MoneyScience News |
- Blog Post: TheFinancialServicesClub:
- Published / Preprint: Calculating the Funding Valuation Adjustment (FVA) of Value-at-Risk (VAR) based Initial Margin. (arXiv:1405.0508v1 [q-fin.PR])
- Published / Preprint: KVA: Capital Valuation Adjustment. (arXiv:1405.0515v1 [q-fin.PR])
- Published / Preprint: Evaluating gambles using dynamics. (arXiv:1405.0585v1 [q-fin.EC])
- Published / Preprint: Hedging of equity-linked with maximal success factor. (arXiv:1405.0732v1 [q-fin.RM])
- Published / Preprint: Spatial interactions in agent-based modeling. (arXiv:1405.0733v1 [physics.soc-ph])
- Published / Preprint: Market Coupling as the Universal Algorithm to Assess Zonal Divisions. (arXiv:1405.0878v1 [cs.CE])
- Blog Post: WealthandCapitalMarketsBlog: New SWIFT-Celent reports released on adoption of T2S
- Blog Post: TheAlephBlog: Book Review: Clash of the Financial Pundits
- Blog Post: iMFdirect: When You Move, I Move: Increasing Synchronization Among Asia's Economies
| Blog Post: TheFinancialServicesClub: Posted: 06 May 2014 02:51 AM PDT      |
| Posted: 06 May 2014 01:22 AM PDT Central counterparties (CCPs) require initial margin (IM) to be posted for derivative portfolios cleared through them. Additionally, the Basel Committee on Banking Supervision has proposed in BCBS-261 that all significant OTC derivatives trading must also post IM by 2019. IM is typically calculated using Value-at-Risk (VAR) or Conditional Value-at-Risk (CVAR, aka Expected Shortfall), based on... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: KVA: Capital Valuation Adjustment. (arXiv:1405.0515v1 [q-fin.PR]) Posted: 06 May 2014 01:22 AM PDT Credit (CVA), Debit (DVA) and Funding Valuation Adjustments (FVA) are now familiar valuation adjustments made to the value of a portfolio of derivatives to account for credit risks and funding costs. However, recent changes in the regulatory regime and the increases in regulatory capital requirements has led many banks to include the cost of capital in derivative pricing. This paper formalises... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Evaluating gambles using dynamics. (arXiv:1405.0585v1 [q-fin.EC]) Posted: 06 May 2014 01:22 AM PDT The classic decision-theory problem of evaluating a gamble is treated from a modern perspective using dynamics. Linear and logarithmic utility functions appear not as expressions for the value of money but as mappings that result in ergodic observables for purely additive and purely multiplicative dynamics, the most natural stochastic processes to model wealth. This perspective is at odds with... Visit MoneyScience for the Complete Article.    |
| Posted: 06 May 2014 01:22 AM PDT We consider an equity-linked contract whose payoff depends on the lifetime of policy holder and the stock price. We assume the limited capital for hedging and we provide with the best strategy for an insurance company in the meaning of so called succes factor $\IE^\IP\left[{\mathbf 1}_{\{V_T \geq D)}+{\mathbf 1}_{\{V_T < D\}}\frac{V_T}{D}\right ]$,... Visit MoneyScience for the Complete Article.    |
| Posted: 06 May 2014 01:22 AM PDT Agent Based Modeling (ABM) has become a widespread approach to model complex interactions. In this chapter after briefly summarizing some features of ABM the different approaches in modeling spatial interactions are discussed. read more... Visit MoneyScience for the Complete Article.    |
| Posted: 06 May 2014 01:22 AM PDT Adopting a zonal structure of electricity market requires specification of zones' borders. In this paper we use social welfare as the measure to assess quality of various zonal divisions. The social welfare is calculated by Market Coupling algorithm. The analyzed divisions are found by the usage of extended Locational Marginal Prices (LMP) methodology presented in paper [1], which takes into... Visit MoneyScience for the Complete Article.    |
| Blog Post: WealthandCapitalMarketsBlog: New SWIFT-Celent reports released on adoption of T2S Posted: 06 May 2014 01:22 AM PDT SWIFT and Celent have been closely following developments related to the implementation of the Euro system’s Target2 Securities (T2S) initiative and how market participants are gearing up in preparation for the same. As part of that we published a report titled ‘The European Post-Trade Ecosystem under T2S: Dealing with Complexity’ in March, 2013. Last week two new reports were... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: Book Review: Clash of the Financial Pundits Posted: 06 May 2014 01:11 AM PDT read more... Visit MoneyScience for the Complete Article.    |
| Blog Post: iMFdirect: When You Move, I Move: Increasing Synchronization Among Asia's Economies Posted: 05 May 2014 07:02 AM PDT By Romain Duvalread more... Visit MoneyScience for the Complete Article.    |
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