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Blog Post: TheFinancialServicesClub: Bank systems are not safe (anymore) 27 Aug 2013 | 02:30 pm
I used to think that we were good at designing systems. We would phase test them, user test them, stress test them and more, and eventually we would roll out the system and it would work. And life w...
Blog Post: TheAlephBlog: Update on Promoted Stocks 27 Aug 2013 | 01:48 pm
Let’s trot out the promoted stock scoreboard:read more...
Published / Preprint: 27Aug/Report to G20 Leaders on monitoring implementation of Basel III regulatory reforms issued by the Basel Committee 27 Aug 2013 | 01:12 pm
"Report to G20 Leaders on monitoring implementation of Basel III regulatory reforms" issued by the Basel Committee (27 August 2013)
Published / Preprint: Energy, entropy, and arbitrage. (arXiv:1308.5376v1 [q-fin.PM]) 27 Aug 2013 | 05:33 am
We introduce a framework to analyze the relative performance of a portfolio with respect to a benchmark market index. We show that this relative performance has three components: a term that can be in...
Published / Preprint: Following a Trend with an Exponential Moving Average: Analytical Results for a Gaussian Model. (arXiv:1308.5658v1 [q-fin.ST]) 27 Aug 2013 | 05:33 am
We investigate how price variations of a stock are transformed into profits and losses (P&Ls) of a trend following strategy. In the frame of a Gaussian model, we derive the probability distribution of...
Published / Preprint: 26Aug/Macroeconomic impact assessment of OTC derivatives regulatory reforms report issued by the Macroeconomic Assessment Group ... 26 Aug 2013 | 01:08 pm
Press release about the "Macroeconomic impact assessment of OTC derivatives regulatory reforms" report published by the Macroeconomic Assessment Group on Derivatives (MAGD) (BIS Press Release 26 Augus...
Blog Post: Falkenblog: AQR's Quality at a Reasonable Price 26 Aug 2013 | 09:08 am
Our intrepid equity researchers at AQR have come out with a new paper adding to the color on how to pick a strategy given value considerations. In Asness, Frazzini and Pedersen's latest paper, Qualit...
Published / Preprint: A Taylor series approach to pricing and implied vol for LSV models. (arXiv:1308.5019v1 [q-fin.CP]) 26 Aug 2013 | 05:38 am
Using classical Taylor series techniques, we develop a unified approach to pricing and implied volatility for European-style options in a general local-stochastic volatility setting. Our price approxi...
Published / Preprint: Solvable models of operational risk and new results on the correlation problem. (arXiv:1308.5064v1 [q-fin.RM]) 26 Aug 2013 | 05:38 am
Operational risk capital charge is very sensitive to the modeling assumptions. In this paper, we consider a class of exactly solvable models of operational risk and we obtain new results on the correl...
Published / Preprint: Computation of ruin probabilities for general discrete-time Markov models. (arXiv:1308.5152v1 [q-fin.RM]) 26 Aug 2013 | 05:38 am
We study the ruin problem over a risk process described by a discrete-time Markov model. In contrast to previous studies that focused on the asymptotic behaviour of ruin probabilities for large values...
