Monday, February 11, 2013

MoneyScience News

MoneyScience News

Blog Post: TheFinancialServicesClub: PFM is already out-of-date ... we need PFM-squared

Posted: 11 Feb 2013 02:46 AM PST

I was engaged in a lengthy conversation about mobile finance the other day.  Half way through, it finally hit me why mobile makes such a difference to our lives: it’s real-time.read more...

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Published / Preprint: 11Feb/Joint Forum releases consultative paper - Mortgage insurance: market structure, underwriting cycle and policy implications

Posted: 11 Feb 2013 01:06 AM PST

Press release about the Basel Committee releasing "Principles for effective risk data aggregation and risk reporting - final document" (9 January 2013)

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Vendor News: Fidessa group announces the preliminary results for the year ended 31st December 2012

Posted: 10 Feb 2013 11:56 PM PST

Blog Post: Falkenblog: Al Gore, Sociologists, Address HFT

Posted: 10 Feb 2013 07:19 PM PST

Al Gore's latest tome The Future warns us that:  There are already several reckless practices that should be immediately stopped: the sale of deadly weapons to groups throughout the world; the use of antibiotics as a livestock growth stimulant; drilling for oil in the vulnerable Arctic Ocean; the dominance of stock market trading by supercomputers with algorithms optimized for high-speed,...

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Published / Preprint: Variance optimal hedging for continuous time additive processes and applications. (arXiv:1302.1965v1 [q-fin.PR])

Posted: 10 Feb 2013 05:34 PM PST

For a large class of vanilla contingent claims, we establish an explicit F\"ollmer-Schweizer decomposition when the underlying is an exponential of an additive process. This allows to provide an efficient algorithm for solving the mean variance hedging problem. Applications to models derived from the electricity market are performed.

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Published / Preprint: Stochastic Local Intensity Loss Models with Interacting Particle Systems. (arXiv:1302.2009v1 [math.PR])

Posted: 10 Feb 2013 05:34 PM PST

It is well-known from the work of Sch\"onbucher (2005) that the marginal laws of a loss process can be matched by a unit increasing time inhomogeneous Markov process, whose deterministic jump intensity is called local intensity. The Stochastic Local Intensity (SLI) models such as the one proposed by Arnsdorf and Halperin (2008) allow to get a stochastic jump intensity while keeping the same...

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Published / Preprint: Early-warning signals of topological collapse in interbank networks. (arXiv:1302.2063v1 [physics.data-an])

Posted: 10 Feb 2013 05:34 PM PST

The financial crisis marked a paradigm shift, from traditional studies of individual risk to recent research on the "systemic risk" generated by whole networks of institutions. However, the reverse effects of realized defaults on network topology are poorly understood. Here we analyze the Dutch interbank network over the period 1998-2008, ending with the global crisis. We find that many...

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