Sunday, December 15, 2013

MoneyScience News

MoneyScience News


Repo, re-use and re-hypothecation

Posted: 14 Dec 2013 02:06 AM PST

In the regulatory debate about shadow banking, and in particular repo, there has been much confusion about the legal terminology of collateral, some of it threatening to have substantive policy consequences. This blog is a basic primer on the difference between ‘re-use’ and ‘re-hypothecation’ of collateral.read more...

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Blog Post: TheAlephBlog: Sorted Weekly Tweets

Posted: 13 Dec 2013 10:48 PM PST

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Blog Post: PatrickBurns: The efficacy of higher moments in portfolio optimization

Posted: 13 Dec 2013 04:45 AM PST

On Monday I gave a talk at the London Quant Group entitled “Exploring the efficacy of higher moments in portfolio optimisation”.  A substantial number of people showed up, and they taught me quite a lot about the subject.  So it seems to have been successful.read more...

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Blog Post: TheFinancialServicesClub: What role for banks in a sharing economy of social capitalism?

Posted: 13 Dec 2013 02:30 AM PST

I was struck yesterday, as I presented my themes around Digital Bank at a conference, that there’s one area I’ve discussed for a long time, but not blogged about much in-depth.read more...

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Published / Preprint: Refinancing Risk and Cash Holdings

Posted: 13 Dec 2013 02:29 AM PST

We find that firms mitigate refinancing risk by increasing their cash holdings and saving cash from cash flows. The maturity of firms’ long-term debt has shortened markedly, and this shortening explains a large fraction of the increase in cash holdings over time. Consistent with the inference that cash reserves are particularly valuable for firms with refinancing risk, we document that the...

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Published / Preprint: 13Dec/Revised policy framework for banks' equity investments in funds issued by the Basel Committee

Posted: 13 Dec 2013 01:06 AM PST

Press release about "Revised policy framework for banks' equity investments in funds issued by the Basel Committee" (12 December 2013)

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C# for Financial Markets - an interview with Daniel J Duffy

Posted: 11 Dec 2013 12:01 PM PST

We speak with Daniel J. Duffy, co-author with Andrea Germani of C# for Financial Markets published by Wiley. The book is a unique mix of modern software technology and quantitative finance with a thorough, comprehensive approach.read more...

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