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This paper proposes a public daily-frequency benchmark for post-GFC government-bond CIP deviations. Although CIP deviations are observed daily, the literature lacks a canonical benchmark for daily regressions comparable to standard factor models in asset pricing. Using G10 plus KRW currency-tenor panels, I show that three lagged public state variables-NFCI, the nominal broad U.S. dollar index, and the Treasury 10-yea…
In many businesses, and particularly in finance, the behavior of a client might drastically change over time. It is consequently crucial for recommender systems used in such environments to be able to adapt to these changes. In this study, we propose a novel collaborative filtering algorithm that captures the temporal context of a user-item interaction through the users' and items' recent interaction histories to pro…
On June 26th, 2004, Central bank governors and the heads of bank supervisory authorities in the Group of Ten (G10) countries issued a press release and endorsed the publication of "International Convergence of Capital Measurement and Capital Standards: a Revised Framework", the new capital adequacy framework commonly known as Basel II. According to Jean Claude Trichet, Chairman of the G10 group of central bank govern…
We investigate a statistical-static hedging technique for pricing assets considered as single-step stochastic cash flows. The valuation is based on constructing in a canonical way a European style derivative on a benchmark security such that the physical payoff distribution coincides with the (corrected) physical asset price distribution. It turns out that this pricing technique is economically viable under some natu…
This paper examines the possibility of using derivative-implied risk premia to explain stock returns. The rapid development of derivative markets has led to the possibility of trading various kinds of risks, such as credit and interest rate risk, separately from each other. This paper uses credit default swaps and equity options to determine risk premia which are then used to form portfolios that are regressed agains…
Cryptocurrencies (CCs) become more interesting for institutional investors' strategic asset allocation and will be a fixed component of professional portfolios in future. This asset class differs from established assets especially in terms of the severe manifestation of statistical parameters. The question arises whether CCs with similar statistical key figures exist. On this basis, a core market incorporating CCs wi…
We introduce a non-parametric method to recover physical probability distributions of asset returns based on their European option prices and some other sparse parametric information. Thus the main problem is similar to the one considered foir instance in the Recovery Theorem by Ross (2015), except that here we consider a non-dynamical setting. The recovery of the distribution is complete, instead of estimating merel…