We apply the object-oriented robust factor analysis R package robustfa to the 28 financial indicators of the 100 listed companies in China’s Chinese Securities Index (CSI) 100 index in the first quarter of 2013. First of all, according to the size of the data, we automatically choose a robust estimator, the robust Ogk estimator. By the Mahalanobis distances which are computed by the robust Ogk ...

Abstract: This study provides new evidence of the risks and returns associated with bank involvement in securities activities. This empirical evidence is drawn from an extensive analysis of the performance of the foreign securities subsidiaries of U.S. banking companies over the relatively lengthy 1987-1996 time period. Both industryand firm-level estimates of securities risks and returns from ...

Sec. 356.0 What authority does the Treasury have to sell and issue securities? 356.1 To which securities does this circular apply? 356.2 What definitions do I need to know to understand this part? 356.3 What is the role of the Federal Reserve Banks in this process? 356.4 What are the book-entry systems in which auctioned Treasury securities may be issued or maintained? 356.5 What types of secur...

To overcome the #P-hardness of computing/updating prices in logarithm market scoring rule-based (LMSR-based) combinatorial prediction markets, Chen et al. [5] recently used a simple Bayesian network to represent the prices of securities in combinatorial prediction markets for tournaments, and showed that two types of popular securities are structure preserving. In this paper, we significantly e...

as a way to hedge barrier options when the underlying is a futures price with no drift. Derman, Ergener & Hani (1994) relaxed this drift restriction by introducing an algorithm for hedging barrier options in a bi-nomial model, using options with a single strike but multiple expiries. By contrast, this article provides explicit formulas for static hedges in the standard Black-Scholes (1973) mode...

This article shows that the one-state-variable interest-rate models of.There are an enormous number of derivative securities being traded in financial markets. And just define those securities that we shall be pricing. Definition.We present a model for pricing and hedging derivative securities and option portfolios in an. In this equation, the pricing volatility is selected dynamically from.Bec...

In the insurance market, the insurers who provide catastrophe insurance face with the risk of rare, but huge catastrophe claims. The introduction of catastrophe related securities into the marketplace provide the insurers the instruments to hedge some of the catastrophe risks they are facing. A catastrophe related security is tied to the prespecified catastrophe claims, while independent to oth...

This paper considers the market for private guarantees for municipal debt. It reviews the empirical evidence on the effects of insurance upon the pricing of new is.sues. It also presents the first empirical evidence available on the effects of bond insurance in the aftermarket for tax exempt securities. Aftermarket trades in identical securities in insured and uninsured forms are used to estima...