1,756 research outputs found
Why common factors in international bond returns are not so common
No full textThis paper analyzes the common factor structure of US, German, and Japanese Government bond returns. Unlike previous studies, we formally take into account the presence of country-specific factors when estimating common factors. We show that the classical approach of running a principal component analysis on a multi-country dataset of bond returns captures both local and common influences and therefore tends to pick too many factors. We conclude that US bond returns share only one common factor with German and Japanese bond returns. This single common factor is associated most notably with changes in the level of domestic term structures. We show that accounting for country-specific factors improves the performance of domestic and international hedging strategies
Opening October DataFest “Love your data, share your data”
No full textThe DataFest opening ceremony will start with welcoming remarks by Prof. dr. Pursey Heugens (ERIM Scientific Director) followed by the keynote speaker Prof. dr. Christophe Pérignon (HEC, Paris) who will talk to us about Cascad, the first certification agency for scientific code & data
The level and quality of Value-at-Risk disclosure by commercial banks
No full textInternational audienceIn this paper we study both the level of Value-at-Risk (VaR) disclosure and the accuracy of the disclosed VaR figures for a sample of US and international commercial banks. To measure the level of VaR disclosures, we develop a VaR Disclosure Index that captures many different facets of market risk disclosure. Using panel data over the period 1996-2005, we find an overall upward trend in the quantity of information released to the public. We also find that Historical Simulation is by far the most popular VaR method. We assess the accuracy of VaR figures by studying the number of VaR exceedances and whether actual daily VaRs contain information about the volatility of subsequent trading revenues. Unlike the level of VaR disclosure, the quality of VaR disclosure shows no sign of improvement over time. We find that VaR computed using Historical Simulation contains very little information about future volatility
Diversification and Value-at-Risk
No full textInternational audienceA pervasive and puzzling feature of banks' Value-at-Risk (VaR) is its abnormally high level, which leads to excessive regulatory capital. A possible explanation for the tendency of commercial banks to overstate their VaR is that they incompletely account for the diversification effect among broad risk categories (e.g., equity, interest rate, commodity, credit spread, and foreign exchange). By underestimating the diversification effect, bank's proprietary VaR models produce overly prudent market risk assessments. In this paper, we examine empirically the validity of this hypothesis using actual VaR data from major US commercial banks. In contrast to the VaR diversification hypothesis, we find that US banks show no sign of systematic underestimation of the diversification effect. In particular, diversification effects used by banks is very close to (and quite often larger than) our empirical diversification estimates. A direct implication of this finding is that individual VaRs for each broad risk category, just like aggregate VaRs, are biased risk assessments
Opening October DataFest “Love your data, share your data”
No full textThe DataFest opening ceremony will start with welcoming remarks by Prof. dr. Pursey Heugens (ERIM Scientific Director) followed by the keynote speaker Prof. dr. Christophe Pérignon (HEC, Paris) who will talk to us about Cascad, the first certification agency for scientific code & data
Tradução de uma disputa : Christophe versus Pétion em La tragédie du roi Christophe, de Aimé Césaire
No full textEsta contribuição propõe a tradução comentada da primeira cena da peça de teatro La Tragédie du roi Christophe (A tragédia do rei Christophe), de Aimé Césaire. O texto foi publicado pelo autor martinicano em 1963 e encenado a partir de 1964. A história aborda o embate histórico entre os dois líderes revolucionários haitianos, Alexandre Pétion (1770-1818) e Henry Christophe (1767-1820), após o estabelecimento da independência do Haiti, em 1804. O ex-escravizado Henry Christophe I, autoproclamado rei do Haiti em 1811, protagoniza, na peça, os impasses políticos decorrentes do processo de descolonização para a constituição de um novo estado haitiano livre e democrático. Optamos por traduzir a cena que anuncia e ilustra, na abertura do primeiro Ato, o caráter trágico que permeia o desenrolar dos eventos.This contribution proposes the commented translation of the first scene of the play La Tragédie du roi Christophe (The tragedy of King Christophe), by Aimé Césaire. The text was published by the Martinican author in 1963 and staged from 1964 onwards. The story addresses the historical clash between the two Haitian revolutionary leaders, Alexandre Pétion (1770-1818) and Henry Christophe (1767-1820), after the establishment of Haitian independence in 1804. The ex-enslaved Henry Christophe I, self-proclaimed King of Haiti in 1811, stars, in the play, political impasses resulting from the decolonization process, for the constitution of a new free and democratic Haitian state. We chose to translate the scene that announces and illustrates, in the opening of the first Act, the tragic character that permeates the unfolding of events
Clearing house, margin requirements, and systemic risk
No full textMargins are the major safeguards against default risk on a derivatives exchange. When the
clearing house sets the margin requirement for a particular clearing firm, it does so by only
focusing on that particular clearing firm’s positions (e.g. the SPAN system). We depart
from this traditional approach and show how to account for interdepencies across clearing
members when setting margins. Our method generalizes the SPAN system by allowing
individual margins to increase when clearing firms are more likely to be in financial
distress simultaneously
Morisset/PyNeb_devel: 1.1.9
No full textcommit ab6cdb8a4af2ff75b82fc1422004934945c82530
Author: morisset [email protected]
Date: Sat Jul 6 11:25:45 2019 -0700
1.1.9
V 1.1.9
commit f7e6a418d2affb8db163c8c6c2428173b5f4aacf
Author: morisset [email protected]
Date: Fri Jun 7 07:15:42 2019 -0700
Create _chianti_tools_9.py
commit 81213b885e2b359a62e3d6e73515e39dc7056561
Author: Christophe Morisset [email protected]
Date: Wed Jun 5 16:19:33 2019 -0700
Adding Chianti 9
commit 5a9a7dfc9a4d922a216ac11f39b76c2d63097d3b
Author: Christophe Morisset [email protected]
Date: Wed Jun 5 16:19:05 2019 -0700
1.1.9b4
commit 152f9192847cd7f3194e0a778caca66f966392c1
Author: morisset [email protected]
Date: Wed May 22 14:13:30 2019 -0700
T_min ans max were not used
commit 22aeec4db4efc7bcc377b54a92292e157335825d
Author: morisset [email protected]
Date: Sun May 19 10:18:52 2019 -0700
1.1.9b3
commit 4dc721eecdd2511fcde69f835fc6181f7be1b74d
Author: morisset [email protected]
Date: Sun May 19 10:18:34 2019 -0700
manage wl<Lyalpha master
commit 44192233b57ef46cc479e6bfc2a9020cbfc3d5f6
Author: morisset [email protected]
Date: Fri May 17 13:07:55 2019 -0700
1.1.9b2
commit 95e07d78fb38cc6267f38e11d3051738814a4dfd
Author: morisset [email protected]
Date: Fri May 17 13:07:47 2019 -0700
light wl array
commit 9a159290e931fbdbbff8b13968d7540f8b0cef18
Author: morisset [email protected]
Date: Fri May 17 13:07:27 2019 -0700
add continuum to init
commit da0e0b6ac19bc6808bc7366217ad4a0885e1ca0e
Author: morisset [email protected]
Date: Thu Mar 21 11:48:08 2019 -0300
1.1.9b1
before branch to Regresor developemen
Christophe Colomb, le caoutchouc et les tétines
No full textChristoph Kolumbus, Kautschuk und die Gummisauger.
Der Verfasser schildert kurz die Geschichte des Kautschuks und erwänt die apotheker welche daran beteiligt sind. Er legt anschliessend die Geschichte der Gummisauger und der Milchflaschen dar, deren eine der meistgängisten die « Robert'sche Milchflasche » gewesen ist.Christopher Columbus, rubber, and rubber nipples.
The author quickly traces the history of rubber, making note of the pharmacists who therein played a role. He exhibits the history of rubber nipples and that of infant bottles, of which one of the most widely used was the « Robert Bottle. »Labeÿ Robert. Christophe Colomb, le caoutchouc et les tétines. In: Revue d'histoire de la pharmacie, 82ᵉ année, n°300, 1994. pp. 55-63
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