MoneyScience News |
- Blog Post: TheFinancialServicesClub: Another day, another outrage - who cares?
- Blog Post: TheAlephBlog: The Education of a Mortgage Bond Manager, Part III
- Blog Post: Falkenblog: Acadian Explains Their Paper
- Published / Preprint: Risks of Large Portfolios. (arXiv:1302.0926v1 [stat.AP])
| Blog Post: TheFinancialServicesClub: Another day, another outrage - who cares? Posted: 06 Feb 2013 02:30 AM PST Yesterday morning I attended a seminar on bank brands. I’ll blog a bit about that later but there was one part that I found fairly intriguing that had to do with the overall value of bank brands returning to near 2007 highs, including those of the British banks. Sure, these banks had taken a knock, but they’re not out for the count by a long chalk. read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheAlephBlog: The Education of a Mortgage Bond Manager, Part III Posted: 05 Feb 2013 10:55 PM PST In this irregular series, you can see that I wrestled with the concept of credit quality. I built my own models. I did not trust the rating agencies.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Acadian Explains Their Paper Posted: 05 Feb 2013 07:53 PM PST I spoke with Malcolm Baker of Acadian who was kind enough to explain what they meant in their latest SSRN low vol paper I mentioned yesterday. Basically, the main idea was to address the argument that much of the low volatility effect is from industry slants, such as utilities. To the extent one can parcel out the low vol puzzle into a piece coming from the industry, one the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Risks of Large Portfolios. (arXiv:1302.0926v1 [stat.AP]) Posted: 05 Feb 2013 05:31 PM PST Estimating and assessing the risk of a large portfolio is an important topic in financial econometrics and risk management. The risk is often estimated by a substitution of a good estimator of the volatility matrix. However, the accuracy of such a risk estimator for large portfolios is largely unknown, and a simple inequality in the previous literature gives an infeasible upper bound for the... 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 | |