Value-at-Risk Prediction in R with the GAS Package. (arXiv:1611.06010v1...
GAS models have been recently proposed in time-series econometrics as valuable tools for signal extraction and prediction. This paper details how financial risk managers can use GAS models for...
View ArticleASIC Commences Civil Penalty Proceedings Against State One Stockbroking Ltd...
ASIC has commenced civil penalty proceedings against State One Stockbroking Ltd (State One) in the Federal Court of Australia in Perth for failing to comply with two ASIC Market Integrity Rules (ASX...
View ArticleGTX Hires Edward Brown to Run Swap Execution Facility - Company To Increase...
GTX, the institutional foreign exchange trading arm of GAIN Capital Holdings Inc., today announces the appointment of Edward Brown as Chief Executive Officer (CEO) of GTX SEF, LLC, a Swap Execution...
View ArticleFurther details on the assessment of global systemically import banks
Press release about the Basel Committee publishing further details on the assessment of global systemically import banks (21 November 2016)
View ArticleFSB Publishes 2016 G-SIB List
The Financial Stability Board (FSB), in consultation with the Basel Committee on Banking Supervision (BCBS) and national authorities, today published the 2016 list of global systemically important...
View ArticleICAP Appoints Stuart Connolly As Head Of Client Product Development For Post...
ICAP plc (IAP.L), a leading markets operator and provider of post trade risk mitigation and information services, announces today that it has appointed Stuart Connolly as Head of Client Product...
View ArticleFSB Publishes 2016 G-SII List
The Financial Stability Board (FSB) today published the 2016 list of global systemically important insurers (G-SIIs).read more...
View ArticleChina Renaissance Goes Live With Fidessa
Fidessa group plc (LSE: FDSA) has today announced that China Renaissance, one of the leading investment banking, securities and investment management firms in China, has implemented Fidessa’s Asian...
View ArticleImplications Of The Introduction Of V.A.T. On Businesses In The UAE Seminar
The Canadian Business Council (CBC) – Abu Dhabi, in cooperation with Abu Dhabi Securities Exchange (ADX) are organizing a Panel Discussion on the implications of V.A.T. on the local businesses in the...
View ArticleThomson Reuters Named Benchmark Administrator & Calculation Agent For The...
Thomson Reuters announced today that it was selected as benchmark administrator and calculation agent for the Saudi Arabian Interbank Offer Rate (SAIBOR). The appointment is part of an agreement with...
View ArticleSource - 2017 Market Outlook: Cash And Sovereign Debt Favoured Due To Low...
Investors should expect equities and real estate to deliver the best returns in 2017, according to the 2017 Market Outlook from Source, one of the largest providers of Exchange Traded Funds (ETFs) in...
View ArticleTHEAM Further Strengthens Indexing And ETF Team With Two Additional Hires
THEAM, BNP Paribas Investment Partners’ indexing, model-driven and capital-protected investment specialist, has further strengthened its indexing and ETF team with the appointments of Lorraine...
View ArticleThai Listed Firms’ Q3 Earnings Leap 252 Pct To THB 209 Billion
Companies listed on The Stock Exchange of Thailand (SET) reported a net profit of THB 208.99 billion (approx. USD 6 billion) in Q3/2016, a 251.68 percent rise from Q3/2015, supported by falling costs...
View ArticleSystemic Risk and Interbank Lending. (arXiv:1611.06672v1 [q-fin.MF])
We propose a simple model of inter-bank lending and borrowing incorporating a game feature where the evolution of monetary reserve is described by a system of coupled Feller diffusions. The...
View ArticleQuantifying immediate price impact of trades based on the $k$-shell...
Traders in a stock market exchange stock shares and form a stock trading network. Trades at different positions of the stock trading network may contain different information. We construct stock...
View ArticleModel reduction for calibration of American options. (arXiv:1611.06452v1...
American put options are among the most frequently traded single stock options, and their calibration is computationally challenging since no closed-form expression is available. Due to the higher...
View ArticleInterplay between endogenous and exogenous fluctuations in financial markets....
We address microscopic, agent based, and macroscopic, stochastic, modeling of the financial markets combining it with the exogenous noise. The interplay between the endogenous dynamics of agents and...
View ArticleRegression-based complexity reduction of the dual nested Monte Carlo methods....
In this paper we propose a novel dual regression-based approach for pricing American options. This approach reduces the complexity of the nested Monte Carlo method and has especially simple form for...
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