Archive for the 'Crisis' Category



04
Oct
11

Gráfico du Jour: Liquidez de Bancos Europeos

(Fuente ESIEB Research, via Zero Hedge)

04
Oct
11

Paper: El rol del Default en Macroeconomía

The Role of Default in Macroeconomics

Abstract
What is the main limitation of much modern macro-economic theory, among the failings pointed out by William R. White at the 2010 Mayekawa Lecture? We argue that the main deficiency is a failure to incorporate the possibility of default, including that of banks, into the core of the analysis. With default assumed away, there can be no role for financial intermediaries, for financial disturbances, or even for money. Models incorporating defaults are, however, harder to construct, in part because the representative agent fiction must be abandoned. Moreover, financial crises are hard to predict and to resolve. All of the previously available alternatives for handling failing systemically important financial institutions (SIFIs) are problematical. We end by discussing a variety of current proposals for improving the resolution of failed SIFIs.

Link al Paper

28
Sep
11

Paper: CDS, transacciones

An Analysis of CDS Transactions: Implications for Public Reporting

Abstract

Ongoing regulatory reform efforts aim to make the over-the-counter derivatives market more transparent by introducing public reporting of transaction-level information, including price and volume of trades. However, to date there has been a scarcity of data on the structure of trading in this market. This paper analyzes three months of global credit default swap (CDS) transactions and presents findings on the market composition, trading dynamics, and level of standardization. We find that trading activity in the CDS market is relatively low, with a majority of reference entities for single-name CDS trading less than once a day. We also find that a high proportion of CDS transactions conform to standardized contractual and trading conventions. Examining the dealer’s role as market maker, we find that large trades with customers are generally not rapidly offset by further trades in the same reference entity, suggesting that hedging of large positions, if taking place, occurs over a longer time horizon. Through our analysis, we provide a framework for regulators and policymakers to consider the design of the public reporting regime and the necessary improvements to data collection to facilitate meaningful price reporting for credit derivatives.

Link al Paper



																
22
Sep
11

Tabla du Jour: ETFs, Alertas de los Reguladores

(Fuente: Index Universe)

22
Sep
11

Gráfico du Jour: Deuda soberana, ¿Quién la tiene?

(Fuente: Credit Writedowns)

14
Sep
11

Fun & Finance: #14, Charla sobre Mercado

En esta ocasión, German le ofrece a Gaston un pantallazo como mirar las conexiones dentro del mercado financiero.

Siempre mejor en HD.

No se olviden de LIKE THIS !!

14
Sep
11

Infograma du Jour: Bancos, Mega-Fusiones

(Fuente: MotherJones.com, via Felix Salmon)

07
Sep
11

Paper: Dinámicas Colectivas

Collective behavior in financial market

Financial market is an example of complex system, which is characterized by a highly intricate organization and the emergence of collective behavior. In this paper, we quantify this emergent dynamics in the financial market by using concepts of network synchronization. We consider networks constructed by the correlation matrix of asset returns and study the time evolution of the phase coherence among stock prices. It is verified that during financial crisis a synchronous state emerges in the system, defining the market’s direction. Furthermore, the paper proposes a statistical regression model able to identify the topological features that mostly influence such an emergence. The coefficients of the proposed model indicate that the average shortest path length is the measurement most related to network synchronization. Therefore, during economic crisis, the stock prices present a similar evolution, which tends to shorten the distances between stocks, indication a collective dynamics.

Link al Paper

02
Sep
11

Paper: Estabilidad financiera y riesgo de cola

Tail risks and contract design from a financial stability perspective

The wider theme of this conference is about what we have learned from the recent crisis. There have been  many lessons. Some are not new but just a re-learning of old lore: ‘banks need to hold adequate capital’; ‘real-estate prices can fall dramatically’; ‘financial institutions need to avoid excessive risk taking’. The authorities are pursuing a long list of regulatory initiatives to address the externalities arising from risks in banks and markets, including Dodd-Frank in the US, the European Market Infrastructure Regulation (EMIR) in Europe, the Independent Commission on Banking (ICB) in the United Kingdom and the various Basel capital and liquidity rules internationally. And the Financial Stability Board has taken on a role in co-ordinating much of the other international effort. Academic research also has a large part to play in this process, in both identifying the issues and proposing or evaluating policy responses.

Link al Paper

27
Aug
11

Paper: Jackson Hole

(Haga click en la imagen para ver material presentado en el Simposio)

 

 




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