MoneyScience News |
- Blog Post: PatrickBurns: Upcoming events
- Vendor News: CIMB leverages Fidessa for expansion across Asia
- Blog Post: TheFinancialServicesClub: The last typewriter ... what next?
- Blog Post: Falkenblog: Another Overnight Return Puzzle
- Published / Preprint: On the Risk Management with Application of Econophysics Analysis in Central Banks and Financial Institutions. (arXiv:1211.4108v1 [q-fin.GN])
- Published / Preprint: Modeling First Line Of An Order Book With Multivariate Marked Point Processes. (arXiv:1211.4157v1 [q-fin.TR])
- Published / Preprint: Closed form solutions of measures of systemic risk. (arXiv:1211.4173v1 [q-fin.RM])
- Published / Preprint: Inference on Sets in Finance. (arXiv:1211.4282v1 [stat.AP])
- Published / Preprint: European Option Pricing with Transaction Costs and Stochastic Volatility: an Asymptotic Analysis. (arXiv:1211.4396v1 [q-fin.PR])
- Published / Preprint: An overview of the goodness-of-fit test problem for copulas. (arXiv:1211.4416v1 [stat.ME])
- Published / Preprint: On the Relative Pricing of Long-Maturity Index Options and Collateralized Debt Obligations
- Published / Preprint: Asset Fire Sales and Purchases and the International Transmission of Funding Shocks
- Published / Preprint: Strategic Default and Equity Risk Across Countries
- Published / Preprint: Are All Ratings Created Equal? The Impact of Issuer Size on the Pricing of Mortgage-Backed Securities
- Published / Preprint: This Time Is the Same: Using Bank Performance in 1998 to Explain Bank Performance during the Recent Financial Crisis
- Published / Preprint: Agency Problems in Public Firms: Evidence from Corporate Jets in Leveraged Buyouts
- Published / Preprint: Does Reputation Limit Opportunistic Behavior in the VC Industry? Evidence from Litigation against VCs
- Published / Preprint: On the Life Cycle Dynamics of Venture-Capital- and Non-Venture-Capital-Financed Firms
- Published / Preprint: Dynamic Agency and the q Theory of Investment
- Published / Preprint: Private Equity Performance and Liquidity Risk
- Published / Preprint: INDEX TO VOLUME LXVII
- Published / Preprint: INDEX TO VOLUME LXVII
- Blog Post: iMFdirect: Policy Interest Rates in Latin America: Moving to Neutral?
- Blog Post: WealthandCapitalMarketsBlog: Risk inflection points
- Fact-checking financial recessions http://t.co/raT0XgGj
| Blog Post: PatrickBurns: Upcoming events Posted: 20 Nov 2012 02:27 AM PST New Events  Thalesians (London) 2012 November 21: Isabel Ehrlich on “Basket Options with Smile”.read more... Visit MoneyScience for the Complete Article.      |
| Vendor News: CIMB leverages Fidessa for expansion across Asia Posted: 20 Nov 2012 01:21 AM PST    |
| Blog Post: TheFinancialServicesClub: The last typewriter ... what next? Posted: 20 Nov 2012 01:04 AM PST I just saw a note today that the Science Museum has acquired the very last typewriter produced by the Brother factory:read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Another Overnight Return Puzzle Posted: 19 Nov 2012 05:45 PM PST An interesting fact of returns is that all of the stock returns since 1993 are from overnight returns. Here are the total returns using only Close-Open (overnight) vs. Open-Close (intraday). The intraday returns are basically flat over the past 20 years That's a curiosity because 2/3 of the risk of stocks is from their intraday returns--measured by beta or volatility--so if... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Nov 2012 05:30 PM PST The purpose of this research article is to discover how the econophysics analysis can complement the econometrics models in application to the risk management in the central banks and financial institutions, operating within the nonlinear dynamical financial system. We consider the modern risk management models and show the appropriate techniques to calculate the various existing risks in the... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Nov 2012 05:30 PM PST We introduce a new model in order to describe the fluctuation of tick-by-tick financial time series. Our model, based on marked point process, allows us to incorporate in a unique process the duration of the transaction and the corresponding volume of orders. The model is motivated by the fact that the "excitation" of the market is different in periods of time with low exchanged volume and high... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Nov 2012 05:30 PM PST This paper derives -- considering a Gaussian setting -- closed form solutions of the statistics that Adrian and Brunnermeier and Acharya et al. have suggested as measures of systemic risk to be attached to individual banks. The statistics equal the product of statistic specific Beta-coefficients with the mean corrected Value at Risk. Hence, the measures of systemic risks are closely related to... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Inference on Sets in Finance. (arXiv:1211.4282v1 [stat.AP]) Posted: 19 Nov 2012 05:30 PM PST In this paper we consider the problem of inference on a class of sets describing a collection of admissible models as solutions to a single smooth inequality. Classical and recent examples include, among others, the Hansen-Jagannathan (HJ) sets of admissible stochastic discount factors, Markowitz-Fama (MF) sets of mean-variances for asset portfolio returns, and the set of structural elasticities... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Nov 2012 05:30 PM PST In this paper the valuation problem of a European call option in presence of both stochastic volatility and transaction costs is considered. In the limit of small transaction costs and fast mean reversion, an asymptotic expression for the option price is obtained. While the dominant term in the expansion it is shown to be the classical Black and Scholes solution, the correction terms appear at... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Nov 2012 05:30 PM PST We review the main "omnibus procedures" for goodness-of-fit testing for copulas: tests based on the empirical copula process, on probability integral transformations, on Kendall's dependence function, etc, and some corresponding reductions of dimension techniques. The problems of finding asymptotic distribution-free test statistics and the calculation of reliable p-values are discussed. Some... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Nov 2012 01:34 PM PST We investigate a structural model of market and firm-level dynamics in order to jointly price long-dated S&P 500 index options and CDO tranches of corporate debt. We identify market dynamics from index option prices and idiosyncratic dynamics from the term structure of credit spreads. We find that all tranches can be well priced out-of-sample before the crisis. During the crisis, however, our... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Nov 2012 01:34 PM PST We identify a new channel for the transmission of shocks across international markets. Investor flows to funds domiciled in developed markets force significant changes in these funds’ emerging market portfolio allocations. These forced trades or “fire sales†affect emerging market equity prices, correlations, and betas, and are related to but distinct from effects arising purely from fund... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Strategic Default and Equity Risk Across Countries Posted: 19 Nov 2012 01:34 PM PST We show that the prospect of a debt renegotiation favorable to shareholders reduces the firm’s equity risk. Equity beta and return volatility are lower in countries where the bankruptcy code favors debt renegotiations and for firms with more shareholder bargaining power relative to debt holders. These relations weaken as the country’s insolvency procedure favors liquidations over... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Nov 2012 01:34 PM PST Initial yields on both AAA-rated and non-AAA rated mortgage-backed security (MBS) tranches sold by large issuers are higher than yields on similar tranches sold by small issuers during the market boom years of 2004 to 2006. Moreover, the prices of MBS sold by large issuers drop more than those sold by small issuers, and the differences are concentrated among tranches issued during 2004 to 2006.... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Nov 2012 01:34 PM PST Are some banks prone to perform poorly during crises? If yes, why? In this paper, we show that a bank's stock return performance during the 1998 crisis predicts its stock return performance and probability of failure during the recent financial crisis. This effect is economically large. Our findings are consistent with persistence in a bank's risk culture and/or aspects of its business model that... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Nov 2012 01:34 PM PST This paper uses novel data to examine the fleets of corporate jets operated by both publicly traded and privately held firms. In the cross-section, firms owned by private equity funds average 40% smaller fleets than observably similar public firms. Similar fleet reductions are observed within firms that undergo leveraged buyouts. Quantile regressions indicate that these results are driven by... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Nov 2012 01:34 PM PST We examine the role of reputation in limiting opportunistic behavior by venture capitalists towards four types of counterparties: entrepreneurs, investors, other VCs, and buyers of VC-backed startups. Using a hand-collected database of lawsuits, we document that more reputable VCs (i.e., VCs that are older, have more deals and funds under management, and syndicate with larger networks of VCs) are... Visit MoneyScience for the Complete Article.    |
| Posted: 19 Nov 2012 01:34 PM PST We use data over 25 years to understand the life cycle dynamics of VC- and non-VC-financed firms. We find successful and failed VC-financed firms achieve larger scale but are not more profitable at exit than matched non-VC-financed firms. Cumulative failure rates of VC-financed firms are lower, with the difference driven largely by lower failure rates in the initial years after receiving VC.... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Dynamic Agency and the q Theory of Investment Posted: 19 Nov 2012 01:34 PM PST We develop an analytically tractable model integrating dynamic investment theory with dynamic optimal incentive contracting, thereby endogenizing financing constraints. Incentive contracting generates a history-dependent wedge between marginal and average q, and both vary over time as good (bad) performance relaxes (tightens) financing constraints. Financial slack, not cash flow, is the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Private Equity Performance and Liquidity Risk Posted: 19 Nov 2012 01:34 PM PST Private equity has traditionally been thought to provide diversification benefits. However, these benefits may be lower than anticipated as we find that private equity suffers from significant exposure to the same liquidity risk factor as public equity and other alternative asset classes. The unconditional liquidity risk premium is about 3% annually and, in a four-factor model, the inclusion of... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: INDEX TO VOLUME LXVII Posted: 19 Nov 2012 01:34 PM PST    |
| Published / Preprint: INDEX TO VOLUME LXVII Posted: 19 Nov 2012 01:34 PM PST    |
| Blog Post: iMFdirect: Policy Interest Rates in Latin America: Moving to Neutral? Posted: 19 Nov 2012 12:43 PM PST By Nicolas Magud and Evridiki Tsounta read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: Risk inflection points Posted: 19 Nov 2012 08:56 AM PST I am working on a series of future oriented research related to the future of risk management. In the last few months, I have been speaking to financial institutions stakeholders at the forefront of risk management challenges; to a number of firms: from new risk  technology startups , as well as to the investment and private equity firms interested in opportunities that the evolution in... Visit MoneyScience for the Complete Article.    |
| Fact-checking financial recessions http://t.co/raT0XgGj Posted: 08 Oct 2012 06:43 AM PDT BusinessSchools: Fact-checking financial recessions http://t.co/raT0XgGj Visit MoneyScience for the Complete Article.    |
| You are subscribed to email updates from The Complete MoneyScience Reloaded To stop receiving these emails, you may unsubscribe now. | Email delivery powered by Google |
| Google Inc., 20 West Kinzie, Chicago IL USA 60610 | |