Measuring expected shortfall under semi-parametric expected shortfall...
In this paper, the authors investigate the applicability of semi-parametric approaches for estimating expected shortfall.
View ArticleSEC Issues Agenda for Nov. 4 Meeting of the Fixed Income Market Structure...
(function($){ $(document).ready(function() { $(".submitcommentslink").each(function(idx, lnk) { $(lnk).click(function(e) { e.preventDefault(); $(".comment-form").submit(); }); }); }); })(jQuery); The...
View ArticleSEC Charges International Security-Based Swaps Dealer That Targeted U.S....
The Securities and Exchange Commission today charged XBT Corp. SARL d/b/a First Global Credit, a Switzerland-based securities dealer, for offering and selling unregistered security-based swaps to U.S....
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It's Time to Go
When I released my first post on the blog on 20th. Febuary 2011 I really wasn't sure what to expect! After all, I was aiming to reach a somewhat niche audience.Well, 949 posts and 7.4 million page-hits...
View ArticleOption-based Equity Risk Premiums. (arXiv:1910.14522v1 [q-fin.CP])
We construct the term structure of the (forward-looking, US market) equity risk premium from SPX option chains. The method is "model-light". Risk-neutral probability densities are estimated by fitting...
View ArticleCredit risk with asymmetric information and a switching default threshold....
We investigate the impact of available information on the estimation of the default probability within a generalized structural model for credit risk. The traditional structural model where default is...
View ArticleMarkov Chain Approximation of One-Dimensional Sticky Diffusions....
We develop continuous time Markov chain (CTMC) approximation of one-dimensional diffusions with a lower sticky boundary. Approximate solutions to the action of the Feynman-Kac operator associated with...
View ArticlePower Laws without Gibrat's Law. (arXiv:1910.14023v1 [econ.GN])
This paper shows that the power law property of the firm size distribution is a robust prediction of the standard entry-exit model of firm dynamics. Only one variation is required: the usual...
View ArticleLong-Run versus Short-Run News and the Term Structure of Equity
Publication date: Available online 31 October 2019Source: Finance Research LettersAuthor(s): Matthijs Breugem, Roberto MarfèAbstractWe study the impact of rational learning on the term structures of...
View ArticleModelling liquidity management in Islamic banks from a microeconomic perspective
Publication date: Available online 1 November 2019Source: Finance Research LettersAuthor(s): Mouldi DJELASSI, Jamel BOUKHATEMAbstractThe main objective of this paper is to examine the determinants of...
View ArticleOpening Remarks at Conversations on Raising Capital for Businesses of Color...
Opening Remarks at Conversations on Raising Capital for Businesses of Color at Morehouse College Martha Miller Advocate for Small Business Capital Formation October 24, 2019
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