64 research outputs found
Permanent and Transitory Factors Affecting the Dynamics of the Term Structure of Interest Rates
This paper proposes a novel methodology, based on the Common Principal Component analysis, allowing one to estimate the factors driving the term structure of interest rates, in the presence of time-varying covariance structure. The advantages of this method are first, that, unlike classical principal component analysis, common factors can be estimated without assuming that the volatility of the factors is constant; and second, that the factor structure can be decomposed into permanent and transitory common factors. We conclude that only permanent factors are relevant for modeling the dynamics of interest rates, and that the common principal component approach appears to be more accurate than the classical principal component one to estimate the risk factor structure.Term Structure of Interest Rates, Principal Component Analy-sis, Common Principal Component Analysis
Evolution of Market Uncertainty around Earnings Announcements
This paper investigates theoretically and empirically the dynamics of the implied volatility (or implied standard deviation - ISD) around earnings announcements dates. The volatility implied by option prices can be interpreted as the level of volatility expected by the market over the remaining life of the option. We propose a theoretical framework for the evolution of the ISD that takes into account two well-known features of the instantaneous volatility: volatility clustering and the leverage effect. In this context, the ISD should decrease after an earnings announcement but the post-announcement ISD path depends on the content of the earnings announcement: good news or bad news. An empirical investigation is conducted on the Swiss market over the period 1989-1998.
Multi-scale problems, high performance computing and hybrid numerical methods
International audienceThe turbulent transport of a passive scalar is an important and challenging problem in many applications in fluid mechanics. It involves different range of scales in the fluid and in the scalar and requires important computational resources. In this work we show how hybrid numerical methods, combining Eulerian and Lagrangian schemes, are natural tools to address this multi-scale problem. One in particular shows that in homogeneous turbulence experiments at various Schmidt numbers these methods allow to recover the theoretical predictions of universal scaling at a minimal cost. We also outline hybrid methods can take advantage of heterogeneous platforms combining CPU and GPU processors
A high order purely frequency-based harmonic balance formulation for continuation of periodic solutions
Combinig the harmonic balance method (HBM) and a continuation method is a
well-known technique to follow the periodic solutions of dynamical systems when
a control parameter is varied. However, since deriving the algebraic system
containing the Fourier coefficients can be a highly cumbersome procedure, the
classical HBM is often limited to polynomial (quadratic and cubic)
nonlinearities and/or a few harmonics. Several variations on the classical HBM,
such as the incremental HBM or the alternating frequency/time domain HBM, have
been presented in the literature to overcome this shortcoming. Here, we present
an alternative approach that can be applied to a very large class of dynamical
systems (autonomous or forced) with smooth equations. The main idea is to
systematically recast the dynamical system in quadratic polynomial form before
applying the HBM. Once the equations have been rendered quadratic, it becomes
obvious to derive the algebraic system and solve it by the so-called ANM
continuation technique. Several classical examples are presented to illustrate
the use of this numerical approach.Comment: PACS numbers: 02.30.Mv, 02.30.Nw, 02.30.Px, 02.60.-x, 02.70.-
Long-Term Clinical Protection from Falciparum Malaria Is Strongly Associated with IgG3 Antibodies to Merozoite Surface Protein 3
Using data from malaria cases in Senegal, Pierre Druilhe and colleagues found that antibodies of the IgG3 isotype directed to merozoite surface protein 3 (MSP3) were strongly predictive of clinical outcome
Systemic Risk Score: A Suggestion
Abstract: We identify a potential bias in the methodology disclosed in July 2013 by the Basel Committee on Banking Supervision (BCBS) for identifying systemically important financial banks. Contrary to the original objective, the relative importance of the five categories of risk importance (size, crossâ jurisdictional activity, interconnectedness, substitutability/financial institution infrastructure, and complexity) may not be equal and the resulting systemic risk scores are mechanically dominated by the most volatile categories. In practice, this bias proved to be serious enough that the substitutability category had to be capped by the BCBS. We show that the bias can be removed by simply standardizing each input prior to computing the systemic risk scores. 1
Machine Learning et nouvelles sources de données pour le scoring de crédit
In this article, we discuss the contribution of Machine Learning techniques and new data sources (New Data) to credit-risk modelling. Credit scoring was historically one of the first fields of application of Machine Learning techniques. Today, these techniques permit to exploit new sources of data made available by the digitalization of customer relationships and social networks. The combination of the emergence of new methodologies and new data has structurally changed the credit industry and favored the emergence of new players. First, we analyse the incremental contribution of Machine Learning techniques per se. We show that they lead to significant productivity gains but that the forecasting improvement remains modest. Second, we quantify the contribution of the "datadiversity", whether or not these new data are exploited through Machine Learning. It appears that some of these data contain weak signals that significantly improve the quality of the assessment of borrowers' creditworthiness. At the microeconomic level, these new approaches promote financial inclusion and access to credit for the most vulnerable borrowers. However, Machine Learning applied to these data can also lead to severe biases and discrimination.Dans cet article, nous proposons une rĂ©flexion sur lâapport des techniques dâapprentissage automatique (Machine Learning) et des nouvelles sources de donnĂ©es (New Data) pour la modĂ©lisation du risque de crĂ©dit. Le scoring de crĂ©dit fut historiquement lâun des premiers champs dâapplication des techniques de Machine Learning. Aujourdâhui, ces techniques permettent dâexploiter de « nouvelles » donnĂ©es rendues disponibles par la digitalisation de la relation clientĂšle et les rĂ©seaux sociaux. La conjonction de lâĂ©mergence de nouvelles mĂ©thodologies et de nouvelles donnĂ©es a ainsi modifiĂ© de façon structurelle lâindustrie du crĂ©dit et favorisĂ© lâĂ©mergence de nouveaux acteurs. PremiĂšrement, nous analysons lâapport des algorithmes de Machine Learning Ă ensemble dâinformation constant. Nous montrons quâil existe des gains de productivitĂ© liĂ©s Ă ces nouvelles approches mais que les gains de prĂ©vision du risque de crĂ©dit restent en revanche modestes. DeuxiĂšmement, nous Ă©valuons lâapport de cette « datadiversitĂ© », que ces nouvelles donnĂ©es soient exploitĂ©es ou non par des techniques de Machine Learning. Il sâavĂšre que certaines de ces donnĂ©es permettent de rĂ©vĂ©ler des signaux faibles qui amĂ©liorent sensiblement la qualitĂ© de lâĂ©valuation de la solvabilitĂ© des emprunteurs. Au niveau microĂ©conomique, ces nouvelles approches favorisent lâinclusion financiĂšre et lâaccĂšs au crĂ©dit des emprunteurs les plus fragiles. Cependant, le Machine Learning appliquĂ© Ă ces donnĂ©es peut aussi conduire Ă des biais et Ă des phĂ©nomĂšnes de discrimination
Margin Backtesting
This paper presents a validation framework for collateral requirements or margins on a derivatives exchange. It can be used by investors, risk managers, and regulators to check the accuracy of a margining system. The statistical tests presented in this study are based either on the number, frequency, magnitude, or timing of margin exceedances, which are deâŠned as situations in which the trading loss of a market participant exceeds his or her margin. We also propose an original way to validate globally the margining system by aggregating individual backtesting statistics obtained for each market participant. JEL classiâŠcation: G1
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