April 6, 2017
The Social Climbing Game
Abstract The structure of societies depends, to some extent, on the incentives of the individuals they are composed of. We study a stylized model of…
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April 6, 2017
From PF And The Systemic Risk Of Hedge Funds: Risk-Measurement Precision For Option Portfolios
Abstract The Securities and Exchange Commission’s Form PF is the implementation of Congress’s post-crisis mandate for risk reporting by hedge funds to help protect investors…
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April 6, 2017
Contract As Automation: The Computational Representation Of Financial Agreements
Abstract We show that the fundamental legal structure of a well-written financial contract follows a state-transition logic that can be formalized mathematically as a finite-state…
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April 6, 2017
Clustering Techniques And Their Effects On Portfolio Formation And Risk Analysis
Abstract This paper explores the application of three different port-folio formation rules using standard clustering techniques-K-means, K-mediods, and hierarchical-to a large financial data set (16…
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April 6, 2017
The Application Of Visual Analytics To Financial Stability Monitoring
Abstract This paper provides an overview of visual analytics — the science of analytical reasoning enhanced by interactive visualizations tightly coupled with data analytics software…
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April 6, 2017
Cryptography And The Economics Of Supervisory Information: Balancing Transparency And Confidentiality
Abstract We elucidate the tradeoffs between transparency and confidentiality in the context of financial regulation. The structure of information in financial contexts creates incentives with…
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April 6, 2017
Systematic Scenario Selection: Stress Testing And The Nature Of Uncertainty
Abstract We present a technique for selecting multidimensional shock scenarios for use in financial stress testing. The methodology systematically enforces internal consistency among the shock…
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April 6, 2017
Risk Management Data And Information For Improved Insigth
Abstract We provide an introduction and overview to the field of risk management for interested non-specialists, with a particular focus on the data and information…
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April 6, 2017
A Brief History Of Financial Risk And Information
Abstract This chapter presents the historical context for the current state of financial information and risk management. In lieu of a comprehensive history, the authors…
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April 6, 2017
Encoding Transparency: Literate Programming And Test Generation For Scientific Function Libraries
Abstract We present a variation on literate programming (see Knuth: 1984, 1992) targeting multiple simultaneous readerships, both human (e.g., coders, testers, analysts, etc.) and compilers/interpreters…
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