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- Published / Preprint: 09Sep/Analysis of the trading book hypothetical portfolio exercise
- Published / Preprint: Custom v. Standardized Risk Models. (arXiv:1409.2575v1 [q-fin.PM])
- Published / Preprint: Contagion in an interacting economy. (arXiv:1409.2625v1 [physics.soc-ph])
- Published / Preprint: The effect of the number of states on the validity of credit ratings. (arXiv:1409.2661v1 [q-fin.RM])
- Published / Preprint: Synergy cycles in the Norwegian innovation system: The relation between synergy and cycle values. (arXiv:1409.2760v1 [cs.CY])
- Vendor News: September 9, 2014 - SS&C Technologies to Present at Deutsche Bank Technology Conference
| Published / Preprint: 09Sep/Analysis of the trading book hypothetical portfolio exercise Posted: 09 Sep 2014 07:19 PM PDT Press release about the BCBS report "Analysis of the trading book hypothetical portfolio exercise" (BIS Press Release 9 September 2014) Visit MoneyScience for the Complete Article.      |
| Published / Preprint: Custom v. Standardized Risk Models. (arXiv:1409.2575v1 [q-fin.PM]) Posted: 09 Sep 2014 05:38 PM PDT We discuss when and why custom multi-factor risk models are warranted and give source code for computing some risk factors. Pension/mutual funds do not require customization but standardization. However, using standardized risk models in quant trading with much shorter holding horizons is suboptimal: 1) longer horizon risk factors (value, growth, etc.) increase noise trades and trading costs; 2)... Visit MoneyScience for the Complete Article.    |
| Published / Preprint: Contagion in an interacting economy. (arXiv:1409.2625v1 [physics.soc-ph]) Posted: 09 Sep 2014 05:38 PM PDT We investigate the credit risk model previously introduced by Hatchett and K\"uhn under more general assumptions. We show that the model is exactly solvable in the $N\rightarrow \infty$ limit and that the exact solution is described by a message-passing approach outlined by Karrer and Newman, generalized to include heterogeneous agents and couplings. We provide comparisons with... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Sep 2014 05:38 PM PDT We explicitly test if the reliability of credit ratings depends on the total number of admissible states. We analyse open access credit rating data and show that the effect of the number of states in the dynamical properties of ratings change with time, thus giving supportive evidence that the ideal number of admissible states changes with time. We use matrix estimation methods that explicitly... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Sep 2014 05:38 PM PDT The knowledge base of an economy measured in terms of Triple Helix relations can be analyzed in terms of mutual information among geographical, sectorial, and size distributions of firms as dimensions of the probabilistic entropy. The resulting synergy values of a TH system provide static snapshots. In this study, we add the time dimension and analyze the synergy dynamics using the Norwegian... Visit MoneyScience for the Complete Article.    |
| Posted: 09 Sep 2014 06:07 AM PDT    |
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