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- Published / Preprint: Estimating nonlinear regression errors without doing regression. (arXiv:1404.3219v1 [stat.ML])
- Published / Preprint: Regularizing Portfolio Risk Analysis: A Bayesian Approach. (arXiv:1404.3258v1 [q-fin.ST])
- Published / Preprint: Stability and Identification with Optimal Macroprudential Policy Rules. (arXiv:1404.3347v1 [q-fin.EC])
- Published / Preprint: Smile from the Past: A general option pricing framework with multiple volatility and leverage components. (arXiv:1404.3555v1 [q-fin.PR])
- Published / Preprint: On the properties of nodal price response matrix in electricity markets. (arXiv:1404.3678v1 [math.OC])
- Blog Post: TheFinancialServicesClub: Give merchants the finger: now you can with PayPal
- Published / Preprint: 15Apr/Final standard for measuring and controlling large exposures published by the Basel Committee
- Blog Post: TheAlephBlog: On a Concentrated Bond Market
- Blog Post: iMFdirect: Socrates & the Pope: Overheard at the IMF's Spring Meetings
- 2013 Risk Manager of the Year: Robert B. Litterman
| Posted: 15 Apr 2014 03:00 AM PDT A method for estimating nonlinear regression errors and their distributions without performing regression is presented. Assuming continuity of the modeling function the variance is given in terms of conditional probabilities extracted from the data. For N data points the computational demand is N2. Comparing the predicted residual errors with those derived from a linear model assumption provides... Visit MoneyScience for the Complete Article.      |
| Posted: 15 Apr 2014 03:00 AM PDT It is important for portfolio manager to estimate and analyze the recent portfolio volatility to keep portfolio's risk within limit. Though number of financial instruments in the portfolio are very large, some times more than thousands, however daily returns considered for analysis is only for a month or even less. In this case rank of portfolio covariance matrix is less than full, hence solution... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Apr 2014 03:00 AM PDT This paper investigates the identification, the determinacy and the stability of ad hoc, "quasi-optimal" and optimal policy rules augmented with financial stability indicators (such as asset prices deviations from their fundamental values) and minimizing the volatility of the policy interest rates, when the central bank precommits to financial stability. Firstly, ad hoc and quasi-optimal rules... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Apr 2014 03:00 AM PDT In the current literature, the analytical tractability of discrete time option pricing models is guaranteed only for rather specific types of models and pricing kernels. We propose a very general and fully analytical option pricing framework, encompassing a wide class of discrete time models featuring multiple-component structure in both volatility and leverage, and a flexible pricing kernel with... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Apr 2014 03:00 AM PDT We establish sufficient conditions for nodal price response matrix in electric power system to be symmetric and negative semi-definite. The results are applicable for electricity markets with nonlinear and intertemporal constraints. Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: Give merchants the finger: now you can with PayPal Posted: 15 Apr 2014 02:59 AM PDT We've all been saying that it's only a while before we pay for everything with a biometric, as mentioned in last weeks blog: The Age of the Password is over.read more... Visit MoneyScience for the Complete Article.    |
| Posted: 15 Apr 2014 02:57 AM PDT Press release about the Basel Committee publishing the final standard for measuring and controlling large exposures. (15 April 2014) Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: On a Concentrated Bond Market Posted: 14 Apr 2014 10:09 PM PDT There have been a few articles recently on the underperformance of Pimco, and on the increasing concentration on the buy side of the bond market. Â There is danger here for large active managers and their clients.read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: Socrates & the Pope: Overheard at the IMF's Spring Meetings Posted: 14 Apr 2014 01:49 PM PDT By IMFdirect editorsread more... Visit MoneyScience for the Complete Article.    |
| 2013 Risk Manager of the Year: Robert B. Litterman Posted: 04 Mar 2014 07:39 AM PST The Global Association of Risk Professionals, (GARP, www.garp.org) announced today that it has awarded Robert B. Litterman, Partner and Chairman of the Risk Committee and Advisory Panel, Kepos Capital LP, the 2013 Risk Manager of the Year Award at the Association's 15th Annual Risk Management Convention & Exhibition, held at the New York Marriott Marquis in New York City. "It is an honor to... Visit MoneyScience for the Complete Article.    |
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