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Term Structures of Inflation Expectations and Real Interest Rates:The Effects of Unconventional Monetary Policy
Term Structures Inflation Expectations Real Interest Rates Unconventional Monetary Policy
2015/9/18
Ináation expectations have recently received increased interest because of the uncertainty created by the Federal Reserveís unprecedented reaction to the Great Recession.The effect of this reaction on...
Skilled Immigration and the Employment Structures of U.S. Firms
Skilled Immigration the Employment Structures U.S. Firms
2013/11/27
We study the impact of skilled immigrants on the employment structures of U.S. firms using matched employer-employee data. Unlike most previous work, we use the firm as the lens of analysis to account...
A Multi-Level Lorentzian Analysis of the Basic Structures of the Daily DJIA
Multi-Level Lorentzian Analysis the Daily DJIA Statistical Finance
2012/6/5
A quantitative analysis of the basic components of the daily DJIA. The parameters of the underlying Lorentzian states are obtained by fitting the data. Statistical properties of the states are discuss...
Credit Card Structures: Surviving the "Worst Case" Scenario
Credit Card Structures hard times credit card lenders credit card structures
2011/9/2
In this update to "Credit Card Structures and Their Ability to Weather Hard Times" published in the Spring 2008 issue of The Journal of Structured Finance, the author notes that the "hard times" refer...
Risks in Financial Group Structures
fínancial groups, safety and soundness, systemic stability,contagion, governance, supervision and regulation, market discipline
2011/8/21
This article looks at the types of risks that may be associated with complex financial groups and then sifts through the weight of the evidence in favour of and against, the various alternatives used ...
Chaos structures. Multicurrency adviser on the basis of NSW model and social-financial nets
Chaos structures Multicurrency adviser NSW model social-financial nets
2011/7/4
Certainly, professionals have some reasons to muzz customers of stock strategies. The more
complicated system brings more difficult formalization of description space and laws of system
evolution. A...
Comparing Prediction Market Structures, With an Application to Market Making
Market Structures Application Market Making
2010/10/21
Ensuring sufficient liquidity is one of the key challenges for designers of prediction markets. Various market making algorithms have been proposed in the literature and deployed in practice, but the...
We give a comprehensive review of credit term structure modeling methodologies. The conventional approach to modeling credit term struc-ture is summarized and shown to be equivalent to a particular ty...
How Hierarchical Structures Impact on Competition
Hierarchical structures multi-level Stackelberg equilibrium
2009/7/17
Stackelberg models for hierarchical oligopolistic markets with a homogenous product were studied by researchers extensively. The goal of this paper is to extend the classical solution in closed form ...
Defining, Estimating and Using Credit Term Structures. Part 3: Consistent CDS-Bond Basis
Estimating Credit Term Structures Consistent CDS-Bond Basis
2010/11/3
In the third part of this series we introduce consistent relative value measures for CDS-Bond
basis trades using the bond-implied CDS term structure derived from fitted survival rate
curves. We expl...
Defining, Estimating and Using Credit Term Structures. Part 2: Consistent Risk Measures
Estimating Term Structures Consistent Risk Measures
2010/11/3
In the second part of our series we suggest new definitions of credit bond duration and
convexity that remain consistent across all levels of credit quality including deeply distressed bonds and intr...
Defining, Estimating and Using Credit Term Structures. Part 1: Consistent Valuation Measures
Defining, Estimating Consistent Valuation Measures
2010/11/3
In this three-part series of papers, we argue that the conventional spread measures are not
well defined for credit-risky bonds and introduce a set of credit term structures which correct
for the bi...