The objective of this article is to prepare a time-inhomogeneous intensity model for valuing cash-flow CDOs, which explicitly incorporates the credit rating of the firms in the collateral portfolio as the indicator of the likelihood of default. Our model can prove very useful for the pricing, structuring, rating and risk management of CDO notes, whenever the legal structure of the transaction, ...

How far can shoe-leather go in explaining the welfare cost of inflation? Using a unique set of microeconomic data on households, we estimate the parameters of the demand for money derived from a generalized Baumol-Tobin model. Our data set contains information on average holdings of cash, on deposits and other interest bearing accounts, on the number of trips to the bank, on the size of withdra...

This study examines empirically with complete transaction records of index futures and of the index stocks, as well as the bid/ask price quotes of the latter, the impact of stock market order imbalance on the dynamic behavior of index futures and the underlying cash index. The study purges spurious correlation in the index by using an estimate of the “true” index with highly synchronous and act...

Decentralized ledger-based currencies such as Bitcoin provide a means to construct payment systems without requiring a trusted bank. Removing this trust assumption comes at the significant cost of transaction privacy. A number of academic works have sought to improve the privacy offered by ledger-based currencies using anonymous electronic cash (e-cash) techniques. Unfortunately, this strong de...

This study is concerned with the aggregation of information in stock index cash and futures markets. The efficient price discovery is analyzed with reference to the error correction representation and to the common trend representation of cointegrated variables. The empirical evidence is based on three month of intraday data on the French CAC 40 index. The results indicate that deviations from ...

Computers are not (yet?) capable of being reasonable any more than is a Second Lieutenant. Against stupidity, the Gods themselves contend in vain. Banking systems include the back-end bookkeeping systems that record customers' account details and transaction processing systems such as cash machine networks and high-value interbank money transfer systems that feed them with data. They are import...

Customer reward systems have rapidly shifted from plastic cards schemes to mobile application-based initiatives, yet our understanding of the economic value of mobile reward systems has not kept pace with this development. Using an individual-level transaction and reward redemption dataset from a large multi-brand, offline food-andbeverage merchandiser, we examine the effects of reward app adop...

Recent decades have seen a gigantic expansion in the use of credit cards as a true transactional medium. Data mining is rising as one of the chief features of many homeland security\ initiatives. Often, it is used as a means for detecting fraud, assessing risk, as well as product retailing. Data mining is becoming increasingly common in both the private as well as public sectors. Data mining in...

Electronic cash has been playing an important role in electronic commerce. One of the desirable characteristics is its traceability, which can prevent money laundering and can find the destination of suspicious withdrawals. In this paper we develop a new scheme for untraceable electronic cash, in which the bank involvement in the payment transaction between a user and a receiver is eliminated. ...

This note considers the application of electronic cash to transactions in which many small amounts must be paid to the same payee and in which it is not possible to just pay the total amount afterwards. The most notable example of such a transaction is payment for phone calls. If currently published electronic cash systems are used and a full payment protocol is executed for each of the small a...