We consider the problem of modelling the term structure of bonds subject to default risk, under minimal assumptions on the default time. In particular, we do not assume the existence of a default intensity and we therefore allow for the possibility of default at predictable times. It turns out that this requires the introduction of an additional term to the forward-rate approach by Heath, Jarrow and Morton (1992). This term is driven by a random measure encoding information about those times where default can happen with positive probability. In this framework, we derive necessary and sufficient conditions for a reference probability measure to be a local martingale measure for the large financial market of credit risky bonds, also considering general recovery schemes. To this end, we establish a new Fubini theorem with respect to a random measure by means of enlargement of filtrations techniques.
read more...General dynamic term structures under default risk. (arXiv:1603.03198v1 [q-fin.MF])
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New Book Offers Front-line Industry Insider's Look at FinTech Explosion
 |  | A new wave of companies changing the way people pay, send money, borrow, lend, and invest are on the rise. A new book titled, The FINTECH Book, by Susanne Chishti and Janos Barberis explores the overall market dynamics of this new financial innovation and uncover key developments in the industry through insights of front-line practitioners. |
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SEC Charges Oregon-Based Investment Group And Executives With Defrauding Investors
The Securities and Exchange Commission today charged an Oregon-based investment group and three top executives with hiding the rapidly deteriorating financial condition of its enterprise while raising more than $350 million from investors. Aequitas Management LLC and four affiliates allegedly defrauded more than 1,500 investors nationwide into believing they were making health care, education, and transportation-related investments when their money was really being used in a last-ditch effort to save the firm. Some money from new investors was allegedly used to pay earlier investors
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Dalian Commodity Exchange: Notice On Adjusting The Price Limits And The Minimum Trading Margin Of Iron Ore Futures
In accordance with the “Measures of Dalian Commodity Exchange for Risk Management”, it is decided upon discussion that starting from the settlement on March 9, 2016, DCE will adjust the up and down price limits of the iron ore futures to 6% and the minimum trading margin to 7%.
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Osaka Exchange: Change Of Central Contract Months In 10-Year JGB Futures Trading
Concerning 10-year JGB Futures, since the trading volume of the June 2016 contract (second contract) surpassed that of the March 2016 contract (nearest contract) in today’s auction market, the central contract month pertaining to temporary trading halt (Circuit Breaker rule) are as follows from March 14, 2016 (trading day).
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US Department Of Justice: Two Former Rabobank Traders Sentenced To Prison For Manipulating U.S. Dollar And Japanese Yen LIBOR Interest Rates
Two former derivatives traders at Rabobank Coöperatieve Centrale Raiffeisen-Boerenleenbank B.A. (Rabobank) – including the bank’s former global head of liquidity and finance in London – were sentenced to prison today for manipulating the London Interbank Offered Rates (LIBOR) for the U.S. Dollar (USD) and Japanese Yen (JPY), benchmark interest rates to which trillions of dollars in interest rate contracts were tied.
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Dalian Commodity Exchange: Summary Of (Imported) Iron Ore In Domestic Market On Mar 9
The major Australian PB ore fines (61%) are US$ 60.5 / ton (CIF), down by US$ 3 / ton compared with the previous trading day; the Australian Yangdi ore fines (58%) stand at US$ 56 / ton (CIF), down by US$ 3 / ton from the previous trading day; the Brazil ore fines (65%) record US$ 64.1 / ton (CIF), down by US$ 3 / ton from the last trading day. The trading prices of spot iron ore at ports fall by RMB 50 / ton, with few transactions registered. On March 9, the iron ore futures I1605 Contract on DCE closes at RMB 424 / ton, up by RMB 2.5 / ton from the settlement price of RMB 421.5 / ton for the previous trading day. The spot goods at Qingdao Port report RMB 450 / ton for the 61% grade PB fines of wet basis and RMB 479 / ton for the fines of dry basis, with the basis for the closing prices at RMB 55 / ton, down by RMB 39.5 / ton compared with the basis of RMB 94.5 / ton for the spot price and the settlement price on the previous day, and down by RMB 38 / ton compared with the basis of spot price and closing price at RMB 93 / ton.
DISCLAIMER: The information on this webpage may be provided by media or other financial institution. DCE provides no warranty, representation or guarantee that the content is accurate, complete or timely. It does not constitute trading, legal or regulatory advice, and should not be relied upon for this purpose.
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ASIC Imposes Additional Licence Conditions On Macquarie Bank
ASIC has imposed additional conditions on the Australian financial services (AFS) licence of Macquarie Bank Limited (Macquarie).
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International Audit Regulators Call For Measurable Improvement By 2019
The pace of audit quality improvement is too slow and measureable improvement is needed, an international survey concluded. The Independent Forum of Independent Audit Regulators (IFIAR) issued the results of their annual inspections findings survey this week. In response to the findings, IFIAR and the six largest global audit networks (Deloitte, KPMG, PWC, EY, BDO and Grant Thornton) have agreed on a new initiative to achieve a measurable reduction in findings by 2019.
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March 11, 2016 - SS&C GlobeOp Hedge Fund Performance Index: February performance -0.95%; Capital Movement Index: March net flows advance 0.82%
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Monthly Summary Bulgarian Stock Exchange-Sofia February 2016
Click here to download the statistics for the market performance of the Bulgarian Stock Exchange in February, 2016.
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triReduce Polish Zloty Compression Cycle Eliminates 40% Of PLN Notional Outstanding In LCH.Clearnetâs SwapClear
TriOptima, an award-winning post trade infrastructure provider, announces today that 18 SwapClear members have compressed 40% of outstanding notional and 49% of outstanding trades in Polish zloty (PLN) interest rate swaps and forward rate agreements (FRA) in the latest triReduce compression cycle.
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Picturing Pensions
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Thomson Reuters, IRTI And CIBAFI In Partnership With CIMB Islamic Bank Launches New Study On The Outlook Of Islamic Finance In Indonesia - The Study Provides A Comprehensive Overview On The Development Of The Islamic Finance Industry In Indonesia
Thomson Reuters, the Islamic Research and Training Institute (IRTI), an affiliate of the Islamic Development Bank Group, and the General Council for Islamic Banks and Financial Institutions (CIBAFI), today launched a new Indonesia Islamic Finance Report titled “Prospects For Exponential Growth” at a ceremony in Jakarta. The study was prepared in strategic partnership with CIMB Islamic Bank.
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Euronext Announces Quarterly Review Results Of The CAC Family March 2016
Euronext yesterday announced the results of the reweighting of the CAC family, which took place after close of the markets on Thursday 10 March 2016.The changes following the review will be effective from 21 March 2016.
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Europex Calls For Reintroducing The Alternative Instrument Identifier (AII) As An Alternative To ISIN And Recommends Aligning The Timing Of The Financial Instruments Reference Data Obligation Under MiFIR And MAR
As it is a more effective and less costly option, Europex calls for reintroducing the possibility to use AIIs for identifying exchange traded derivatives, in the final technical standards of MiFIR and MAR. An alternative option would be to apply the obligation at product instead of instrument level. Secondly, as the technical standards have not been adopted yet and trading venues need time to implement the new rules, Europex recommends postponing the start of the application of the obligation under MAR until MiFIR applies.
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From March's Trading Places: OTC Derivative Reform & Global Equivalence â Is There Ever Really Equivalence? - Comment Piece By Richard Baker, CEO Cleartrade Exchange (CLTX)
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United Kingdom Parliament Treasury Committee Update: Re-Appointments Of Dame Clara Furse And Richard Sharp Report
The Treasury Committee publishes its report on the re-appointments of Dame Clara Furse DBE and Richard Sharp to the Bank of England’s Financial Policy Committee.
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Malawi Stock Exchange Weekly Trading Report, Week Ending March 11 2016
Click here to download Malawi Stock Exchange's weekly trading report, for the week ending March 11 2016.
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Intercontinental Exchange, Inc. Rule 2.10 Announcement
Intercontinental Exchange, Inc. (“ICE”) (NYSE: ICE), a leading operator of global exchanges and clearing houses and provider of data and listings services, confirms, in accordance with Rule 2.10 of the City Code on Takeovers and Mergers (the "Code"), that as of the close of business on 10 March 2016, it had 119,033,750 shares of common stock, having US$0.01 par value each, in issue and admitted to trading on the New York Stock Exchange under the International Securities Identification Number (ISIN) US45866F1049, excluding shares of common stock held in treasury.
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