Thursday, May 23, 2013

MoneyScience News

MoneyScience News

Blog Post: TheFinancialServicesClub: Fixing our banks: now we know the answer

Posted: 23 May 2013 03:53 AM PDT

We had another round of debate about fixing the banking system at the Financial Services Club this week (read Part One here).  This time it was the turn of the shareholder, media and industry to air their views, ably represented by:read more...

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Published / Preprint: Pricing bonds with optional sinking feature using Markov Decision Processes. (arXiv:1305.5220v1 [q-fin.PR])

Posted: 22 May 2013 05:39 PM PDT

An efficient method to price bonds with optional sinking feature is presented. Such instruments equip their issuer with the option (but not the obligation) to redeem parts of the notional prior to maturity, therefore the future cash flows are random. In a one-factor model for the issuer's default intensity we show that the pricing algorithm can be formulated as a Markov Decision Process, which is...

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Published / Preprint: Risk Measure Estimation On Fiegarch Processes. (arXiv:1305.5238v1 [q-fin.RM])

Posted: 22 May 2013 05:39 PM PDT

We consider the Fractionally Integrated Exponential Generalized Autoregressive Conditional Heteroskedasticity process, denoted by FIEGARCH(p,d,q), introduced by Bollerslev and Mikkelsen (1996). We present a simulated study regarding the estimation of the risk measure $VaR_p$ on FIEGARCH processes. We consider the distribution function of the portfolio log-returns (univariate case) and the...

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