Tuesday, March 10, 2015

MoneyScience News

MoneyScience News

Blog Post: iMFdirect: Canada's Financial Sector: How to Enhance its Resilience

Posted: 09 Mar 2015 07:16 AM PDT

By Hamid Faruqee and Andrea Pescatoriread more...

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Published / Preprint: Informational Frictions and Commodity Markets

Posted: 09 Mar 2015 03:46 AM PDT

This paper develops a model with a tractable log-linear equilibrium to analyze the effects of informational frictions in commodity markets. By aggregating dispersed information about the strength of the global economy among goods producers whose production has complementarity, commodity prices serve as price signals to guide producers' production decisions and commodity demand. Our model...

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Climate change: why the Guardian is putting threat to Earth front and centre | Alan Rusbridger

Posted: 09 Mar 2015 03:17 AM PDT

.@arusbridger's intro to @guardian's renewed focus on Climate Threat http://t.co/WKk5S8V0wL the debate is now about politics & economics — moneyscience…

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Blog Post: TheFinancialServicesClub: After the glitch, RBS closes GTS (or how a global bank becomes a national one)

Posted: 09 Mar 2015 01:18 AM PDT

I was surprised to see friend of the Financial Services Club Carole Berndt leave Royal Bank of Scotland (RBS) for Australian shores in January (actually Hong Kong with ANZ).  Even though she’s an Aussie, the surprise was that Carole had only moved to RBS to shake up their Global Transaction Services (GTS) business the year before, having been specifically poached from Bank of...

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Published / Preprint: Do Prices Reveal the Presence of Informed Trading?

Posted: 09 Mar 2015 12:08 AM PDT

Using a comprehensive sample of trades from Schedule 13D filings by activist investors, we study how measures of adverse selection respond to informed trading. We find that on days when activists accumulate shares, measures of adverse selection and of stock illiquidity are lower, even though prices are positively impacted. Two channels help explain this phenomenon: (a) activists select times of...

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Blog Post: Luigi.Ballabio: Implementing QuantLib available from Leanpub

Posted: 08 Mar 2015 11:35 PM PDT

Published / Preprint: Game-theoretic approach to risk-sensitive benchmarked asset management. (arXiv:1503.01802v1 [math.OC])

Posted: 08 Mar 2015 05:36 PM PDT

In this article we consider a game theoretic approach to the Risk-Sensitive Benchmarked Asset Management problem (RSBAM) of Davis and Lleo \cite{DL}. In particular, we consider a stochastic differential game between two players, namely, the investor who has a power utility while the second player represents the market which tries to minimize the expected payoff of the investor. The market...

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Published / Preprint: A generic model for spouse's pensions with a view towards the calculation of liabilities. (arXiv:1503.02034v1 [q-fin.RM])

Posted: 08 Mar 2015 05:36 PM PDT

We introduce a generic model for spouse's pensions. The generic model allows for the modeling of various types of spouse's pensions with payments commencing at the death of the insured. We derive abstract formulas for cashflows and liabilities corresponding to common types of spouse's pensions. We show how the standard formulas from the Danish G82 concession can be obtained as a special case of...

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