MoneyScience News |
- Blog Post: TheAlephBlog: Avoid Selling Stocks When You Are Old, Maybe?
- Published / Preprint: Risk aggregation and stochastic claims reserving in disability insurance. (arXiv:1401.3589v1 [q-fin.RM])
- Gain financial insight and get the most from your investments, with Wileyâs "Little Book, Big Profits" series.
- Vendor News: January 15, 2014 - SS&C Technologies Fourth Quarter and 2013 Earnings Release Notice
- Published / Preprint: 15Jan/Risk management guidelines related to anti-money laundering and terrorist financing issued by the Basel Committee
- Blog Post: TheFinancialServicesClub: Are digital banks losing sight of the customer?
- Published / Preprint: Procyclical Leverage and Value-at-Risk
- Published / Preprint: Why Did Holdings of Highly Rated Securitization Tranches Differ So Much across Banks?
- Published / Preprint: Securitization and Loan Performance: Ex Ante and Ex Post Relations in the Mortgage Market
- Published / Preprint: The Economics of Solicited and Unsolicited Credit Ratings
- Published / Preprint: When There Is No Place to Hide: Correlation Risk and the Cross-Section of Hedge Fund Returns
- Published / Preprint: Common Errors: How to (and Not to) Control for Unobserved Heterogeneity
- Special offers from www.wileyWILMOTT.com
- Blog Post: rob_daly: Kevinonthestreet: FX Futures Volume Set to Rise
| Blog Post: TheAlephBlog: Avoid Selling Stocks When You Are Old, Maybe? Posted: 15 Jan 2014 09:48 PM PST The Wall Street Journal recent had an article, What You Know About Retirement Investing Is Wrong, where it recommended that elderly people invest more in stocks as they get older. I think the advice is wrong, unless you understand it this way:read more... Visit MoneyScience for the Complete Article.      |
| Posted: 15 Jan 2014 05:38 PM PST We consider a large, homogeneous portfolio of life or disability annuity policies. The policies are assumed to be independent conditional on an external stochastic process representing the economic-demographic environment. Using a conditional law of large numbers, we establish the connection between claims reserving and risk aggregation for large portfolios. Further, we derive a partial... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Jan 2014 11:49 AM PST Gain Financial Insight and Get the Most from Your Investmentsread more... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Jan 2014 08:12 AM PST    |
| Posted: 15 Jan 2014 08:08 AM PST Press release about the Basel Committee issuing risk management guidelines related to anti-money laundering and terrorist financing (15 January 2014) Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Are digital banks losing sight of the customer? Posted: 15 Jan 2014 06:09 AM PST In a discussion of the future bank, it appears that we all talk about digital being the focal point. Even though my new book is called that, it’s the wrong focal point however.read more... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Procyclical Leverage and Value-at-Risk Posted: 15 Jan 2014 05:57 AM PST The availability of credit varies over the business cycle through shifts in the leverage of financial intermediaries. Empirically, we find that intermediary leverage is negatively aligned with the banks' Value-at-Risk (VaR). Motivated by the evidence, we explore a contracting model that captures the observed features. Under general conditions on the outcome distribution given by extreme value... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Jan 2014 05:57 AM PST We provide estimates of holdings of highly rated securitization tranches of U.S. bank holding companies before the credit crisis and evaluate hypotheses that have been advanced to explain them. Whereas holdings exceeded Tier 1 capital for some large banks, they were economically trivial for the typical bank. Banks with high holdings were not riskier before the crisis using conventional measures,... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Jan 2014 05:57 AM PST This study examines the relation between securitization and loan performance using a comprehensive dataset from a major national mortgage lender. Loans remaining on the bank's balance sheet ex post incurred higher delinquency rates than sold loans, contrasting the negative relation between screening efforts and ex ante probability of loan sale explored by prior studies. Moreover, the performance... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Economics of Solicited and Unsolicited Credit Ratings Posted: 15 Jan 2014 05:57 AM PST This paper develops a dynamic rational expectations model of the credit rating process, incorporating three critical elements of this industry: (1) the rating agencies' ability to misreport the issuer's credit quality, (2) their ability to issue unsolicited ratings, and (3) their reputational concerns. We analyze the incentives of credit rating agencies to issue unsolicited credit ratings and the... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Jan 2014 05:57 AM PST Using a novel data set on correlation swaps, we study the relation between correlation risk, hedge fund characteristics, and their risk-return profile. We find that the ability of hedge funds to create market-neutral returns is often associated with a significant exposure to correlation risk, which helps to explain the large abnormal returns found in previous models. We also estimate a... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Common Errors: How to (and Not to) Control for Unobserved Heterogeneity Posted: 15 Jan 2014 05:57 AM PST Controlling for unobserved heterogeneity (or "common errors"), such as industry-specific shocks, is a fundamental challenge in empirical research.This paper discusses the limitations of two approaches widely used in corporate finance and asset pricing research: demeaning the dependent variable with respect to the group (e.g., "industry-adjusting") and adding the mean of the group's dependent... Visit MoneyScience for the Complete Article.    |
| Special offers from www.wileyWILMOTT.com Posted: 15 Jan 2014 05:44 AM PST Wileyread more... Visit MoneyScience for the Complete Article.    |
| Blog Post: rob_daly: Kevinonthestreet: FX Futures Volume Set to Rise Posted: 15 Jan 2014 04:54 AM PST Kevinonthestreet: FX Futures Volume Set to Riseread more... Visit MoneyScience for the Complete Article.    |
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