Value-at-Risk: The Effect of Autoregression in a Quantile Process....
Value-at-Risk (VaR) is an institutional measure of risk favored by financial regulators. VaR may be interpreted as a quantile of future portfolio values conditional on the information available, where...
View ArticleThe topology of card transaction money flows. (arXiv:1605.04938v1 [q-fin.GN])
Money flow models are essential tools to understand different economical phenomena, like saving propensities and wealth distributions. In spite of their importance, most of them are based on synthetic...
View ArticleOCC Responds To S&P Announcement On Credit Rating Watch
OCC, the world’s largest equity derivatives clearing organization, today issued the following statement in response to Standard and Poor’s (S&P) announcement that OCC’s credit rating has been...
View ArticleCME Group Declares Dividend
CME Group Inc., the world's leading and most diverse derivatives marketplace, today declared a second-quarter dividend of $0.60 per share, payable June 27, 2016, to shareholders of record as of June...
View ArticleRemarks At The Financial Accounting Foundation Board Of Trustees Dinner,...
Good evening. Thank you, Terri [Polley], for that introduction.read more...
View ArticleDalian Commodity Exchange Cancels The Preferential Policies On Intra-day...
On May 12, Dalian Commodity Exchange (DCE) issued a notice to announce that starting from the trading on May 16 (the after-hours trading session on the evening of May 13), the preferential policies on...
View ArticleNew: Local Volatility Under Stochastic Interest Rates Using Mixture Models
A key requirement of any equity hybrid derivatives pricing model is the ability to rapidly and accurately calibrate to vanilla option prices. To this end, we present two methods for calibrating a local...
View ArticleNew Zealand: Market Wobbles Dent Confidence But Investors Are Positive About...
Confidence in New Zealand’s markets fell slightly in the last 12 months to 56% this year from 60% in 2015, following a year of uncertainty and turmoil in the markets. Confidence is higher among...
View ArticleGlobal Fund Managers Show Keen Interest In Malaysiaâs Stock Market
Invest Malaysia 2016 London (IM2016 London) received overwhelming demand from global fund managers to meet with the Prime Minister, policy makers, and public listed companies, on the capital market...
View ArticleJoint Announcement From London Stock Exchange Group Plc (âLSEGâ)...
LSEG and Deutsche Börse continue to make good progress with the preparation of the relevant documentation for their shareholders (the “Shareholder Documents”) in relation to the recommended all-share...
View ArticleItiviti Delivers Multi-Protocol Automated Testing Solution To The Canadian...
Itiviti, a world-leading technology provider for the capital markets industry, today announced that the Canadian Securities Exchange (CSE) has engaged Itiviti to implement a test automation solution...
View ArticleNasdaq Stockholm Orders Capio To Pay A Fine Corresponding To One Annual Fee
The Disciplinary Committee of Nasdaq Stockholm (“the Exchange”) has ruled that Capio AB (“Capio”) has breached Nasdaq Stockholm’s Rule Book for Issuers (“the Rule Book”) and has therefore ordered Capio...
View ArticlePTMC Trading Platform Now Available Via OANDA
PFSOFT, a developer of professional trading software for banks, prime brokers, retail brokers and individual traders, today announced its partnership with OANDA, one of the leading global providers of...
View ArticleSemi - Annual Review Of ATHEX Index Series
ATHEX Index Series Advisory Committee approved today the following changes in the composition of the ATHEX Index Series, taking into consideration the results of the review for the period October 2015...
View ArticleIndexing Forum 2016 With SIX Swiss Exchange
SIX Swiss Exchange will take part in a panel discussion on smart beta at the Indexing Forum organized by "Finanz und Wirtschaft."read more...
View ArticleMinutes Of The Federal Open Market Committee, April 26-27, 2016
The Federal Reserve Board and the Federal Open Market Committee on Wednesday released the attached minutes of the Committee meeting held on April 26-27, 2016.read more...
View ArticleNYSE - Technical Issue Resolved
NYSE experienced a technical issue in one trading unit, which affected a subset of symbols listed on the NYSE Market Status website here. All open orders, including MOC and LOC orders, were cancelled....
View ArticleAutorité Des Marchés Financiers: Cyber Risks -...
Financial institutions operating in Québec are concerned about the cybersecurity threats facing them. They are adopting concrete measures to protect their operations while recognizing that further...
View ArticleCFTC Swaps Report Update
CFTC's Weekly Swaps Report has been updated, and is now available.read more...
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