MoneyScience News |
- Blog Post: TheFinancialServicesClub: Russian sanctions - are they worth it?
- Published / Preprint: The Global Crisis and Equity Market Contagion
- Published / Preprint: A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk
- Blog Post: TheAlephBlog: The Shadows of the Bond Market's Past, Part I
- The history of information
- Slashdot
- Published / Preprint: The Labor Market for Bankers and Regulators
- Published / Preprint: The Ownership of Japanese Corporations in the 20th Century
- Published / Preprint: Repossession and the Democratization of Credit
- Published / Preprint: Guarantees, Leverage, and Taxes
- Published / Preprint: In Harm's Way? Payday Loan Access and Military Personnel Performance
- Published / Preprint: How the Taxonomy of Products Drives the Economic Development of Countries. (arXiv:1408.2138v1 [q-fin.EC])
- Published / Preprint: Agent based models for wealth distribution with preference in interaction. (arXiv:1408.2324v1 [physics.soc-ph])
- Published / Preprint: Value-at-Risk time scaling for long-term risk estimation. (arXiv:1408.2462v1 [q-fin.RM])
- Blog Post: PatrickBurns: US market portrait 2014 week 32
- HUSSMAN: We're Now Seeing The Exact Behavior That Caused The Housing Market Crash
- Published / Preprint: Investment-Based Corporate Bond Pricing
- Published / Preprint: Repo Runs: Evidence from The Tri-Party Repo Market
- Exxon Drilling Russian Arctic Shows Sanction Lack Bite
- The digital traces of bubbles: feedback cycles between socio-economic signals in the Bitcoin economy. (arXiv:1408.1494v1 [physics.soc-ph]) - Quantitative Finance at arXiv's blog - MoneyScience
- Why Bitcoin needs a Foundation - The Financial Services Club's blog - MoneyScience
| Blog Post: TheFinancialServicesClub: Russian sanctions - are they worth it? Posted: 12 Aug 2014 04:10 AM PDT The BBC recently asked me about the impact Russian sanctions would have on the City of London last week, followed up by European CEO, who interviewed me on the subject.read more... Visit MoneyScience for the Complete Article.      |
| Published / Preprint: The Global Crisis and Equity Market Contagion Posted: 12 Aug 2014 04:00 AM PDT We analyze the transmission of the 2007 to 2009 financial crisis to 415 country-industry equity portfolios. We use a factor model to predict crisis returns, defining unexplained increases in factor loadings and residual correlations as indicative of contagion. While we find evidence of contagion from the U.S. and the global financial sector, the effects are small. By contrast, there has been... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: A Pyrrhic Victory? Bank Bailouts and Sovereign Credit Risk Posted: 12 Aug 2014 04:00 AM PDT We model a loop between sovereign and bank credit risk. A distressed financial sector induces government bailouts, whose cost increases sovereign credit risk. Increased sovereign credit risk in turn weakens the financial sector by eroding the value of its government guarantees and bond holdings. Using credit default swap (CDS) rates on European sovereigns and banks, we show that bailouts... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheAlephBlog: The Shadows of the Bond Market's Past, Part I Posted: 12 Aug 2014 03:19 AM PDT read more... Visit MoneyScience for the Complete Article.    |
| Posted: 12 Aug 2014 02:39 AM PDT The history of information http://t.co/yhCzGqXuLL @rszbt @TeraEuro — Markus Sagebiel (@msgbi) August 12, 2014 Visit MoneyScience for the Complete Article.    |
| Posted: 12 Aug 2014 02:39 AM PDT NVIDIAs 64-bit Tegra K1: The Ghost of Transmeta Rides Again, Out of Order http://t.co/sqm4iamLcP — moneyscience (@moneyscience) August 12, 2014 Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Labor Market for Bankers and Regulators Posted: 12 Aug 2014 12:45 AM PDT We propose a labor market model in which agents with heterogenous ability levels choose to work as bankers or as financial regulators. When workers extract intrinsic benefits from working in regulation (such as public-sector motivation or human capital accumulation), our model jointly predicts that bankers are, on average, more skilled than regulators and their compensation is more sensitive to... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: The Ownership of Japanese Corporations in the 20th Century Posted: 12 Aug 2014 12:45 AM PDT Twentieth century Japan provides a remarkable laboratory for examining how an externally imposed institutional and regulatory intervention affects the ownership of corporations. In the first half of the century, Japan had weak legal protection but strong institutional arrangements. The institutions were dismantled after the war and replaced by a strong form of legal protection. This inversion... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Repossession and the Democratization of Credit Posted: 12 Aug 2014 12:45 AM PDT We exploit a 2004 credit reform in Brazil that simplified the sale of repossessed cars used as collateral for auto loans. We show that the reform expanded credit to riskier, self-employed borrowers who purchased newer, more expensive cars. The legal change has led to larger loans with lower spreads and longer maturities. Although the credit reform improved riskier borrowers' access to credit, it... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Guarantees, Leverage, and Taxes Posted: 12 Aug 2014 12:45 AM PDT This paper considers the optimal joint decision on firm organization and capital structure under a tax-bankruptcy trade-off, stressing the role of guarantees against default. Conditional guarantees, which are embedded in parent-subsidiary structures, increase joint value and joint debt relative to unguaranteed stand-alone firms. Such guarantees, that are unilateral rather than mutual for moderate... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: In Harm's Way? Payday Loan Access and Military Personnel Performance Posted: 12 Aug 2014 12:45 AM PDT Does borrowing at 400% APR do more harm than good? The U.S. Department of Defense thinks so and successfully lobbied for a 36% APR cap on loans to servicemen. But existing evidence on how access to high-interest debt affects borrowers is inconclusive. We estimate effects of payday loan access on enlisted personnel using exogenous variation in Air Force rules assigning personnel to bases across... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Aug 2014 05:39 PM PDT We introduce an algorithm able to reconstruct the relevant network structure on which the time evolution of country-product bipartite networks takes place. The significant links are obtained by selecting the largest values of the projected matrix. We first perform a number of tests of this filtering procedure on synthetic cases and a toy model. Then we analyze the bipartite network constituted by... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Aug 2014 05:39 PM PDT We propose a set of conservative models in which agents exchange wealth with a preference in the choice of interacting agents in different ways. The common feature in all the models is that the temporary values of financial status of agents is a deciding factor for interaction. Other factors which may play important role are past interactions and wealth possessed by individuals. Wealth... Visit MoneyScience for the Complete Article.    |
| Posted: 11 Aug 2014 05:39 PM PDT In this paper we discuss a general methodology to compute the market risk measure over long time horizons and at extreme percentiles, which are the typical conditions needed for estimating Economic Capital. The proposed approach extends the usual market-risk measure, ie, Value-at-Risk (VaR) at a short-term horizon and 99% confidence level, by properly applying a scaling on the short-term... Visit MoneyScience for the Complete Article.    |
| Blog Post: PatrickBurns: US market portrait 2014 week 32 Posted: 11 Aug 2014 12:27 PM PDT US large cap market returns. read more... Visit MoneyScience for the Complete Article.    |
| HUSSMAN: We're Now Seeing The Exact Behavior That Caused The Housing Market Crash Posted: 11 Aug 2014 11:04 AM PDT HUSSMAN: We're Now Seeing The Exact Behavior That Caused The Housing Market Crash http://t.co/etGaDl8j2H — Risk Management (@Risk_Mgmt) August 11, 2014 Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Investment-Based Corporate Bond Pricing Posted: 11 Aug 2014 06:38 AM PDT A standard assumption of structural models of default is that firms assets evolve exogenously. In this paper, we examine the importance of accounting for investment options in models of credit risk. In the presence of financing and investment frictions, firm-level variables that proxy for asset composition are significant determinants of credit spreads beyond leverage and asset volatility,... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Repo Runs: Evidence from The Tri-Party Repo Market Posted: 11 Aug 2014 06:38 AM PDT The repo market has been viewed as a potential source of financial instability since the 2007 to 2009 financial crisis, based in part on findings that margins increased sharply in a segment of this market. This paper provides evidence suggesting that there was no system-wide run on repo. Using confidential data on tri-party repo, a major segment of this market, we show the level of margins and... Visit MoneyScience for the Complete Article.    |
| Exxon Drilling Russian Arctic Shows Sanction Lack Bite Posted: 11 Aug 2014 04:11 AM PDT Exxon Drilling Russian Arctic Shows Sanction Lack Bite http://t.co/Kg60TP2hsL @GPUKNews — moneyscience (@moneyscience) August 8, 2014 Visit MoneyScience for the Complete Article.    |
| Posted: 11 Aug 2014 04:11 AM PDT Research: The digital traces of bubbles: feedback cycles between socio-economic signals in the Bitcoin economy... http://t.co/8JZAF0TiKR — moneyscience… Visit MoneyScience for the Complete Article.    |
| Why Bitcoin needs a Foundation - The Financial Services Club's blog - MoneyScience Posted: 11 Aug 2014 04:11 AM PDT .@Chris_Skinner - Why Bitcoin needs a Foundation http://t.co/8FAME1yO7d — moneyscience (@moneyscience) August 6, 2014 Visit MoneyScience for the Complete Article.    |
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