MoneyScience News |
- Published / Preprint: Regulatory-Compliant Derivatives Pricing is Not Risk-Neutral. (arXiv:1311.0118v1 [q-fin.PR])
- Published / Preprint: There is a VaR beyond usual approximations. (arXiv:1311.0270v1 [stat.ME])
- Blog Post: ThePracticalQuant: Simplifying interactive, realtime, and advanced analytics
- Blog Post: TheFinancialServicesClub: The Finanser's Week: 28th October - 3rd November 2013
| Posted: 03 Nov 2013 05:37 PM PST Regulators clearly believe that derivatives can never be risk free. Regulators have risk preferences and by imposing costly actions on banks they have made derivatives markets incomplete. These actions have idiosyncratic effects, for example the stress period for Market Risk capital is determined at the bank level, not at desk level. Idiosyncratic effects mean that no single measure makes assets... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: There is a VaR beyond usual approximations. (arXiv:1311.0270v1 [stat.ME]) Posted: 03 Nov 2013 05:37 PM PST Basel II and Solvency 2 both use the Value-at-Risk (VaR) as the risk measure to compute the Capital Requirements. In practice, to calibrate the VaR, a normal approximation is often chosen for the unknown distribution of the yearly log returns of financial assets. This is usually justified by the use of the Central Limit Theorem (CLT), when assuming aggregation of independent and identically... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Simplifying interactive, realtime, and advanced analytics Posted: 03 Nov 2013 10:36 AM PST [A version of this post appears on the O'Reilly Strata blog.]Here are a few observations based on conversations I had during the just concluded Strata NYC conference.Interactive query analysis on Hadoop remains a hot areaA recent O'Reilly survey confirmed SQL is an important skill for data scientists. A year after the launch of Impala, quite a few attendees I spoke with remained interested in the... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: The Finanser's Week: 28th October - 3rd November 2013 Posted: 03 Nov 2013 01:40 AM PST Our biggest stories of the past week are ... New book: "Digital Bank" by Chris Skinner launches today After blogging daily for over six years, I decided to edit the best parts of the blog that talk about the battle to digitise the bank into a book over the summer. It’s not a Blook (Blog book) as it’s been written specifically as chapters, incorporating some of the best... Visit MoneyScience for the Complete Article.    |
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