CFTC Swaps Report Update
CFTC's Weekly Swaps Report has been updated, and is now available.read more...
View ArticleTreasury International Capital Data For January
The U.S. Department of the Treasury today released Treasury International Capital (TIC) data for January 2017. The next release, which will report on data for February 2017, is scheduled for April 17,...
View ArticleOffice Of The Comptroller Of The Currency Issues Draft Licensing Manual...
The Office of the Comptroller of the Currency (OCC) today provided additional detail on evaluating national bank charter applications from financial technology (fintech) companies that engage in the...
View ArticleEBA Updates List Of OSIIs In The EU
The European Banking Authority (EBA) updated today the 2016 list of Other Systemically Important Institutions (O-SIIs) in the EU. O-SIIs - those institutions which, along with Global Systemically...
View ArticleIMF Managing Director Welcomes Establishment Of High Level Advisory Group On...
Christine Lagarde, Managing Director of the International Monetary Fund (IMF), today welcomed the establishment of the Fund’s new High Level Advisory Group on FinTech.read more...
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Redacted Version of the March 2017 FOMC Statement
Photo Credit: Norman Maddeauxread more...
View ArticleHumans of Simulated New York (HOSNY): an exploratory comprehensive model of...
The model presented in this paper experiments with a comprehensive simulant agent in order to provide an exploratory platform in which simulation modelers may try alternative scenarios and...
View ArticleShort-time near-the-money skew in rough fractional volatility models....
We consider rough stochastic volatility models where the driving noise of volatility has fractional scaling, in the "rough" regime of Hurst parameter $H < 1/2$. This regime recently attracted a lot...
View ArticlePerfect hedging in rough Heston models. (arXiv:1703.05049v1 [q-fin.MF])
Rough volatility models are known to reproduce the behavior of historical volatility data while at the same time fitting the volatility surface remarkably well, with very few parameters. However,...
View ArticleData driven partition-of-unity copulas with applications to risk management....
We present a constructive and self-contained approach to data driven general partition-of-unity copulas that were recently introduced in the literature. In particular, we consider Bernstein-, negative...
View ArticleSystemic Risk, Maximum Entropy and Interbank Contagion. (arXiv:1703.04549v1...
We discuss the systemic risk implied by the interbank exposures reconstructed with the maximum entropy method. The maximum entropy method severely underestimates the risk of interbank contagion by...
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Valuation Handbook: Guide to Cost of Capital 2002, Essentials Edition
This publication provides business valuation professionals with 15 years of historical data that they can use to support their analysis of a company's risk and cost of capital. The data allows...
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Valuation Handbook: U.S. Guide to Cost of Capital 2003, Essentials Edition
This publication provides business valuation professionals with 15 years of historical data that they can use to support their analysis of a company's risk and cost of capital. The data allows...
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Valuation Handbook - Guide to Cost of Capital 2004 Essentials Edition
This publication provides business valuation professionals with 15 years of historical data that they can use to support their analysis of a company's risk and cost of capital. The data allows...
View ArticleClik here to view.
Valuation Handbook: U.S. Guide to Cost of Capital 2005, Essentials Edition
This publication provides business valuation professionals with 15 years of historical data that they can use to support their analysis of a company's risk and cost of capital. The data allows...
View ArticleClik here to view.
Valuation Handbook: Guide to Cost of Capital 2007, Essentials Edition
This publication provides business valuation professionals with 15 years of historical data that they can use to support their analysis of a company's risk and cost of capital. The data allows...
View ArticleClik here to view.
Valuation Handbook: Guide to Cost of Capital 2008, Essentials Edition
This publication provides business valuation professionals with 15 years of historical data that they can use to support their analysis of a company's risk and cost of capital. The data allows...
View ArticleClik here to view.
Valuation Handbook: Guide to Cost of Capital 2009, Essentials Edition
This publication provides business valuation professionals with 15 years of historical data that they can use to support their analysis of a company's risk and cost of capital. The data allows...
View ArticleClik here to view.
Valuation Handbook: Guide to Cost of Capital 2010, Essentials Edition
This publication provides business valuation professionals with 15 years of historical data that they can use to support their analysis of a company's risk and cost of capital. The data allows...
View ArticleClik here to view.
Valuation Handbook: U.S. Guide to Cost of Capital 2012, Essentials Edition
This is a publication provides business valuation professionals with 15 years of historical data that they can use to support their analysis of a company's risk and cost of capital. The data allows...
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