Monday, February 9, 2015

MoneyScience News

MoneyScience News

Blog Post: TheFinancialServicesClub: Another bank scandal [HSBC], another day

Posted: 09 Feb 2015 12:37 AM PST

Is it just me, or is it the media that makes out bankers are a slime pool swirling cesspit of scum?  The reason I ask is that there seems to be non-stop headlines of fiddling bankers doing dirty deeds.read more...

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Vendor News: Infosys Finacle Positioned as a Leader in IDC MarketScape of Worldwide Core Banking Solution Providers

Posted: 08 Feb 2015 10:36 PM PST

Infosys today announced that Infosys Finacle has been positioned as a leader in the IDC MarketScape of worldwide core banking solution providers.

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Blog Post: Luigi.Ballabio: Odds and ends: global settings

Posted: 08 Feb 2015 10:05 PM PST

Published / Preprint: Convex duality with transaction costs. (arXiv:1502.01735v1 [q-fin.MF])

Posted: 08 Feb 2015 05:36 PM PST

Convex duality for two two different super--replication problems in a continuous time financial market with proportional transaction cost is proved. In this market, static hedging in a finite number of options, in addition to usual dynamic hedging with the underlying stock, are allowed. The first one the problems considered is the model--independent hedging that requires the super--replication to...

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Published / Preprint: Archimedean-based Marshall-Olkin Distributions and Related Copula Functions. (arXiv:1502.01912v1 [q-fin.MF])

Posted: 08 Feb 2015 05:36 PM PST

A new class of bivariate distributions is introduced that extends the Generalized Marshall-Olkin distributions of Li and Pellerey (2011). Their dependence structure is studied through the analysis of the copula functions that they induce. These copulas, that include as special cases the Generalized Marshall-Olkin copulas and the Scale Mixture of Marshall-Olkin copulas (see Li, 2009),are obtained...

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Published / Preprint: Systemic Risk with Exchangeable Contagion: Application to the European Banking System. (arXiv:1502.01918v1 [q-fin.MF])

Posted: 08 Feb 2015 05:36 PM PST

We propose a model and an estimation technique to distinguish systemic risk and contagion in credit risk. The main idea is to assume, for a set of $d$ obligors, a set of $d$ idiosyncratic shocks and a shock that triggers the default of all them. All shocks are assumed to be linked by a dependence relationship, that in this paper is assumed to be exchangeable and Archimedean. This approach is able...

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