MoneyScience News |
- Published / Preprint: A Taylor series approach to pricing and implied vol for LSV models. (arXiv:1308.5019v1 [q-fin.CP])
- Published / Preprint: Solvable models of operational risk and new results on the correlation problem. (arXiv:1308.5064v1 [q-fin.RM])
- Published / Preprint: Computation of ruin probabilities for general discrete-time Markov models. (arXiv:1308.5152v1 [q-fin.RM])
- Published / Preprint: Tight Approximations of Dynamic Risk Measures. (arXiv:1106.6102v2 [q-fin.RM] UPDATED)
- Blog Post: Falkenblog: Economath and the Drake Equation
- Blog Post: ThePracticalQuant: Data Analysis
- Blog Post: TheFinancialServicesClub: The Finanser's Week: 19th August - 25th August 2013
- Blog Post: TheAlephBlog: A Different Look at Industry Attractiveness
- Blog Post: PatrickBurns: US market portrait 2013 week 34
- A strength, not just competent
- Published / Preprint: An Anatomy of Commodity Futures Risk Premia
- Published / Preprint: Do Peer Firms Affect Corporate Financial Policy?
| Posted: 25 Aug 2013 05:38 PM PDT Using classical Taylor series techniques, we develop a unified approach to pricing and implied volatility for European-style options in a general local-stochastic volatility setting. Our price approximations require only a normal CDF and our implied volatility approximations are fully explicit (ie, they require no special functions, no infinite series and no numerical integration). As such,... Visit MoneyScience for the Complete Article.      |
| Posted: 25 Aug 2013 05:38 PM PDT Operational risk capital charge is very sensitive to the modeling assumptions. In this paper, we consider a class of exactly solvable models of operational risk and we obtain new results on the correlation problem. In particular, we show that incorporating model risk for correlations decreases the bank's capital charge. Visit MoneyScience for the Complete Article.    |
| Posted: 25 Aug 2013 05:38 PM PDT We study the ruin problem over a risk process described by a discrete-time Markov model. In contrast to previous studies that focused on the asymptotic behaviour of ruin probabilities for large values of the initial capital, we provide a new technique to compute the quantity of interest for any initial value, and with any given precision. Rather than focusing on a particular model for risk... Visit MoneyScience for the Complete Article.    |
| Posted: 25 Aug 2013 05:38 PM PDT This paper compares two different frameworks recently introduced in the literature for measuring risk in a multi-period setting. The first corresponds to applying a single coherent risk measure to the cumulative future costs, while the second involves applying a composition of one-step coherent risk mappings. We summarize the relative strengths of the two methods, characterize several necessary... Visit MoneyScience for the Complete Article.    |
| Blog Post: Falkenblog: Economath and the Drake Equation Posted: 25 Aug 2013 05:36 PM PDT There were several posts last week on the hypothesis that there's too much emphasis on mathematical modeling in modern economics. Most said yes (Dave Hendersen, Bryan Caplan, Noahpundit), though Krugman said no. Krugman's experience is very pertinent as his Nobel Prize winning model on increasing returns to scale is a good example of obtuse economodeling: its thesis was known before being... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Data Analysis Posted: 25 Aug 2013 10:10 AM PDT [A version of this post appears on the O'Reilly Strata blog.]A new set of tools make it easier to do a variety of data analysis tasks. Some require no programming, while other tools make it easier to combine code, visuals, and text in the same workflow. They enable users who aren't statisticians or data geeks, to do data analysis. While most of the focus is on enabling the application of... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: The Finanser's Week: 19th August - 25th August 2013 Posted: 25 Aug 2013 02:59 AM PDT Our biggest stories of the past week are ...read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: A Different Look at Industry Attractiveness Posted: 25 Aug 2013 12:30 AM PDT While doing some work today, I ran across this resource from Morningstar. Morningstar values stocks by projecting the free cash flows of the companies, and discounting those free cash at a rate that reflects the riskiness of the company. Free cash flows are the amount of cash you can take from a corporation over a period, an leave it equally well off as it was at the beginning of the period. ... Visit MoneyScience for the Complete Article.    |
| Blog Post: PatrickBurns: US market portrait 2013 week 34 Posted: 24 Aug 2013 03:46 AM PDT US large cap market returns.read more... Visit MoneyScience for the Complete Article.    |
| A strength, not just competent Posted: 23 Aug 2013 04:17 AM PDT For quite a long time now the fashionable interviewing technique, especially for early career professionals, has been competency interviewing. Â Lots of questions along the lines of ‘Tell me about a time when you have worked collaboratively’. Â These questions are based on the idea that what someone has done in the past they are likely to do in the future (which may or may not be... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: An Anatomy of Commodity Futures Risk Premia Posted: 22 Aug 2013 01:07 PM PDT We identify two types of risk premia in commodity futures returns: spot premia related to the risk in the underlying commodity, and term premia related to changes in the basis. Sorting on forecasting variables such as the futures basis, return momentum, volatility, inflation, hedging pressure, and liquidity results in sizable spot premia between 5% and 14% per annum and term premia between 1% and... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Do Peer Firms Affect Corporate Financial Policy? Posted: 22 Aug 2013 01:07 PM PDT We show that peer firms play an important role in determining corporate capital structures and financial policies. In large part, firms' financing decisions are responses to the financing decisions and, to a lesser extent, characteristics of peer firms. These peer effects are more important for capital structure determination than most previously identified determinants. Further, smaller, less... Visit MoneyScience for the Complete Article.    |
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