MoneyScience News |
- Published / Preprint: Stochastic Modeling and Fair Valuation of Drawdown Insurance. (arXiv:1310.3860v1 [q-fin.PR])
- Published / Preprint: Measuring correlations between non-stationary series with DCCA coefficient. (arXiv:1310.3984v1 [q-fin.ST])
- Published / Preprint: On pricing kernels, information and risk. (arXiv:1310.4067v1 [q-fin.PR])
- Published / Preprint: Quantum harmonic oscillator in option pricing. (arXiv:1310.4142v1 [q-fin.CP])
- Blog Post: iMFdirect: Death and Taxes May be Certain'But Taxes We Can Make Better
- Published / Preprint: 15Oct/Public quantitative disclosure standards for central counterparties, consultative report issued by CPSS-IOSCO
- Vendor News: October 15, 2013 - SS&C Technologies 2013 Third Quarter Earnings Release Notice
- Blog Post: TheFinancialServicesClub: Banking in 2013 ... just like 1913
- Published / Preprint: 15Oct/Updated methodology for assessing compliance with capital standards published by the Basel Committee
- Published / Preprint: Joint Editorial
- Published / Preprint: Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks
- Published / Preprint: Estimating the Benefits of Contractual Completeness
- Published / Preprint: Long-Run Risk and the Persistence of Consumption Shocks
- Published / Preprint: Specialization, Productivity, and Financing Constraints
| Posted: 15 Oct 2013 05:33 PM PDT This paper studies the stochastic modeling of market drawdown events and the fair valuation of insurance contracts based on drawdowns. We model the asset drawdown process as the current relative distance from the historical maximum of the asset value. We first consider a vanilla insurance contract whereby the protection buyer pays a constant premium over time to insure against a drawdown of a... Visit MoneyScience for the Complete Article.      |
| Posted: 15 Oct 2013 05:33 PM PDT In this short report, we investigate the ability of the DCCA coefficient to measure correlation level between non-stationary series. Based on a wide Monte Carlo simulation study, we show that the DCCA coefficient can estimate the correlation coefficient accurately regardless the strength of non-stationarity (measured by the fractional differencing parameter $d$). For a comparison, we also report... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: On pricing kernels, information and risk. (arXiv:1310.4067v1 [q-fin.PR]) Posted: 15 Oct 2013 05:33 PM PDT We discuss the finding that cross-sectional characteristic based models have yielded portfolios with higher excess monthly returns but lower risk than their arbitrage pricing theory counterparts in an analysis of equity returns of stocks listed on the JSE. Under the assumption of general no-arbitrage conditions, we argue that evidence in favour of characteristic based pricing implies that... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Quantum harmonic oscillator in option pricing. (arXiv:1310.4142v1 [q-fin.CP]) Posted: 15 Oct 2013 05:33 PM PDT The Black-Scholes model anticipates rather well the observed prices for options in the case of a strike price that is not too far from the current price of the underlying asset. Some useful extensions can be obtained by an adequate modification of the coefficients in the Black-Scholes equation. We investigate from a mathematical point of view an extension directly related to the quantum harmonic... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Death and Taxes May be Certain'But Taxes We Can Make Better Posted: 15 Oct 2013 11:48 AM PDT By Michael Keenread more... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Oct 2013 06:21 AM PDT Press release about CPSS and IOSCO issuing the consultative report "Public quantitative disclosure standards for central counterparties" (BIS Press Release 15 October 2013) Visit MoneyScience for the Complete Article.    |
| Vendor News: October 15, 2013 - SS&C Technologies 2013 Third Quarter Earnings Release Notice Posted: 15 Oct 2013 06:08 AM PDT    |
| Blog Post: TheFinancialServicesClub: Banking in 2013 ... just like 1913 Posted: 15 Oct 2013 03:59 AM PDT So I’m buying a house and have a conversation about the house buying process with a bank colleague.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Oct 2013 03:55 AM PDT Press release about "Updated methodology for assessing compliance with capital standards published by the Basel Committee" (15 October 2013) Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Joint Editorial Posted: 14 Oct 2013 11:48 PM PDT    |
| Published / Preprint: Firm Characteristics and Stock Returns: The Role of Investment-Specific Shocks Posted: 14 Oct 2013 11:48 PM PDT Average return differences among firms sorted on valuation ratios, past investment, profitability, market beta, or idiosyncratic volatility are largely driven by differences in exposures of firms to the same systematic factor related to embodied technology shocks. Using a calibrated structural model, we show that these firm characteristics are correlated with the ratio of growth opportunities to... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Estimating the Benefits of Contractual Completeness Posted: 14 Oct 2013 11:48 PM PDT I provide a revealed-preference-based framework that uses covenant prices and choices to quantitatively study how covenants generate firm benefits by completing debt contracts. I use a rational-expectations-based panel estimator of covenant prices, which does not require quasi-experimental variation, to circumvent the problem of endogenous covenant choices. I find that firms' surpluses exceed the... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Long-Run Risk and the Persistence of Consumption Shocks Posted: 14 Oct 2013 11:48 PM PDT We propose a decomposition for time series in components classified by levels of persistence. Employing this decomposition, we provide empirical evidence that consumption growth contains predictable components highly correlated with well-known proxies of consumption variability. These components generate a term-structure of sizable risk premia. At low frequencies we identify a component... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Specialization, Productivity, and Financing Constraints Posted: 14 Oct 2013 11:48 PM PDT We analyze optimal financial contracts when the specificity of investments is endogenous. Specialization decreases the liquidation value of assets, but improves the asset's long-term productivity. While the former is known to make financing more difficult, we show that the latter can ease financing constraints and increase financing capacity by improving an entrepreneur's incentive to repay. The... Visit MoneyScience for the Complete Article.    |
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