Interdependencies in the euro area derivatives clearing network: a multilayer...
This paper provides insight into how the collected data pursuant to the EMIR can be used to shed light on the complex network of interrelations underlying the financial markets.
View ArticleShould we invest more in multinational companies when domestic markets decline?
This paper uses a twenty-year data set of all publicly listed US firms from 1995 to 2014 to create a unique measure of both the extent and the scope of firm-level multinationality.
View ArticleHedging incentives for financial institutions
Using a simple model, this paper derives two results that provide guiding principles for hedging by, and capital regulation of, financial institutions.
View ArticleAn internal default risk model: simulation of default times and recovery...
This paper presents a new default risk model for market risk that is consistent with these requirements. The recovery rates follow a waterfall model that is based on a minimum entropy principle.
View ArticleClik here to view.
A Viral Market Meltdown: Fear or Fundamentals?
It has become almost a rite of passage for investors, at least since 2008, that they will be tested by a market crisis precipitated sometimes by political developments (Brexit), sometimes by...
View ArticleStructural breaks in online investor sentiment: A note on the nonstationarity...
Publication date: Available online 26 February 2020Source: Finance Research LettersAuthor(s): Daniele Ballinari, Simon Behrendt
View ArticleWhich local markets do banks desert first? Evidence from Poland
Publication date: Available online 26 February 2020Source: Finance Research LettersAuthor(s): Krzysztof Jackowicz, Åukasz KozÅowski, PaweÅ Wnuczak
View ArticleDon’t Blame the Quants For Monday’s Stock Rout, Blame the Humans
Donât blame quants for Mondayâs stock rout. Blame the humans https://t.co/ECQaGKk42Z via @markets â mikhail samonov (@msamonov) February 25, 2020
View ArticleThe Myth of Machine Learning Overfitting (Seminar Slides) by Marcos Lopez de...
A popular belief is that Machine Learning is more prone to overfitting than Econometrics. In reality, Econometrics is more likely to overfit due to its: (a)â¦
View ArticleHow Much Money Does the World Owe China?
New research shows that China and its subsidiaries lent about $1.5 trillion to more than 150 countries across the globe â much of which has been hidden fromâ¦
View ArticleEditorial Board
Publication date: March 2020Source: Journal of Empirical Finance, Volume 56Author(s):
View ArticleG. Jeffrey Boujoukos, Director of the Philadelphia Regional Office to Leave...
The Securities and Exchange Commission today announced that G. Jeffrey Boujoukos, the Director of its Philadelphia Regional Office, will leave the agency at the end of the month after nearly 11 years...
View ArticleIn the room where it happens: An investigation of the potential of regulatory...
Keith Black, PhD, CFA, CAIA, FDP, Managing Director of Content Strategy at CAIA Association Do you want to be in the room where it happens, when âThe Smartest Guys in the Roomâ* are plotting their...
View ArticleCascading Losses in Reinsurance Networks. (arXiv:1805.12222v4 [q-fin.RM]...
We develop a model for contagion in reinsurance networks by which primary insurers' losses are spread through the network. Our model handles general reinsurance contracts, such as typical excess of...
View ArticleFirms Default Prediction with Machine Learning. (arXiv:2002.11705v1 [q-fin.RM])
Academics and practitioners have studied over the years models for predicting firms bankruptcy, using statistical and machine-learning approaches. An earlier sign that a company has financial...
View ArticleCorrupted Multidimensional Binary Search: Learning in the Presence of...
Standard game-theoretic formulations for settings like contextual pricing and security games assume that agents act in accordance with a specific behavioral model. In practice however, some agents may...
View ArticleEconometric issues with Laubach and Williams' estimates of the natural rate...
Holston, Laubach and Williams' (2017) estimates of the natural rate of interest are driven by the downward trending behaviour of `other factor' $z_{t}$. I show that their implementation of Stock and...
View ArticleMapping bank securities across euro area sectors: comparing funding and...
In this paper, the authors present new evidence on the structure of euro area securities markets using a multilayer network approach.
View Article
