Monday, March 25, 2013

MoneyScience News

MoneyScience News

Research Library: A Guide to Modeling Counterparty Credit Risk

Posted: 25 Mar 2013 03:12 AM PDT

Steven H. Zhu Morgan Stanley; Banc of America Merrill Lynch Michael Pykhtin Bank of America GARP Risk Review, July/August 2007 Abstract Michael Pykhtin and Steven Zhu offer a blueprint for modelling credit exposure and pricing counter-party risk. They focus on two main issues: modelling credit exposure and pricing counter-party risk. In the part devoted to credit exposure, we will define...

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Blog Post: TheFinancialServicesClub: Does SEPA matter and is it happening?

Posted: 25 Mar 2013 02:20 AM PDT

We had our annual debate about SEPA for the fourth year running the other day.read more...

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Blog Post: Falkenblog: Overpriced Chinese Warrants

Posted: 24 Mar 2013 07:21 PM PDT

An interesting article in the Feb 2013 Journal of Financial Markets notes the persistent overpricing of Chinese Warrants. Chang, Luo, Shi, and Zhang, all Chinese academics, examined looked at 47 warrants traded on the Shanghai or Shenzhen exchanges, from 2005-2008.  The implied volatilities are about 3 times the historical in their dataset; 150% average implied vs. a 50% average...

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Published / Preprint: Quantifying the Impact of Leveraging and Diversification on Systemic Risk. (arXiv:1303.5552v1 [q-fin.RM])

Posted: 24 Mar 2013 05:30 PM PDT

Excessive leverage, i.e. the abuse of debt financing, is considered one of the primary factors in the default of financial institutions. Systemic risk results from correlations between individual default probabilities that cannot be considered independent. Based on the structural framework by Merton (1974), we discuss a model in which these correlations arise from overlaps in banks' portfolios....

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Published / Preprint: 25Mar/Central bank collateral frameworks and practices: new report from the Markets Committee

Posted: 24 Mar 2013 01:03 PM PDT

Press release about "Central bank collateral frameworks and practices: a new report from the Markets Committee" (25 March 2013)

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Blog Post: ThePracticalQuant: Python data tools just keep getting better

Posted: 24 Mar 2013 09:34 AM PDT

[A version of this post appeared on the O'Reilly Strata blog.]Here are a few observations inspired by conversations I had during the just concluded PyData conference1. The Python data community is well-organized:Besides conferences (PyData, SciPy, EuroSciPy), there is a new non-profit (NumFOCUS) dedicated to supporting scientific computing and data analytics projects. The list of supported...

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