Effects of Emigration on Rural Labor Markets -- by Agha Ali Akram, Shyamal...
Rural to urban migration is an integral part of the development process, but there is little evidence on how out-migration transforms rural labor markets. Emigration could benefit landless village...
View ArticleRobust Maximum Likelihood Estimation of Sparse Vector Error Correction Model....
In econometrics and finance, the vector error correction model (VECM) is an important time series model for cointegration analysis, which is used to estimate the long-run equilibrium variable...
View ArticleSequential Design and Spatial Modeling for Portfolio Tail Risk Measurement....
We consider calculation of capital requirements when the underlying economic scenarios are determined by simulatable risk factors. In the respective nested simulation framework, the goal is to estimate...
View ArticleDynamic Portfolio Optimization with Looping Contagion Risk....
In this paper we consider a utility maximization problem with defaultable stocks and looping contagion risk. We assume that the default intensity of one company depends on the stock prices of itself...
View ArticleMean Field Game Approach to Production and Exploration of Exhaustible...
In a game theoretic framework, we study energy markets with a continuum of homogenous producers who produce energy from an exhaustible resource such as oil. Each producer simultaneously optimizes...
View ArticleArbitrage-Free Regularization. (arXiv:1710.05114v1 [q-fin.MF])
We introduce a path-dependent geometric framework which generalizes the HJM modeling approach to a wide variety of other asset classes. A machine learning regularization framework is developed with the...
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Loss Leader or Value Creator? Deconstructing Amazon Prime
I am an Amazon Prime member and have been one for a long time, and I am completely hooked. Not only do I (and my family) use Amazon Prime for items ranging from tissue paper to big screen televisions,...
View ArticleIntroduction and Keynote Remarks: Commissioner Quintenz before the Federal...
Introduction and Keynote Remarks: Commissioner Quintenz before the Federal Reserve Bank of Chicagoâs Fourth Annual Conference on CCP Risk Management
View ArticleCFTCâs LabCFTC Releases Primer on Virtual Currencies
The Commodity Futures Trading Commissionâs LabCFTC today released, âA CFTC Primer on Virtual Currencies.â
View ArticleNavigating dark liquidity (How Fisher catches Poisson in the Dark)....
In order to reduce signalling, traders may resort to limiting access to dark venues and imposing limits on minimum fill sizes they are willing to trade. However, doing this also restricts the liquidity...
View ArticlePreliminary steps toward a universal economic dynamics for monetary and...
We consider the relationship between economic activity and intervention, including monetary and fiscal policy, using a universal dynamic framework. Central bank policies are designed for growth without...
View ArticleDisruptive firms. (arXiv:1710.06132v1 [q-fin.EC])
This study proposes the concept of disruptive firms: they are firms with market leadership that deliberate introduce new and improved generations of durable goods that destroy, directly or indirectly,...
View ArticleReview of all members' implementation of the LCR completed by the Basel...
Press release about the Basel Committee completing review of all members' implementation of the LCR (18 October 2017). The Basel Committee on Banking Supervision today published assessment reports on...
View ArticleRegulatory Consistency Assessment Programme (RCAP) - Assessment of Basel III...
The Basel Committee is publishing the "Regulatory Consistency Assessment Programme (RCAP) - Assessment of Basel III LCR regulations - Australia", October 2017.
View ArticleRegulatory Consistency Assessment Programme (RCAP) - Assessment of Basel III...
The Basel Committee is publishing the "Regulatory Consistency Assessment Programme (RCAP) - Assessment of Basel III LCR regulations - Brazil", October 2017.
View ArticleRegulatory Consistency Assessment Programme (RCAP) - Assessment of Basel III...
The Basel Committee is publishing the "Regulatory Consistency Assessment Programme (RCAP) - Assessment of Basel III LCR regulations - Canada", October 2017.
View ArticleRegulatory Consistency Assessment Programme (RCAP) - Assessment of Basel III...
The Basel Committee is publishing the "Regulatory Consistency Assessment Programme (RCAP) - Assessment of Basel III LCR regulations - Switzerland", October 2017.
View ArticleThirteenth progress report on adoption of the Basel regulatory framework
The Basel Committee is publishing the thirteenth progress report on adoption of the Basel regulatory framework, October 2017.
View ArticlePrudential policy considerations under expected loss provisioning: lessons...
Prudential policy considerations under expected loss provisioning: lessons from Asia, FSI Insights No 5, 18 October 2017
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