Loan securitization has become a widely used method for consolidating collections of loans into financial instruments with sufficiently stable statistical properties that they can be freely traded. In recent years the concept has been generally extended, creating a class of asset backed securities, financial instruments which are created from a wide variety of loan sources, including credit car...

We contrast Arbitrage Pricing Theory (APT), the theoretical basis for the development of financial instruments, with a dynamical picture of an interacting market, in a simple setting. The proliferation of financial instruments apparently provides more means for risk diversification, making the market more efficient and complete. In the simple market of interacting traders discussed here, the pr...

The market turbulence that began in July 2007 stemmed initially from credit prospects deteriorating in U.S. subprime mortgages, but quickly spread to other markets. Growing uncertainty surrounding the valuation of structured credit instruments affected their liquidity, leading to difficulties in the asset-backed commercial paper (ABCP) market, where these instruments were partly funded. Illiqui...

Based on these targets, and assuming that these targets will be met in a linear fashion (i.e., equal capacity installation per year), using forecasted costs of renewable technologies, this would require approximately $189 billion of additional investment, including $132 billion of debt and $57 billion of equity. Among technologies, solar energy would require approximately $131 billion, wind ene...

Increasing complexity of the modern market dynamics requires new quantitative frameworks for the discovery of stable portfolio strategies. Important requirements include the ability of the coupled and self-consistent optimization of the dynamic strategies and asset allocations as well as robust built-in mechanisms for the strategy complexity control to ensure acceptable out-of-sample performanc...

Default risk is one of the most important types of risks, and credit default swap (CDS) is one of the most effective financial instruments to cover such risks. The lack of these instruments may reduce investment attraction, particularly for international investors, and impose potential losses on the economy of the countries lacking such financial instruments, among them, Iran. After the 2007 fi...

This essay identifies two approaches to theorizing the relationship between financialization and contemporary art. The first departs from an analysis of how market logics in non-financial spheres are being transformed to facilitate financial circulation; the other considers valuation practices in financial markets (and those related to derivative instruments in particular) from a socio-cultural...

For many individuals and organizations, cyber-insurance is the most practical and only way of handling a major financial impact of an information security event. However, the cyber-insurance market suffers from the problem of information asymmetry, lack of product diversity, illiquidity, high transaction cost, and so on. On the other hand, in theory, capital market-based financial instruments c...

Interim Reports on work of the International Institute for Applied Systems Analysis receive only limited review. Views or opinions expressed herein do not necessarily represent those of the Institute, its National Member Organizations, or other organizations supporting the work. Abstract The paper is devoted to nding the present value of catastrophe bonds using a combination of Monte Carlo and ...

The main goal of this paper is to develop a flood management model that takes into account the specifics of catastrophic risk management: highly mutually dependent losses, the lack of information, the need for long-term perspectives and explicit analyses of spatial and temporal heterogeneities of various agents such as individuals, governments, and insurers. We use modified data from a pilot re...