A systemic shock model for too big to fail financial institutions....
In this paper we study the distributional properties of a vector of lifetimes in which each lifetime is modeled as the first arrival time between an idiosyncratic shock and a common systemic shock....
View ArticleOn a pricing problem for a multi-asset option with general transaction costs....
We consider a Black-Scholes type equation arising on a pricing model for a multi-asset option with general transaction costs. The pioneering work of Leland is thus extended in two different ways: on...
View ArticleTehran Stock Exchange Bulletin - March 2017
Click here to download Tehran Stock Exchange's monthly bulletin.
View ArticleDGCX Opens-Up Access To The Chinese Bullion Market With The Historic Launch...
The Dubai Gold and Commodities Exchange (DGCX) today announced the historic launch of DGCX Shanghai Gold Futures (DSGC), following the signing of a landmark deal with the Shanghai Gold Exchange (SGE)...
View ArticleThe Saudi Stock Exchange Announces The Publication Of The Weekly Stock Market...
The total value of shares traded for the week ending 6 April 2017 amounted to SAR 15.14 billion, increasing by 5.70% over the previous week; while total stock market capitalization reached SAR...
View ArticleNZX Board Appoints Mark Peterson As CEO
The NZX Board has today announced the appointment of Mark Peterson as its new CEO, effective immediately.read more...
View ArticleSGX Welcomes UnUsUaL Limited To Catalist
Singapore Exchange (SGX) today welcomed UnUsUaL Limited to Catalist under the stock code “1D1”. read more...
View ArticleSET Market Report For March 2017
The Stock Exchange of Thailand (SET) index ended March at 1,575.11 points, rising 2.08 percent from the end of 2016. Capital inflows to emerging markets in Asia propelled the Thai bourse, with foreign...
View ArticleSIX Simplifies Challenge Of Automatic Exchange Of Information - New Service...
OECD member states agreed to the automatic exchange of tax information (AEoI) in 2014. The rule affects individuals with accounts outside their country of tax residence and has been designed to reduce...
View ArticleFCA And PRA Investigations Into Jes Staley And Barclays
Barclays PLC and Barclays Bank PLC (Barclays) announce that the Financial Conduct Authority (FCA) and the Prudential Regulation Authority (PRA) have commenced investigations into:read more...
View ArticleAbu Dhabi Global Market Revises Capital Requirements Of Managers Of...
The Financial Services Regulatory Authority (FSRA) of Abu Dhabi Global Market (ADGM) has revised the capital requirements applicable to managers of collective investment funds (CIF) with immediate...
View ArticleNasdaq Dubai To Launch âMarket Siteâ, The Premier Hub For Capital...
Nasdaq Dubai, the region’s international stock exchange, today announced it will create a premier platform for capital market, economic, and business thought leadership. Named ‘Market Site’, the venue...
View ArticleScarcity effects of QE: A transaction-level analysis in the Bund market
This paper investigates the scarcity effects of quantitative easing (QE) policies, drawing on intra-day transaction-level data for German government bonds, purchased under the public sector purchase...
View Article[1704.02160] A systemic shock model for too big to fail financial institutions
A systemic shock model for too big to fail financial institutions https://t.co/H4XdAMmBRY â Quant News (@QuantNews_com) April 10, 2017
View ArticleITG Releases March 2017 U.S. Trading Volume
NEW YORK, April 10, 2017 (GLOBE NEWSWIRE) -- ITG (NYSE:ITG), a leading independent broker and financial technology provider, today announced that March 2017 U.S. trading volume was 3.7 billion shares...
View ArticlePopulation and Civil War -- by Daron Acemoglu, Leopoldo Fergusson, Simon Johnson
Medical and public health innovations in the 1940s quickly resulted in significant health improvements around the world. Countries with initially higher mortality from infectious diseases experienced...
View ArticleTop Income Inequality in the 21st Century: Some Cautionary Notes -- by Fatih...
We revisit recent empirical evidence about the rise in top income inequality in the United States, drawing attention to four key issues that we believe are critical for an informed discussion about...
View ArticleThe Productivity Advantage of Serial Entrepreneurs -- by Kathryn L. Shaw,...
Serial entrepreneurs, who open more than one business, are found to have higher sales and higher productivity than novice entrepreneurs, who open one business. Using panel data on entrepreneurs and...
View ArticleDistributional Impacts of Energy Taxes -- by William A. Pizer, Steven Sexton
Despite popularity among economists for their efficiency, energy pollution taxes enjoy less political support than standards-based regulation because of common perceptions that they burden the poor...
View ArticleIs Post-Crisis Bond Liquidity Lower? -- by Mike Anderson, Rene M. Stulz
Price-based liquidity metrics are much better for small trades after the crisis than before the crisis. For large trades, these metrics are generally worse from 2010 to 2012 and better from 2013 to...
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