| Posted: 09 Oct 2014 05:38 PM PDT This paper studies the problem of optimally allocating a cash injection into a financial system in distress. Given a one-period borrower-lender network in which all debts are due at the same time and have the same seniority, we address the problem of allocating a fixed amount of cash among the nodes to minimize the weighted sum of unpaid liabilities. Assuming all the loan amounts and asset values... Visit MoneyScience for the Complete Article. |
| Blog Post: TheAlephBlog: The Future Will Be Like The Past, Only More So Posted: 09 Oct 2014 07:20 AM PDT Photo Credit — Javier || Buffett believes in Americaread more... Visit MoneyScience for the Complete Article. |
| Posted: 09 Oct 2014 07:13 AM PDT So it’s been another busy week with Financial Services Club meetings in London, Edinburgh and Warsaw. I’ll summarise each one over the next week, but will begin with our meeting in Warsaw which saw John Rendall, CEO of HSBC Polska, presenting his impressions of banking in Poland (see my blog from SIBOS for more background).read more... Visit MoneyScience for the Complete Article. |
| JPMorgan Hackers Said to Probe 13 Financial Firms Posted: 09 Oct 2014 06:42 AM PDT JPMorgan Hackers Said to Probe 13 Financial Firms - Bloomberg http://t.co/eCyZ9c8F9t HSBC, Fidelity, E*Trade, Citi. Protective tech worked — Ivy Schmerken… Visit MoneyScience for the Complete Article. |
| Posted: 09 Oct 2014 02:50 AM PDT The Finanser's week at #Sibos Boston: http://t.co/5T7bd47eWE via @moneyscience — Sibos (@Sibos) October 9, 2014 Visit MoneyScience for the Complete Article. |
| Posted: 08 Oct 2014 05:37 PM PDT In this note we sketch an initial tentative approach to funding costs analysis and management for contracts with bilateral counterparty risk in a simplified setting. We depart from the existing literature by analyzing the issue of funding costs and benefits under the assumption that the associated risks cannot be hedged properly. We also model the treasury funding spread by means of a stochastic... Visit MoneyScience for the Complete Article. |
| Posted: 08 Oct 2014 05:37 PM PDT A major problem in the study of complex socioeconomic systems is represented by privacy issues$-$that can put severe limitations on the amount of accessible information, forcing to build models on the basis of incomplete knowledge. In this paper we investigate a novel method to reconstruct global topological properties of a complex network starting from limited information. This method uses the... Visit MoneyScience for the Complete Article. |
| Blog Post: iMFdirect: Smart Fiscal Policy Will Help Jobs Posted: 08 Oct 2014 11:19 AM PDT by Vitor Gaspar read more... Visit MoneyScience for the Complete Article. |
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