The secured borrowing based on sell/buy-backs agreements is studied, specifically considering both: quantity and price. The empirical evidence presented in this paper suggests that, after controlling for specific individual characteristics, group-specific effects (defined by belonging or not to...

Anomaly-detection methods are aimed at identifying observations that deviate manifestly from what is expected. Such methods are usually run on low-dimensional data, such as time series data. However, the increasing importance of high-dimensional payments and exposure data for financial oversight...

Whilst emphasis has been given to short-term dependence of financial returns, long term dependence remains overlooked. Despite financial literature provides evidence of long-term's memory existence, serial-independence assumption prevails. This document's long-term dependence assessment relies...

As a result of the most recent global financial crisis literature has embraced size, connectedness and substitutability as key indicators for financial institutions' systemic importance. Despite the intuitiveness of these concepts, identifying systemic important institutions remain a non-trivial...

Financial basics and intuition stresses the importance of investment horizon for risk management and asset allocation. However, the beta parameter of the Capital Asset Pricing Model (CAPM) is invariant to the holding period. Such contradiction is due to the assumption of long-term independence...

The most recent financial crisis unveiled that liquidity risk is far more important and intricate than regulation have conceived. The shift from bank-based to market-based financial systems and from Deferred Net Systems to liquidity-demanding Real-Time Gross Settlement of payments explains some...

As a natural extension to León and Vivas (2010) and León and Reveiz (2010) this paper briefly describes the Cholesky method for simulating Geometric Brownian Motion processes with long term dependence, also referred as Fractional Geometric Brownian Motion (FBM). Results show that this method...

First developed by Markowitz (1952), the mean-variance framework is the most widespread theoretical approximation to the portfolio problem. Nevertheless, successful application in the investment community has been limited. Assumptions such as normality of returns and a static correlation matrix...

Whilst emphasis has been given to short-term dependence of financial returns, long-term dependence remains overlooked. Despite the fact than financial literature provides evidence of long-term memory existence, serial-independence assumption prevails. This document's long-term dependence...