This is a summary of links featured on Quantocracy on Friday, 02/11/2022. To see our most recent links, visit the Quant Mashup. Read on readers!
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How to Utilize Anticipated ETF Rebalances [Quantpedia]Passive investing enjoys substantial popularity and subsequently attracts the attention of researchers. We blogged about the boom of passive investing and market inelasticity in the past. However, the novel research by Li (2021) examines a different perspective. With the boom of passive investing, we are also witnessing a boom of index-tracking mutual funds, but especially index-tracking ETFs. For
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Naive modelling of Matalan defaulting on its MTNLN 9.5 01/31/24 Notes [Gautier Marti]When reading Denevs book Probabilistic Graphical Models A New Way of Thinking in Financial Modelling, commented on my blog back in Summer 2020, I put a note in my todo list to model Matalan probability of default using a Bayesian network (for fun, not work). I was rather familiar with this single name, former member of the iTraxx Crossover index, which had been a target for orphaning (cf.
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Research Review | 11 February 2022 | Financial Crises [Capital Spectator]Financial Cycles Early Warning Indicators of Banking Crises? Sally Chen (Bank for Intl Settlements) and Katsiaryna Svirydzenka (IMF) April 2021 Can the upturns and downturns in financial variables serve as early warning indicators of banking crises? Using data from 59 advanced and emerging economies, we show that financial overheating can be detected in real time. Equity prices and output