Macroeconomics
Buy-side modellers seek ‘Holy Grail’ of investing
When stocks and bonds fell in tandem this year, it sparked a debate about whether a lasting regime shift could be predicted
BMO shrinks loan-loss provisions as US outlook improves
US provisions for credit losses drop from C$110 million to C$44 million year-on-year
The Fed’s heavy hand on economic equality
Monetary policy and bank regulations contribute to widening US wealth gap
Ex-Fed trader Coffey on macro risks and VAR
Myopic models are creating feedback loops, warns founder of new macro firm Avoca
Optimal investment and financing with macroeconomic risk and loan guarantees
This paper considers an entrepreneur who has no assets in place but possesses an option to invest in a project incurring a lump-sum investment cost, of which a fraction must be financed by entering into an equity-for-guarantee swap.
Crisis alert: new model aims to give early warning of downturn
Academics say tool could offer policymakers up to three years’ notice of impending crash
Esma to referee AMF-FCA dispute over inducements
EU authority set to clarify whether buy side needs to pay for macro research in Mifid II
Rating momentum in the macroeconomic stress testing and scenario analysis of credit risk
This paper focuses on the corporate stress testing models for credit risk.
RBS must raise £2bn after failing stress tests
Lender releases new capital plan after worst performance in BoE test
Multiple NPL models better than single models, research finds
Combinations of models produce better NPL estimates in study of Greek crisis
Macroeconomic theories: not even wrong
Flawed and inconsistent mainstream macroeconomic theories such as efficient market hypothesis are dangerous to society, says Alexander Lipton
The application of credit risk models to macroeconomic scenario analysis and stress testing
The authors demonstrate how different credit risk models can be efficiently implemented for scenario analysis and stress testing execution with concrete application examples.
ECB flags threat of ‘abrupt reversal’ in risk premia
Latest review identifies two ‘medium-level systemic risks’ to eurozone
Winds of change will continue to roar for energy markets
Financial crisis and shale revolution show nothing is certain - Kaminski
Video: Jean-Marc Bonnefous, Tellurian Capital Management
Bonnefous defends investment in commodities amid market turbulence
Fed rates rise: how much, not how long, is the question
An even harder question to answer is when, once started, will the Fed stop?
Traders and politicians can learn from dead pilots
Trading portfolios are easily mishandled, as are Europe's economies
Wadhwani advocates defensive hedge fund position
Tough environment for CTAs likely to end as interest rates start to rise
IMF's Blanchard warns Europe could drag world economy down
IMF chief economist says ‘three-speed’ global economy could be dangerous
QE3: The next big driver for oil prices?
The impact of easing
Eurozone crisis is a buyers' strike, not an uprising
Eurozone crisis is a buyers’ strike