Repo Haircuts and Economic Capital. (arXiv:1604.05404v1 [q-fin.PR])
This article presents a model of haircuts and economic capital for repo. We propose a credit approach to solve haircuts such that the exposure to market risk meets a prescribed credit rating scale...
View ArticleEEX: Schweizerische Bundesbahnen SBB Discloses Insider Information On Power...
EEX welcomes Schweizerische Bundesbahnen SBB as 8th data provider in Switzerland. Schweizerische Bundesbahnen SBB will begin to provide generation data to the platform “Transparency in Energy Markets“...
View ArticleCFTC And Three Canadian Authorities Sign Counterparts To MOU To Enhance...
The U.S. Commodity Futures Trading Commission (CFTC) announced today that CFTC Chairman Timothy Massad signed Counterparts with authorities in three Canadian provinces to a 2014 Memorandum of...
View ArticleFINRA Securities Helpline For Seniors Marks First Year, With $1.3 Million...
The Financial Industry Regulatory Authority (FINRA) today marks the one-year anniversary of the FINRA Securities Helpline for Seniors 1-844-57-HELPS (1-844-574-3577). To date, the helpline has fielded...
View ArticleCFTC Swaps Report Update
CFTC's Weekly Swaps Report has been updated, and is now available.read more...
View ArticleSIFMA Statement On EMSAC Recommendations On Trading Venue Regulations And...
SIFMA today issued the following statement from Randy Snook, SIFMA executive vice president of business policies and practices, on the Equity Market Structure Advisory Committee’s (EMSAC) subcommittee...
View ArticleRandom factor approach for large sets of equity time-series....
Factor models are commonly used in financial applications to analyze portfolio risk and to decompose it to loadings of risk factors. A linear factor model often depends on a small number of...
View ArticleMultidimensional matching. (arXiv:1604.05771v1 [q-fin.EC])
We present a general analysis of multidimensional matching problems with transferable utility, paying particular attention to the case in which the dimensions of heterogeneity on the two sides of the...
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Japan's Financial Services Agency: Exchange Of Letters On Cooperation In The...
The Financial Services Agency (FSA) and the Certified Public Accountants and Auditing Oversight Board (CPAAOB) exchanged the Letters on cooperation in the area of audit oversight with the Haut Conseil...
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SIX Swiss Exchange: Trading Commences On XBTR, A Bilateral Trading Platform...
On April 15 trading commenced on XBTR, the bilateral trading platform for structured products from SIX Swiss Exchange. The two participants of the platform, Leonteq and Credit Suisse became the first...
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