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VaR Exceedances at Large Financial Institutions
... One possibility is that there is no problem. Maybe the models are useful in their current form and would not be more useful if they were more accurate. It’s possible that the models are biased in a predictable fashion, and that risk managers simply correct for these biases when using the numbers pr ...
... One possibility is that there is no problem. Maybe the models are useful in their current form and would not be more useful if they were more accurate. It’s possible that the models are biased in a predictable fashion, and that risk managers simply correct for these biases when using the numbers pr ...
UNITED STATES SECURITIES AND EXCHANGE COMMISSION
... The information presented in this Form 10-Q includes forward-looking statements, in addition to historical information. These statements involve known and unknown risks and relate to future events, Mirant's future financial performance or projected business results. In some cases, forward-looking st ...
... The information presented in this Form 10-Q includes forward-looking statements, in addition to historical information. These statements involve known and unknown risks and relate to future events, Mirant's future financial performance or projected business results. In some cases, forward-looking st ...
Feed-in-Tariff with Contract for Difference
... budgetary constraints that DECC has to operate within) and ensures that the commitments made under the scheme can be honoured. 3. Certainty and stability are crucial for investors to be able to make their decisions. Therefore once a project has demonstrated eligibility, been awarded a CfD at a parti ...
... budgetary constraints that DECC has to operate within) and ensures that the commitments made under the scheme can be honoured. 3. Certainty and stability are crucial for investors to be able to make their decisions. Therefore once a project has demonstrated eligibility, been awarded a CfD at a parti ...
Mergers and Acquisitions
... Defence • Staggered Board – In many public companies, a board of directors whose three-year terms are staggered so that only one-third of the directors are up for election each year. – Also known as Classified Board • A bidder’s candidate would have to win a proxy fight two years in a row before the ...
... Defence • Staggered Board – In many public companies, a board of directors whose three-year terms are staggered so that only one-third of the directors are up for election each year. – Also known as Classified Board • A bidder’s candidate would have to win a proxy fight two years in a row before the ...
Option Trading: Information or Differences of
... questionable if this type of demand would explain the large volume of trading. Besides, Lakonsihok, Lee, Pearson and Poteshman (2006) found that the most popular option-trading strategy is covered call writing, followed by purchasing calls and writing puts, none of which appears to be a logical hedg ...
... questionable if this type of demand would explain the large volume of trading. Besides, Lakonsihok, Lee, Pearson and Poteshman (2006) found that the most popular option-trading strategy is covered call writing, followed by purchasing calls and writing puts, none of which appears to be a logical hedg ...
Intermediate Accounting
... offset by price increases in other units of inventory in the same category. Therefore, applying the lower of cost or market rule to groups of inventory will usually result in higher inventory valuations and lower losses relative to applying the rule to each individual item of inventory. ...
... offset by price increases in other units of inventory in the same category. Therefore, applying the lower of cost or market rule to groups of inventory will usually result in higher inventory valuations and lower losses relative to applying the rule to each individual item of inventory. ...
2013 CFA Level 1 - Book 5 - Apache
... expose34)investors to greater reinvestment risk than nonamortizing types of risk creditandriskwhyanditthemightmeaning and roletoofinvestors credit ratings. (page ...
... expose34)investors to greater reinvestment risk than nonamortizing types of risk creditandriskwhyanditthemightmeaning and roletoofinvestors credit ratings. (page ...
Automated Trading Desk and Price Prediction in High
... the influence of the state on the outcomes of such struggles. Even it, though, largely neglects the themes central to STS-inflected social studies of finance, above all the STS emphasis on materiality: on artefacts and technical systems, on human bodies, on mathematical models not just as sets of eq ...
... the influence of the state on the outcomes of such struggles. Even it, though, largely neglects the themes central to STS-inflected social studies of finance, above all the STS emphasis on materiality: on artefacts and technical systems, on human bodies, on mathematical models not just as sets of eq ...
ASX Operating Rules Section 01
... Trading Permission in respect of one or more Products if ASX considers it appropriate and is satisfied that the applicant will have in place and maintain adequate clearing arrangements in accordance with Rule [1003] and Schedule 1 for those products and have the technical capacity and knowledge requ ...
... Trading Permission in respect of one or more Products if ASX considers it appropriate and is satisfied that the applicant will have in place and maintain adequate clearing arrangements in accordance with Rule [1003] and Schedule 1 for those products and have the technical capacity and knowledge requ ...
Momentum, Acceleration, and Reversal
... growth. Examples include the internet bubble that peaked in early 2000 and the U.S. housing price increase before 2006. One characteristic associated with those crashes was the accelerated growth coupled with investors’ excitement before the market crash. In these and many other similar cases, asset ...
... growth. Examples include the internet bubble that peaked in early 2000 and the U.S. housing price increase before 2006. One characteristic associated with those crashes was the accelerated growth coupled with investors’ excitement before the market crash. In these and many other similar cases, asset ...
The IOSCO Transparency Principle and Modelling the Bid
... (JSE) and investors. There is concern that a lack of market transparency may induce inefficiency and constrain liquidity. Consequently, the South African Government’s National Treasury and the JSE have begun to investigate the formation of a new market regime. This report investigates the current ma ...
... (JSE) and investors. There is concern that a lack of market transparency may induce inefficiency and constrain liquidity. Consequently, the South African Government’s National Treasury and the JSE have begun to investigate the formation of a new market regime. This report investigates the current ma ...
CTAs: Shedding light on the black box
... mean by ‘CTA-ness’ and why we think it's important (and, as an aside, have built a managed account platform to take advantage of it). 8. Investors who chose to place most of their allocation with a single CTA program would typically choose a lower risk ‘allweather’ program and may therefore forego c ...
... mean by ‘CTA-ness’ and why we think it's important (and, as an aside, have built a managed account platform to take advantage of it). 8. Investors who chose to place most of their allocation with a single CTA program would typically choose a lower risk ‘allweather’ program and may therefore forego c ...
Corporate Bond Trading on a Limit Order Book Exchange by
... liquid and a second market is potentially more efficient but currently illiquid, it is not optimal for each trader individually to deviate from the equilibrium and move to the currently less liquid market. This paper investigates the case of the Tel Aviv Stock Exchange (hereafter TASE), where c-bond ...
... liquid and a second market is potentially more efficient but currently illiquid, it is not optimal for each trader individually to deviate from the equilibrium and move to the currently less liquid market. This paper investigates the case of the Tel Aviv Stock Exchange (hereafter TASE), where c-bond ...
Not Just One Man - Barings I. How Leeson Broke Barings II. Lessons
... the floor of an Exchange by just one Member who is both buyer and seller. If a Member has matching buy and sell orders from two different customer accounts for the same contract and at the same price, he is allowed to cross the transaction (execute the deal) by matching both his client accounts. How ...
... the floor of an Exchange by just one Member who is both buyer and seller. If a Member has matching buy and sell orders from two different customer accounts for the same contract and at the same price, he is allowed to cross the transaction (execute the deal) by matching both his client accounts. How ...
Credit default swaps. Contract characteristics and
... In addition to CDS contracts relating to a specific reference entity (“single name CDSs”), contracts on indexes representing a portfolio of issuers (“index” or “basket” CDSs) have also become popular. In this case, each reference entity equally contributes to the total nominal value of the contract. ...
... In addition to CDS contracts relating to a specific reference entity (“single name CDSs”), contracts on indexes representing a portfolio of issuers (“index” or “basket” CDSs) have also become popular. In this case, each reference entity equally contributes to the total nominal value of the contract. ...
Technical Analysis
... Technical analysts also widely use market indicators of many sorts, some of which are mathematical transformations of price, often including up and down volume, advance/decline data and other inputs. These indicators are used to help access whether an asset is trending, and if it is, its probability ...
... Technical analysts also widely use market indicators of many sorts, some of which are mathematical transformations of price, often including up and down volume, advance/decline data and other inputs. These indicators are used to help access whether an asset is trending, and if it is, its probability ...
Estimating the Gains from Trade in Limit
... exchanges. The companies trading on these venture exchanges have characteristics that differ from a typical New York Stock Exchange stock. They tend to be smaller and less frequently traded, for example. However, it is just these types of differences that make the VSE a particularly appropriate cont ...
... exchanges. The companies trading on these venture exchanges have characteristics that differ from a typical New York Stock Exchange stock. They tend to be smaller and less frequently traded, for example. However, it is just these types of differences that make the VSE a particularly appropriate cont ...
Value versus Growth International Real Estate Investment Strategy
... The rest of the paper proceeds as follows. The next section provides a brief review of the finance literature on the value investment strategy after which, a set of research hypotheses are formulated. This is followed by a discussion on data sourcing and management, and the value strategy model. The ...
... The rest of the paper proceeds as follows. The next section provides a brief review of the finance literature on the value investment strategy after which, a set of research hypotheses are formulated. This is followed by a discussion on data sourcing and management, and the value strategy model. The ...
Long-Short Commodity Investing - EDHEC
... Futures returns are calculated by assuming that investors hold the nearest contract up to one month before maturity and then roll their position to the second nearest contract, where the rolling takes place to avoid physical delivery of the underlying commodity. All portfolios short-list the 75% mos ...
... Futures returns are calculated by assuming that investors hold the nearest contract up to one month before maturity and then roll their position to the second nearest contract, where the rolling takes place to avoid physical delivery of the underlying commodity. All portfolios short-list the 75% mos ...
State of the Markets
... believes you should be aware of the following general risks associated with Swap Transactions: (i) Liquidity Risk: There is no public market for Swap Transactions and, therefore, it may be difficult or impossible to liquidate an existing position on favorable terms; (ii) Transfer Restrictions: Swap ...
... believes you should be aware of the following general risks associated with Swap Transactions: (i) Liquidity Risk: There is no public market for Swap Transactions and, therefore, it may be difficult or impossible to liquidate an existing position on favorable terms; (ii) Transfer Restrictions: Swap ...