Abstract The first half of this presentation will provide quantitatively-based evidence of the severe problems with the major credit rating agencies such as Moody’s and Standard and Poors. We will begin with a relatively simple quantitative model of the credit risk of corporate debt that was far more successful than…

Abstract The first half of this presentation will provide quantitatively-based evidence of the severe problems with the major credit rating agencies such as Moody’s and Standard and Poors. We will begin with a relatively simple quantitative model of the credit risk of corporate debt that was far more successful than…

Abstract We introduce a methodology for measuring systemic importance. Investors care about systemic importance because this knowledge may enable them to assess their portfolio’s vulnerability to particular events and, if warranted, to pursue defensive strategies. Policymakers also need this information to ensure that policies and regulations target the appropriate entities…

Abstract Metaphor, Models and Theories as Tools for Understanding the World What Makes a Model a Model? What Makes a Theory a Theory? Emotions as Derivatives  The Principles of Quantitative Finance The Only Way To Build Valuation Models

David Turkington, CFA Regime Shifts and Markov-Switching Models: Implications for Dynamic Strategies  Abstract Regime shifts present significant challenges for investors, because these shifts cause within-period performance to depart significantly from the ranges implied by long-term averages of means and covariances.  But these regime shifts also present opportunities for gain.  We…

Abstract Traditionally, designers of agency algorithms have predominantly been focused on the sourcing of liquidity, minimization of market impact & execution volatility risk, achievement of price benchmarks, spread and rebate capture. The heightened awareness of high frequency trading strategies and their profitability, increased sophistication of agency algorithms and an ongoing…

Abstract A typical quantitative approach for analyzing and forecasting equity returns is to build a model based upon a set of factors and then estimate the model based upon a set of data and some type of least squares procedure. However, as the data in equity markets is usually far…

A QWAFAFEW discussion arranged by Evan Schulman and led by Carol Osler Abstract What triggers market crashes? This paper highlights four properties of price-contingent trading that contribute to fat tails in exchange-rate returns and provides first estimates of their relative importance. Price-contingent trading, which is common across financial markets, includes…

Slides for Dan DiBartolomeo’s talk on June 15, 2010 titled “Equity Risk, Credit Risk, Default Correlation and Corporate Sustainability” See event description for a more complete abstract of the talk.

Boston File: Principal Components as a Measure of Systemic Risk (revere street 272-28 Implied Systemic Risk 03312010.pdf by Mark Kritzman, Yuanzhen Li, Sebastien Page, and Roberto Rigobon)  For discussion at the 20 April 2010 Boston QWAFAFEW meeting.