Thursday, July 3, 2014

MoneyScience News

MoneyScience News

Published / Preprint: Financial Intermediaries and the Cross-Section of Asset Returns

Posted: 03 Jul 2014 04:07 AM PDT

Financial intermediaries trade frequently in many markets using sophisticated models. Their marginal value of wealth should therefore provide a more informative stochastic discount factor (SDF) than that of a representative consumer. Guided by theory, we use shocks to the leverage of securities broker-dealers to construct an intermediary SDF. Intuitively, deteriorating funding conditions are...

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Published / Preprint: Money Doctors

Posted: 03 Jul 2014 04:06 AM PDT

We present a new model of investors delegating portfolio management to professionals based on trust. Trust in the manager reduces an investor's perception of the riskiness of a given investment, and allows managers to charge fees. Money managers compete for investor funds by setting fees, but because of trust fees do not fall to costs. In equilibrium, fees are higher for assets with higher...

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Published / Preprint: 03Jul/Survey on securitisation markets conducted by BCBS-IOSCO Task Force

Posted: 03 Jul 2014 02:17 AM PDT

Press release about the Basel Committee and IOSCO co-leading a task force that will undertake a wide-ranging survey of securitisation markets worldwide (3 July 2014)

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Vendor News: Infosys and SMART Enterprise to deliver Innovations in Machine to Machine Communication and Internet of Everything

Posted: 03 Jul 2014 01:29 AM PDT

Infosys and SMART Enterprise have announced the signing of a Memorandum of Understanding (MoU) to develop new industry solutions in the areas of Machine to Machine (M2M) communication and Internet of Everything.

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Blog Post: TheAlephBlog: Pity the Multiemployer Pension Plans

Posted: 02 Jul 2014 10:10 PM PDT

Most of the efforts to encourage defined benefit pension plans in the US have been an exercise in wishful thinking.  Then there are the efforts to discourage defined benefit plans, which came about because the IRS felt that they were losing too much tax revenue to overfunded plans.  Thanks, IRS… many plans were not really overfunded, but you discouraged a healthy funding of DB plans.read...

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Published / Preprint: Economic Optimal Operation of Community Energy Storage Systems in Competitive Energy Markets. (arXiv:1407.0433v1 [physics.soc-ph])

Posted: 02 Jul 2014 05:39 PM PDT

Distributed, controllable energy storage devices offer several significant benefits to electric power system operation. Three such benefits include reducing peak load, providing standby power, and enhancing power quality. These benefits, however, are only realized during peak load or during an outage, events that are infrequent. This paper presents a means of realizing additional benefits by...

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Published / Preprint: Stochastic model of a pension plan. (arXiv:1407.0517v1 [q-fin.RM])

Posted: 02 Jul 2014 05:39 PM PDT

Structuring a viable pension plan is a problem that arises in the study of financial contracts pricing and bears special importance these days. Deterministic pension models often rely on projections that are based on several assumptions concerning the "average" long-time behavior of the stock market. Our aim here is to examine some of the popular "average" assumptions in a more realistic setting...

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Vendor News: July 2, 2014 - Infradebt Selects SS&Câs Asset Management Platform

Posted: 02 Jul 2014 04:08 PM PDT

Vendor News: Fidessa launches new affirmation service for the buy-side

Posted: 02 Jul 2014 01:10 AM PDT

Published / Preprint: A Constrained Control Problem with Degenerate Coefficients and Degenerate Backward SPDEs with Singular Terminal Condition. (arXiv:1407.0108v1 [q-fin.MF])

Posted: 01 Jul 2014 05:38 PM PDT

We study a constrained optimal control problem allowing for degenerate coefficients. The coefficients can be random and then the value function is described by a degenerate backward stochastic partial differential equation (BSPDE) with singular terminal condition. For this degenerate BSPDE, we prove the existence of the minimal nonnegative solution.

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Published / Preprint: World Input-Output Network. (arXiv:1407.0225v1 [physics.soc-ph])

Posted: 01 Jul 2014 05:38 PM PDT

Economic systems, traditionally analyzed as almost independent national systems, are increasingly connected on a global scale. Only recently becoming available, the World Input-Output Database (WIOD) is one of the first efforts to construct the multi-regional input-output (MRIO) tables at the global level. By viewing the world input-output system as an interdependent network where the nodes are...

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Published / Preprint: One more no-arbitrage parametric fit of volatility smile. (arXiv:1407.0256v1 [q-fin.MF])

Posted: 01 Jul 2014 05:38 PM PDT

During last 15 years various parameterizations of the implied volatility (IV) surface were proposed in the literature to address few goals: a) given market data on some options build a no-arbitrage local volatility (Dupire's) surface to further exploit it for calibration of a local stochastic volatility model; b) obtain volatilities for pricing OTC options and other derivatives with strikes and...

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