Federal Reserve Issues FOMC Statement
Information received since the Federal Open Market Committee met in February indicates that the labor market has continued to strengthen and that economic activity has continued to expand at a moderate...
View ArticleReadout From A Treasury Spokesperson Of Secretary Mnuchinâs Call With...
U.S. Secretary of the Treasury Steven Mnuchin spoke by phone yesterday with Republic of India Minister of Finance Arun Jaitley. read more...
View ArticleFederal Reserve Board And Federal Open Market Committee Release Economic...
The attached table and charts released on Wednesday summarize the economic projections and the target federal funds rate projections made by Federal Open Market Committee participants for the March...
View ArticleEBA Issues Opinion On Measures To Address Macroprudential Risk
The European Banking Authority (EBA) published today an Opinion following the notification by the National Bank of Belgium (NBB) of its intention to modify capital requirements in order to address an...
View ArticleReminder And Amendment Qatar Within FTSE Global Equity Index Series
As per announcement made by FTSE on March 1, 2017, “ Treatment of Qatar within FTSE Global Equity Index Series”, 20 of the 22 companies selected in September 2016 will see their investibility weights...
View ArticleEEX To Continue Polish Emissions Auctions â Auction Calendar 2017 Adjusted
The European Energy Exchange (EEX) and the Polish Ministry of the Environment have concluded an agreement under which EEX, in its capacity as the common EU auction platform, will auction off the Polish...
View ArticleCFTC 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...
View ArticleCME Group Announces Rutgers University Wins 14th Annual Trading Challenge -...
CME Group, the world's leading and most diverse derivatives marketplace, today announced the winners of its 14th annual CME Group Trading Challenge, including the first-place winners from Rutgers...
View ArticleWrite Your Company's Obituary
James Allen, co-leader of Bain Consulting's global strategy practice, has written a good article for the Wall Street Journal about how firms can avoid the fate of once-proud industry leaders such as...
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