MoneyScience News |
- Blog Post: TheAlephBlog: Possible Bond ETF Problems
- European Spreadsheet Risks Interest Group - spreadsheet risk management and solutions conference
- Published / Preprint: A Systemic Stress Test Model in Bank-Asset Networks. (arXiv:1410.0104v1 [q-fin.RM])
- Published / Preprint: The Fourier estimation method with positive semi-definite estimators. (arXiv:1410.0112v1 [q-fin.ST])
- Published / Preprint: Systemic Interbank Network Risks in Russia. (arXiv:1410.0125v1 [physics.soc-ph])
- Published / Preprint: On the convergence of the Fitness-Complexity Algorithm. (arXiv:1410.0249v1 [q-fin.EC])
- Blog Post: TheFinancialServicesClub: We are not being disrupted, just rearchitected [#SIBOS]
| Blog Post: TheAlephBlog: Possible Bond ETF Problems Posted: 02 Oct 2014 04:17 AM PDT Photo Credit: Penn Stateread more... Visit MoneyScience for the Complete Article.      |
| European Spreadsheet Risks Interest Group - spreadsheet risk management and solutions conference Posted: 02 Oct 2014 02:39 AM PDT Peer code review is always a good idea, see what happens when spreadsheets aren't reviewed http://t.co/iDPx0ZjMYv … via @ORatWork — Jean-François Puget… Visit MoneyScience for the Complete Article.    |
| Posted: 01 Oct 2014 05:40 PM PDT Financial networks are dynamic and to assess systemic importance and avert losses we needs models which take the time variations of the links and nodes into account. We develop a model that can predict the response of the financial network to a shock and propose a measure for the systemic importance of the banks, which we call BankRank. Using the European Bank Authority 2011 stress test exposure... Visit MoneyScience for the Complete Article.    |
| Posted: 01 Oct 2014 05:40 PM PDT In this paper we present a slight modification of the Fourier estimation method of the spot volatility (matrix) process of a continuous It\^o semimartingale where the estimators are always non-negative definite. Since the estimators are factorized, computational cost will be saved a lot. Visit MoneyScience for the Complete Article.    |
| Posted: 01 Oct 2014 05:40 PM PDT Modelling of contagion in interbank networks is discussed. A model taking into account bow-tie structure and dissasortativity of interbank networks is developed. The model is shown to provide a good quantitative description of the Russian interbank market. Detailed arguments favoring the non-percolative nature of contagion-related risks in the Russian interbank market are given. Visit MoneyScience for the Complete Article.    |
| Posted: 01 Oct 2014 05:40 PM PDT We investigate the convergence properties of an algorithm which has been recently proposed to measure the competitiveness of countries and the quality of their exported products. These quantities are called respectively Fitness F and Complexity Q. The algorithm was originally based on the adjacency matrix M of the bipartite network connecting countries with the products they export, but can be... Visit MoneyScience for the Complete Article.    |
| Blog Post: TheFinancialServicesClub: We are not being disrupted, just rearchitected [#SIBOS] Posted: 01 Oct 2014 01:21 PM PDT I had this chat with a banking friend, and realised when he used the word disruption for the eighth time that this is the word of the year.read more... Visit MoneyScience for the Complete Article.    |
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