MoneyScience News |
- Blog Post: TheFinancialServicesClub: Things worth reading: 7th March 2014
- Blog Post: TheAlephBlog: The Rules, Part LVIII
- Published / Preprint: International Transmission of Shocks and Fragility of a Bank Network. (arXiv:1403.1363v1 [physics.soc-ph])
- Published / Preprint: Modelling the Bid and Ask Prices of Illiquid CDSs. (arXiv:1403.1509v1 [q-fin.PR])
- Published / Preprint: To bail-out or to bail-in? Answers from an agent-based model. (arXiv:1403.1548v1 [q-fin.GN])
- Published / Preprint: A consentaneous agent based and stochastic model of the financial markets. (arXiv:1403.1574v1 [q-fin.ST])
| Blog Post: TheFinancialServicesClub: Things worth reading: 7th March 2014 Posted: 07 Mar 2014 02:20 AM PST Things we're reading today include ...read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: TheAlephBlog: The Rules, Part LVIII Posted: 06 Mar 2014 09:47 PM PST Can contingent claims theory for bond defaults be done on a cash flow/liquidity basis? KMV-type models seem to fail on severely distressed bonds that have time to breathe and repair.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 06 Mar 2014 05:37 PM PST The weighted and directed network of countries based on the number of overseas banks is analyzed in terms of its fragility to the banking crisis of one country. We use two different models to describe transmission of shocks, one local and the other global. Depending on the original source of the crisis, the overall size of crisis impacts is found to differ country by country. For the two-step... Visit MoneyScience for the Complete Article.    |
| Posted: 06 Mar 2014 05:37 PM PST CDS (credit default swap) contracts that were initiated some time ago frequently have spreads and/or maturities that are not available on the current market of CDSs, and are thus illiquid. This article introduces an incomplete-market approach to valuing illiquid CDSs that, in contrast to the risk-neutral approach of current market practice, allows a dealer who buys an illiquid CDS from an... Visit MoneyScience for the Complete Article.    |
| Posted: 06 Mar 2014 05:37 PM PST Since beginning of the 2008 financial crisis almost half a trillion euros have been spent to financially assist EU member states in taxpayer-funded bail-outs. These crisis resolutions are often accompanied by austerity programs causing political and social friction on both domestic and international levels. The question of how to resolve failing financial institutions under which economic... Visit MoneyScience for the Complete Article.    |
| Posted: 06 Mar 2014 05:37 PM PST We consider a three state agent based herding model of the financial markets. From this agent based model we derive a set of stochastic differential equations, which describes underlying macroscopic dynamics of the financial markets. The obtained solution is then subjected to the exogenous noise, which shapes instantaneous return fluctuations. We test both Gaussian and q-Gaussian noise as a... Visit MoneyScience for the Complete Article.    |
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