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8

The general concept from bitcoin which seems to be in use elsewhere is that of a Distributed Ledger. This is the idea that ownership can be assigned, transferred and tracked entirely digitally. So one use case is the the Bank of England running a distributed ledger for a kind of bond equivalent, which institutions could use for payment or collateral, but ...


4

"pricing" am autocallables is simply working out what it's worth. This is done by having some model (Google local vol / stochastic local vol) which is calibrated to the market (ie listed vanilla options, broker quotes for less liquid tenors, and some light exotics (ie American barriers, cliquetes, etc.)), and then simulating the underlying many times, ...


3

The fundamental problem that blockchains allow to solve is the following: There are several parties who do not trust each other. They are interested to record the existence of certain data at certain points in time. If one party is rightfully interested to record some data, no other party can prevent it to do so. All parties agree on a common past: There ...


2

In general, the Fed Funds rate is below the repo rate. That is because of a few things: With the introduction of interest on excess overnight reserves (IEOR) banks can park their money at the Fed and get paid for them. They have less of a need to move their money. This means that banks with idle reserves no longer need to go to the Fed Funds market to ...


1

The ECB can get you Eurosystem-wide aggregates, but remember that these are just reported by the ECB by the national central banks, who actually regulate the banks. The rules and reporting standards are Europe-wide; but this is nationally operated. And the precise figures for every individual bank are commercially-sensitive data. I'm not sure they are a ...


1

Merton model has been highly criticized in academic literature for its accuracy, though it provides good ranking of credit risk, it fails to quantify it. I'd say use machine learning or better yet deep learning. I used a recurrent neural network with time series inputs like amount due and changing monthly income among many more. It provided a good estimate ...


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