| Blog Post: TheAlephBlog: What are Safe Assets? Posted: 27 Dec 2013 09:39 AM PST When I was young, my paternal grandfather retired, and made my Dad and my Uncle, who worked for him, buy him out of his firm. They did so, and laid out a lot of cash to do it, which my grandfather invested in certificates of deposit at various banks. In the ’70s, he looked like a genius, while my mother, who was beating the market with her half Growth At a Reasonable Price, half... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Factors that affect the performance of distressed securities hedge funds Posted: 23 Dec 2013 10:15 PM PST Visit MoneyScience for the Complete Article. |
| Published / Preprint: Optimal cross-hedging under futures mispricing: A note Posted: 23 Dec 2013 10:15 PM PST Visit MoneyScience for the Complete Article. |
| Published / Preprint: Commodity futures indexes and related exchange traded notes: Linear and nonlinear adjustment Posted: 23 Dec 2013 10:15 PM PST Visit MoneyScience for the Complete Article. |
| Published / Preprint: Modeling volatility smile: Empirical evidence from India Posted: 23 Dec 2013 10:15 PM PST Visit MoneyScience for the Complete Article. |
| Published / Preprint: An introduction to credit derivatives (2nd edition) Posted: 23 Dec 2013 10:15 PM PST Visit MoneyScience for the Complete Article. |
| Published / Preprint: Sparse Portfolio Selection via Quasi-Norm Regularization. (arXiv:1312.6350v1 [q-fin.PM]) Posted: 23 Dec 2013 05:38 PM PST In this paper, we propose $\ell_p$-norm regularized models to seek near-optimal sparse portfolios. These sparse solutions reduce the complexity of portfolio implementation and management. Theoretical results are established to guarantee the sparsity of the second-order KKT points of the $\ell_p$-norm regularized models. More interestingly, we present a theory that relates sparsity of the... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Global Inequality in Energy Consumption from 1980 to 2010. (arXiv:1312.6443v1 [physics.data-an]) Posted: 23 Dec 2013 05:38 PM PST We study the global probability distribution of energy consumption per capita around the world using data from the U.S. Energy Information Administration (EIA) for 1980-2010. We find that the Lorenz curves have moved up during this time period, and the Gini coefficient G has decreased from 0.66 in 1980 to 0.55 in 2010, indicating a decrease in inequality. The global probability distribution of... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Executive Summaries Posted: 23 Dec 2013 08:50 AM PST Visit MoneyScience for the Complete Article. |
| Published / Preprint: Third Annual Program for Financial Studies Conference Columbia Business School: Navigating the Changing Landscape of Finance Posted: 23 Dec 2013 08:50 AM PST In this edited transcript of his keynote address at Columbia Business School's Third Annual Financial Studies Conference, the Chairman and CEO of Morgan Stanley begins by tracing the origins of the 2008 financial crisis to the overleveraging of bank balance sheets that were filled with risky and illiquid assets. With the leverage of most large banks rising well above 30 times, reductions in asset... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Reforming Banks Without Destroying Their Productivity and Value Posted: 23 Dec 2013 08:50 AM PST Governmentâ€protected banking systems tend to blow up, imposing huge losses on taxpayers. In a recent muchâ€publicized book, The Bankers' New Clothes, Anat Admati and Martin Hellwig propose to fix this problem by forcing banks to maintain 25% of their assets in the form of equity rather than debt. But this author argues, the book overstates the benefits and understates the costs of the proposed... Visit MoneyScience for the Complete Article. |
| Published / Preprint: How Companies Can Use Hedging to Crate Shareholder Value Posted: 23 Dec 2013 08:50 AM PST This article provides a framework for designing and evaluating corporate risk management and hedging programs. Corporate risk management has the potential to create substantial shareholder wealth by protecting companies from unexpected events that could force them to put their strategic investment plans on hold or even endanger their existence. However, assessing the performance of risk... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Do Trading and Power Operations Mix? Posted: 23 Dec 2013 08:50 AM PST The author uses the case of Constellation Energy to show the challenges, and pitfalls, of running an energy and power trading unit as a profit center within a large power company. Sophisticated trading and risk management operations do play important supporting roles in power companies that face competitive wholesale markets. The complicated dynamics of power prices and the complex operations of... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Aligning Incentives at Systemically Important Financial Institutions: A Proposal by the Squam Lake Group Posted: 23 Dec 2013 08:50 AM PST To address the moral hazard problem that can motivate bank executives to take excessive risks and to fail to raise capital when needed, a group of 13 distinguished financial economists recommends that systemically important financial institutions be required to issue contingent convertible debt (CoCos) and to hold back a substantial shareâ€"as much as 20%â€"of the compensation of employees who... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Managing Pension Risks: A Corporate Finance Perspective Posted: 23 Dec 2013 08:50 AM PST Defined benefit (DB) pension plans of both U.S. and European companies are significantly underfunded because of the low interest rate environment and prior decisions to invest heavily in equities. Additional contributions and the recovery of stock markets since the end of the crisis have helped a bit but pension underfunding remains significant. Pension underfunding has substantial corporate... Visit MoneyScience for the Complete Article. |
| Published / Preprint: Synthetic FloatingâRate Debt: An Example of an AssetâDriven Liability Structure Posted: 23 Dec 2013 08:49 AM PST An assetâ€driven liability (ADL) structure is analogous to a liabilityâ€driven investment (LDI) strategy. In both cases, the intent is to reduce the risk arising from a mismatch of assets and liabilities by aligning the interest rate sensitivity of cash flows on both sides of the balance sheet. Increasingly, definedâ€benefit pension plans have adopted LDI strategies that reduce their equity... Visit MoneyScience for the Complete Article. |
| Published / Preprint: FineâTuning a Corporate Hedging Portfolio: The Case of an Airline Posted: 23 Dec 2013 08:49 AM PST Industrial companies typically face a multitude of risks that could cause significant fluctuations in their cash flow. This is a case study of the hedging strategy adopted by an international air carrier to manage its jetâ€fuel price exposure.read more... Visit MoneyScience for the Complete Article. |
| Published / Preprint: A Primer on the Economics of Shale Gas Production Just How Cheap is Shale Gas? Posted: 23 Dec 2013 08:49 AM PST The authors analyze the economics of natural gas production in the U.S. in light of the government's recent dramatic upward revisions in gas reserve estimates as a result of advances in horizontal drilling and fracturing (“frackingâ€). While some observers believe the U.S. will enjoy very large supplies of lowâ€priced gas for a long time to come, others are not so sure. Using the data from... Visit MoneyScience for the Complete Article. |
| Blog Post: PatrickBurns: Further adventures with higher moments Posted: 23 Dec 2013 04:16 AM PST Additional views of the stability of skewness and kurtosis of equity portfolios.read more... Visit MoneyScience for the Complete Article. |
| Blog Post: TheFinancialServicesClub: Santa spends $227 billion on technology to manage Christmas Posted: 23 Dec 2013 01:30 AM PST Santa’s workshop boasts a highly-systematic, technologically-advanced, and expensive operation worth over $227-Billion, or so we would imagine in this infographic:read more... Visit MoneyScience for the Complete Article. |
| Blog Post: ThePracticalQuant: Financial analytics as a service Posted: 22 Dec 2013 10:36 AM PST [A version of this post appears on the O'Reilly Strata blog.]In relatively short order Amazon's internal computing services has become the world's most successful cloud computing platform. Conceived in 2003 and launched in 2006, AWS grew quickly and is now the largest web hosting company in the world. With the recent addition of Kinesis (for stream processing), AWS continues to add services and... Visit MoneyScience for the Complete Article. |
| Vendor News: èÂÂ澤è­Âå¸ãÂÂèª己ã»æ³Â人å§Âè¨ÂÃ¥ÂÂå¼Âã®æ°ã·ã¹ãÂÂã ã«ãÂÂã£ãÂÂãÂÂãµãÂÂæ¡ç¨ Posted: 20 Dec 2013 03:09 AM PST |
| Vendor News: December 20, 2013 - SS&C GlobeOp Forward Redemption Indicator: December notifications 5.90% Posted: 20 Dec 2013 01:06 AM PST |
| Blog Post: iMFdirect: Pakistan: The Realities of Economic Reform Posted: 19 Dec 2013 12:58 PM PST By Jeffrey Franksread more... Visit MoneyScience for the Complete Article. |
| Research fellowship on agent-based computational economics available at the University of Genoa, Italy Posted: 19 Dec 2013 04:42 AM PST Research fellowship on agent-based computational economics available at the University of Genoa, ItalyProject title: Agent-based modelling and simulation of a financial economyProject Description: the research activity will be focused on modelling and implementing an artificial financial economy based on heterogeneous interacting agents and on developing the software platforms for simulations... Visit MoneyScience for the Complete Article. |
