Marijuana May Be Legal, But Employees Can Still Be Fired For Off-Duty Use
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Borsa Ä°stanbul VIOP To Reach Asian Investors More Easily With Flextrade
Flextrade, one of Asia's most preferred software companies, became a certified member for VIOPFIX API by completing the certification at Borsa Ä°stanbul VIOP. Especially Asian investors are able to get the opportunity to access Borsa Ä°stanbul VIOP more easily with Flextrade, providing services in many countries from America to Europe and from Middle East to Asia.
Vikas Kedia, Managing Director of FlexTrade EMEA said, “We are delighted to have achieved certification with Borsa Ä°stanbul. This means that Borsa Ä°stanbul is now able to offer its clients, in Turkey and internationally, broker access for algorithmic trading of derivatives using FlexTRADER, our award-winning cross-asset execution management system.”
The connectivity of Flextrade is expected to further increase Asian investors’ interest in Borsa Ä°stanbul VIOP, on its way to become the leading derivatives platform of its region thanks to central counter-party guarantee and increased liquidity as well as wide product range.
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ESMA Adds Credit Derivatives To Its Public Register On EMIR
The European Securities and Markets Authority (ESMA) has published today an update of its Public Register for the Clearing Obligation.
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BM&FBOVESPA Publishes Annual Report 2015
Click here to download BM&FBOVESPA's Annual Report 2015.
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AgriClear To Partner With Nebraskaâs Sandhills Cattle Association - Web-Based Cattle Platform To Showcase One Of North America's Top Cattle Producing Regions
AgriClear, a partnership with TMX Group and NGX, a wholly-owned subsidiary of TMX Group, and North America's premier online transaction and payment platform for cattle buyers and sellers, today announced a collaborative arrangement with The Sandhills Cattle Association (SCA), based in Valentine, Nebraska.
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NYSE Amex Options Launches Binary Return Derivatives (ByRDs), An Innovative New Options Product
The New York Stock Exchange (NYSE), part of the Intercontinental Exchange (NYSE:ICE), today announced the NYSE Amex Options platform of the NYSE MKT exchange will commence trading of Binary Return Derivatives (ByRDsSM) on April 21. ByRDs are a new listed equity options product with limited profit potential and defined risk for both buyers and sellers. NYSE Amex Options is the first exchange platform to offer ByRDs on equities and exchange traded products (ETPs) to retail investors.
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CBOE Names Pamela Culpepper New Chief Human Resources Officer
Chicago Board Options Exchange, Incorporated® (CBOE®) announced today that it has added Pamela Culpepper to its management team as Chief Human Resources Officer. Culpepper, 51, reports to Alan J. Dean, Executive Vice President and Chief Financial Officer, CBOE Holdings, Inc.
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FINRA Reminds Firms about Obligations Regarding Pension Income Stream Products
The Financial Industry Regulatory Authority (FINRA) today issued a regulatory notice providing guidance on member firms' responsibilities concerning the sale of pension income stream products, which typically are contracts that provide a lump-sum payment to a pensioner in exchange for the rights to future pension income payments.
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AMF Urges Caution About Peer-To-Peer Risk Sharing Platforms
The Autorité des marchés financiers (the “AMF”) is urging Quebeckers to be cautious due to the recent emergence of peer-to-peer risk sharing platforms.
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Testimony Of U.S. Department Of The Treasury Fiscal Assistant Secretary David A. Lebryk Before The House Committee On Oversight And Government Reform
Chairman Hurd and Ranking Member Kelly of the Subcommittee on Information Technology, and Chairman Meadows and Ranking Member Connolly of the Subcommittee on Government Operations, thank you for inviting me to discuss the Department of the Treasury’s (Treasury) efforts to increase transparency and accountability in Federal financial management and implement the Digital Accountability and Transparency Act of 2014 (DATA Act).
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Risk Aversion and Catastrophic Risks: the Pill Experiment. (arXiv:1604.05672v1 [q-fin.EC])
This article focuses on the work of O. Chanel and G. Chichilnisky (2013) on the flaws of expected utility theory while assessing the value of life. Expected utility is a fundamental tool in decision theory. However, it does not fit with the experimental results when it comes to catastrophic outcomes ---see, for example, Chichilnisky (2009) for more details. In the experiments conducted by Olivier Chanel in 1998 and 2009, several subjects are ask to imagine they are presented 1 billion identical pills. They are paid \$220,000 to take and swallow one, knowing that one out of 1 billion is deadly. The objective of this article is to show that risk aversion phenomenon cannot explain the experimental results found. This is an additional reason why a new kind of utility function is necessary: the axioms proposed by Graciela Chichilnisky will be briefly presented, and it will be shown that it better fits with experiments than any risk aversion utility function.
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Regime switching vine copula models for global equity and volatility indices. (arXiv:1604.05598v1 [q-fin.ST])
For nearly every major stock market there exist equity and implied volatility indices. These play important roles within finance: be it as a benchmark, a measure of general uncertainty or a way of investing or hedging. It is well known in the academic literature, that correlations and higher moments between different indices tend to vary in time. However, to the best of our knowledge, no one has yet considered a global setup including both, equity and implied volatility indices of various continents, and allowing for a changing dependence structure. We aim to close this gap by applying Markov-switching $R$-vine models to investigate the existence of different, global dependence regimes. In particular, we identify times of "normal" and "abnormal" states within a data set consisting of North-American, European and Asian indices. Our results confirm the existence of joint points in time at which global regime switching takes place.
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Optimal investment and consumption with downside risk constraint in jump-diffusion models. (arXiv:1604.05584v1 [q-fin.MF])
This paper extends the results of the article [C. Kl\"{u}ppelberg and S. M. Pergamenchtchikov. Optimal consumption and investment with bounded downside risk for power utility functions. In Optimality and Risk: {\it Modern Trends in Mathematical Finance. The Kabanov Festschrift}, pages 133-169, 2009] to a jump-diffusion setting. We show that under the assumption that only positive jumps in the asset prices are allowed, the explicit optimal strategy can be found in the subset of admissible strategies satisfying the same risk constraint as in the pure diffusion setting. When negative jumps probably happen, the regulator should be more conservative. In that case, we suggest to impose on the investor's portfolio a stricter constraint which depends on the probability of having negative jumps in the assets during the whole considered horizon.
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Duality in nondominated discrete-time models for Americain options. (arXiv:1604.05517v1 [math.OC])
We aim to generalize the duality results of Bouchard and Nutz (2015) to the case of American options. By introducing an enlarged canonical space, we reformulate the superhedging problem for American options as a problem for European options. Then in a discrete time market with finitely many liquid options, we show that the minimum superhedging cost of an American option equals to the supremum of the expectation of the payoff at all (weak) stopping times and under a suitable family of martingale measures. Moreover, by taking the limit on the number of liquid options, we obtain a new class of martingale optimal transport problems as well as a Kantorovich duality result.
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Capital Pricing in Margin Periods of Risk and Repo KVA. (arXiv:1604.05406v1 [q-fin.PR])
The presence of hedging errors is practically a norm of derivatives businesses. Using the unhedgeable gap risk during a margin period of risk as a starting point, this article introduces a reserve capital approach to the hedging error and its inclusion in derivatives pricing and valuation. Specifically, we define economic capital associated with the gap risk hedging error and build the cost of capital into the Black-Scholes-Merton option pricing framework. An extended partial differential equation is derived, showing terms for expected gap loss and economic capital charge, corresponding to capital valuation adjustment--KVA. For a repurchase agreement, economic capital is computed under a double-exponential jump-diffusion model, either estimated from historical data or calibrated to options smile. We find that the expected loss of a repo is very small and that cost of economic capital is the dominant component of the repo pricing spread. A repo therefore constitutes an ideal case to study economic capital and its valuation impact. The approach taken can be extended into margined OTC derivatives and more generally derivatives in incomplete markets.
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Repo Haircuts and Economic Capital. (arXiv:1604.05404v1 [q-fin.PR])
This article presents a model of haircuts and economic capital for repo. We propose a credit approach to solve haircuts such that the exposure to market risk meets a prescribed credit rating scale measured by expected loss. Specifically for securities financing business, a credit risk capital approach is also adopted where the borrower dependent haircut is set to a level such that the resultant credit risk VaR is zero. The repo haircuts model incorporates asset risk, borrower credit risk, wrong way risk, and market liquidity risk. Double exponential jump-diffusion type processes are used to model single asset or portfolio price dynamics. Borrower credit is captured by a log-Ornstein-Uhlenbeck default intensity model. Economic capital defined either as unexpected loss from CVaR or expected shortfall is computed for securities financing transactions with negotiated haircuts, to form the basis to levy a capital charge in pre-trade and to fair value in post-trade. Numerical techniques employing two-sided Laplace transform inversion and maximum likelihood estimation of the jump-diffusion model are applied to compute haircuts of SPX500 index, US corporate bond and CMBS indices. Preliminary findings are that stress period calibrated jump-diffusion models can produce haircuts at the levels of BASEL's supervisory haircuts and that repo economic capital far exceeds expected loss and cost of capital has to be included in repo-style transactions pricing.
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The Impact of Body Language
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Dalian Commodity Exchange, Inner Mongolia Government Sign Strategic Cooperation Memorandum
On April 15, Dalian Commodity Exchange (DCE) and the Government of Inner Mongolia signed a strategic cooperation memorandum at Dalian Futures Building. Yun Guangzhong, vice chairman of Inner Mongolia and Li Ming, deputy Party chief and chief supervisor of DCE, attended the ceremony and signed the memorandum on behalf of the two sides. DCE vice president Wang Fenghai presided over the signing ceremony. Several officials of the region as well as DCE officials were present at the signing ceremony.
According to the memorandum, the two sides will, based on the fine industrial conditions in Inner Mongolia as well as DCE's requirement for development, make concerted efforts with regards to deepening cooperation, promoting mutual and joint development, advancing the construction of multi-layered capital market system. The two sides have set to establish the research and development coordination mechanism of the futures market, the coordination mechanism of jointly improving the support of the futures market for the development of the real economy of Inner Mongolia, the cooperation mechanism of DCE setting futures delivery warehouses in the region, the cooperation mechanism of education and training for the futures market, the mechanism of accurate and timely information exchange, the smooth and convenient communication mechanism and other mechanisms, in a bid to effectively improve the capacity of DCE’s relevant futures products for serving the real economy and their influence and promote the industrial upgrading and economic development of Inner Mongolia.
When presiding over the ceremony, Wang said that there are extensive industrial foundation and market foundation as well as broad space for development in strengthening the strategic cooperation between DCE and Inner Mongolia. As the only futures exchange in Northeast China, for years DCE has been active in serving the three provinces and Inner Mongolia in Northeast China. DCE has listed the coking coal, metallurgical coke, LLDPE, PVC, soybean, corn, corn starch and other futures products, which have close internal relations with the economy in Northeast China and can provide the related enterprises in Inner Mongolia with effective price indicators and instruments of risk management. From the perspective of the two sides’ economic connection, the cooperation space has great potential for growth. DCE is vigorously conducting research and development of the futures products in livestock, coal chemical and other sectors, which are highly correlated to the relevant pillar industries in Inner Mongolia, and the two sides can deepen the cooperation in research and development of products. In addition, DCE has joined hands with relevant futures companies and insurance companies to launch the pilots for OTC options and “futures + insurance”, and the Ministry of Finance and the Ministry of Agriculture have confirmed their support for expanding the pilots. DCE hopes that similar pilots can be introduced in Inner Mongolia so as to promote the healthy development of the corn, soybean and other industries in the regions.
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ASIC Welcomes Significant Reforms
ASIC today welcomed the Government’s announcement of major additional funding for the regulator.
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NZX Regulatory Agenda 2016 Published
NZX today published its inaugural Regulatory Agenda which highlights the regulatory outcomes NZX Regulation is pursuing this year, and identifies three key strategic areas of focus for 2016.
These three areas – market infrastructure, orderly markets and market engagement – reflect NZX’s statutory obligations; the current economic environment; and NZX’s view of the key risks and trends relevant to the regulation of its markets:
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