How neural networks work—and why they’ve become a big business
How neural networks workâand why theyâve become a big businesshttps://t.co/i1rV0At8VV â Financial Technology (@fin_tech) December 6, 2019
View ArticleCall for Papers: Annual Event of Finance Research Letters 2020 - Puerto...
For the Finance Research Letters 2020 conference we would like to invite submission on substantial, original, and unpublished research. The focus of the conference is on financial sustainability and...
View ArticleTaking the Floor: Models, Morals and Management in a Wall Street Trading Room...
Taking the Floor: Models, Morals and Management in a Wall Street Trading Room. Daniel Beunza. Princeton University Press. 2019. Find this book:Â In Taking the Floor: Models, Morals and Management in...
View ArticleCredit valuation adjustment wrong-way risk in a Gaussian copula model
In this paper, we present an analytical expression for CVA with WWR under the assumption of the lognormally distributed trade value.
View ArticleBasel risk weight functions and forward-looking expected credit losses
The authors establish that the combination of lifetime ECL and the Basel Capital Adequacy Framework, which relies on a one-year horizon, results in capital overestimation. Alongside this finding, and...
View ArticleCosts of capital under credit risk
In cost-of-capital computations, credit risk is only taken into consideration at the level of the debt beta approach. We show that applications of the debt beta approach in company valuation suffer...
View ArticleThe Geometry of Pitch Class Sets
Strange Spaces in Music TheoryContinue reading on Cantorâs Paradise »
View ArticleCyber risk management: an actuarial point of view
This paper points out the peculiarities of cyber insurance contracts compared with the classical nonlife insurance contracts from both the insurerâs and the insuredâs perspectives. The main...
View ArticleEstimation of value-at-risk for conduct risk losses using pseudo-marginal...
The authors propose a model for conduct risk losses, in which conduct risk losses are characterized by having a small number of extremely large losses (perhaps only one) with more numerous smaller losses.
View ArticleBrent crude oil spot and futures prices: structural break insights
This study focuses on the analysis of long-run and short-run relationships between Brent crude oil spot and futures prices during the first Gulf War (1990â91) and the global financial crisis.
View ArticleHow to Evaluate Smart Beta ETFs
By Nicolas Rabener of FactorResearch (@FactorResearch) Beta is like ice cream and comes in many flavors. Broadly we can categorize it into the following four types: Plain beta: Market...
View ArticleAnalysis of the Risk-Sharing Principal-Agent problem through the...
In this paper we provide an alternative framework to tackle the first-best Principal-Agent problem under CARA utilities. This framework leads to both a proof of existence and uniqueness of the solution...
View ArticleBitMEX Funding Correlation with Bitcoin Exchange Rate. (arXiv:1912.03270v1...
This paper examines the relationship between Inverse Perpetual Swap contracts, a Bitcoin derivative akin to futures and the margin funding interest rates levied on BitMEX. This paper proves the...
View ArticleThe international effects of central bank information shocks....
We explore the international transmission of monetary policy and central bank information shocks by the Federal Reserve and the European Central Bank. Identification of these shocks is achieved by...
View ArticleThe Choice of When to Buy and When To Sell. (arXiv:1912.02869v1 [econ.GN])
A consumer who wants to consume a good at a particular period may nevertheless attempt to buy it earlier if he is concerned that the good will otherwise be sold. We analyze the behavior of consumers in...
View ArticleFrom workers to capitalists in less than two generations: the Chinese urban...
The transformation of China from a poor and egalitarian country to an upper middle-income country with the level of income inequality greater than in the United States has been the subject of...
View ArticleMoneyScience: Collected Investopedia Guides to Quants - The Rocket Scientists...
Resource: Collected Investopedia Guides to Quants - The Rocket Scientists of Wall Street https://t.co/XvTfBNtYeo â moneyscience (@moneyscience) December 9,â¦
View ArticleEight AI and Machine Learning Practices Defined and Explained.
Eight AI and Machine Learning Practices Defined and Explained. https://t.co/fc4W5R8X2c â Towards Data Science (@TDataScience) December 9, 2019
View ArticleMoneyScience: Blog - Finance and Philosophy
Resource: Blog - Finance and Philosophy https://t.co/QHWAJP43xs â moneyscience (@moneyscience) December 9, 2019
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