Report On Financial Structures Details Structural Changes In The Euro Area...
The euro area banking sector consolidated further in 2015, according to the ECB’s 2016 Report on Financial Structures, which is published today. The report also finds that banks’ capital ratios...
View ArticleRemarks At The PCAOB Investor Advisory Group Meeting, SEC Chair Mary Jo...
Thank you for the invitation and opportunity to be here. And thank you Chairman Doty for your continuing strong leadership of the PCAOB and Steve Harris for your chairmanship of the Investor Advisory...
View ArticleMIAX Options Exchange: MIAX Options - November 1, 2016 Fee Changes
Effective November 1, 2016, pending SEC approval, the MIAX Options Fee Schedule will be amended.read more...
View ArticleExistence and uniqueness results for BSDEs with jumps: the whole nine yards....
This paper is devoted to obtaining a wellposedness result for multidimensional BSDEs with possibly unbounded random time horizon and driven by a general martingale in a filtration only assumed to...
View ArticleTheory of earthquakes interevent times applied to financial markets....
We analyze the probability density function (PDF) of waiting times between financial loss exceedances. The empirical PDFs are fitted with the self-excited Hawkes conditional Poisson process with a long...
View ArticleIncome and wealth distribution of the richest Norwegian individuals: An...
Using the empirical data from the Norwegian tax office, we analyse the wealth and income of the richest individuals in Norway during the period 2010--2013. We find that both annual income and wealth...
View ArticleAsymptotics for rough stochastic volatility models. (arXiv:1610.08878v1...
Using the large deviation principle (LDP) for a re-scaled fractional Brownian motion $B^H_t$ where the rate function is defined via the reproducing kernel Hilbert space, we compute small-time...
View ArticleAgnostic Risk Parity: Taming Known and Unknown-Unknowns. (arXiv:1610.08818v1...
Markowitz' celebrated optimal portfolio theory generally fails to deliver out-of-sample diversification. In this note, we propose a new portfolio construction strategy based on symmetry arguments only,...
View ArticleThe dual representation problem of risk measures. (arXiv:1610.08806v1...
The objective of this paper is to present a comprehensive study of the dual representation problem of risk measures and convex functionals on a Banach lattice $X$. Of particular interest is the case...
View ArticleIntrinsic risk measures. (arXiv:1610.08782v1 [q-fin.RM])
Monetary risk measures are usually interpreted as the smallest amount of external capital that must be added to a financial position to make it acceptable. We propose a new concept: intrinsic risk...
View ArticleEquity Market Impact Modeling: an Empirical Analysis for Chinese Market....
Market impact has become a subject of increasing concern among academics and industry experts. We put forward a price impact model which considers the heteroscedasticity of price in the time dimension...
View ArticleOn exponential functionals of processes with independent increments....
In this paper we study the exponential functionals of the processes $X$ with independent increments , namely$$I\_t= \int \_0^t\exp(-X\_s)ds, \_,\,\, t\geq 0,$$ and also$$I\_{\infty}= \int...
View Article$\kappa$-generalized models of income and wealth distributions: A survey....
The paper provides a survey of results related to the "$\kappa$-generalized distribution", a statistical model for the size distribution of income and wealth. Topics include, among others, discussion...
View ArticleUtility Maximization and Indifference Value under Risk and Information...
In this article we consider an optimization problem of expected utility maximization of continuous-time trading in a financial market. This trading is constrained by a benchmark for a utility-based...
View ArticlePortfolio Benchmarking under Drawdown Constraint and Stochastic Sharpe Ratio....
We consider an investor who seeks to maximize her expected utility derived from her terminal wealth relative to the maximum performance achieved over a fixed time horizon, and under a portfolio...
View ArticleBSX CEO Comments On The Collaboration And Growth Of The Global ILS Industry
In a press release issued by ILS Bermuda, Bermuda Stock Exchange CEO Greg Wojciechowski, comments on the Global ILS Industry. The filing stated:read more...
View ArticleJapan Exchange Group: Consolidated Financial Results For The Six Months Ended...
During the consolidated cumulative second quarter (from April 1, 2016 to September 30, 2016), the Group recorded operating revenue of ¥52,882 million (8.7% decrease from the same period of the previous...
View ArticleUBS's Third-Quarter 2016 Results - UBS 3Q Adjusted Pre-Tax Profit Up 33% -...
Quarterly reportread more...
View ArticleJohannesburg Stock Exchange (JSE) Spire Awards Showcase Excellence In Fixed...
ABSA Capital, Rand Merchant Bank (RMB) and Nedbank took home the big awards of the evening at the 15th annual Spire awards as the winners of the Best Bonds House, Best Fixed Income and Currencies...
View ArticleBME Posts A Net Profit Of â¬121 Million To The End Of September
BME net profit for the first nine months of 2016 totaled €121 million, a decrease of 8.6% on the year ago figure. Third quarter net profit decreased 14.3%, to €35.1 million. The general slowdown in...
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