Income inequality over average income

In South Africa we have a major income inequality problem. It’s historical (accumulated wealth, accumulated skills) and current (disastrous public education) and isn’t going away any time soon. The free market argument here is to forget about income inequality per se and focus on economy friendly, business friendly policies that will grow the entire economy […]

Systematic risk in insurance

Lots on this topic to come over the next few months. IAIS chair Peter Braumüller acknowledged that traditional insurance does not “generate or amplify systemic risk” within the financial system or in the real economy. Although non-traditional risks do (derivatives exposures, CDS etc.) Meanwhile, the IAIS has released it’s proposals for identification and assessment of […]

Not only eggs will be broken

Volatility skew didn’t exist before the 1987 market crash. Before then, the assumptions of the Black-Scholes option pricing model were felt to be about right. Constant volatility, continuously tradeable instruments with no discontinuities in prices, independent returns from one period to the next. Then the market crashed downwards exhibiting leptokurtic, negatively skewed returns and large […]

I can’t resist making a bit of noise about this

The second largest Bitcoin exchange is shutting down (possibly to reopen elsewhere). Bitcoin experienced a rough night on Monday as TradeHill, the second-largest Bitcoin exchange, announced that it was closing its doors. In a statement, CEO Jered Kenna cited regulatory problems and the loss of $100,000 in a dispute with one of its payment processors […]