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February 2009 Blog Posts (27)

Financial Times Lex Column - Is structured finance dead?

Is structured finance dead? The market is certainly on life support: issuance of collateralised debt obligations and their synthetic equivalents has fallen from a peak of more than $350bn worldwide in the first quarter of 2007, according to Creditflux, to virtually nothing.



Securitisation remains a useful tool to spread risk but, if market participants cannot identify who is at risk and the extent of the risk they are exposed to – or would like to pass on – it is no wonder the system… Continue

Added by John A Morrison on February 5, 2009 at 2:49am — No Comments

The Forrester Blog - Is BI recession Proof?

Is the BI industry recession proof, or is the next soft-economy shoe--or heavy hammer--poised to drop on this segment’s unsuspecting heads? To some extent, I suspect that BI’s relative, perhaps short-lived, immunity from tough times is due to its use as a “recession-busting” tool for identifying areas to cut costs, consolidate operations, and boost revenues.…



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Added by John A Morrison on February 5, 2009 at 1:45am — No Comments

European Central Bank (ECB) Working Paper - INFINITE-DIMENSIONAL VARS & Factor Models

Vector autoregressive models (VARs) provide a flexible framework for the analysis of complex dynamics and interactions that exist between variables in the national and global economy. However, the application of the approach in practice is often limited to a handful of variables which could lead to misleading inference if important variables are omitted merely to accommodate the VAR modelling strategy. Number of parameters to be estimated grows at the quadratic rate with the number of… Continue

Added by John A Morrison on February 5, 2009 at 1:30am — No Comments

TOGAF Version 9 -- The Open Group Architecture Framework

Launched last week, The Open Group Architecture Framework (TOGAF) is a framework - a detailed method and a set of supporting tools - for developing an enterprise architecture. It may be used freely by any organization wishing to develop an enterprise architecture for use within that organization.

http://www.opengroup.org/architecture/togaf9-doc/arch/

Added by John A Morrison on February 5, 2009 at 1:28am — No Comments

New Paper - New recipes for estimating default intensities

Alexander Baranovski, Carsten von Lieres and André Wilch (all WestLB AG)



This paper presents a new approach to deriving default intensities from CDS or bond spreads that yields smooth intensity curves required e.g. for pricing or risk management purposes. Assuming continuous premium or coupon payments, the default intensity can be obtained by solving an integral equation (Volterra equation of 2nd kind). This integral equation is shown to be equivalent to an ordinary linear… Continue

Added by John A Morrison on February 5, 2009 at 1:08am — 1 Comment

New Research Technical Paper - "NowCasting" Irish GDP - Central Bank of Ireland

PLEASE SEE THE REFERENCES IN THE COMMENTS BELOW TO GET THE WHOLE STORY

THIS IS A 'BLEEDING EDGE' "TECHNOLOGY" DEVELOPED BETWEEN BRUSSELS AND DUBLIN; BUT DREAMED UP BY THE ECB; viz;-

Recent studies undertaken by the ECB show that the so-called mixed frequency models,…

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Added by John A Morrison on February 5, 2009 at 1:00am — 9 Comments

Legislation Aims To Curb Data Mining

Most people are unaware that after they fill a prescription, many pharmacies turn around and sell information about that prescription to pharmaceutical companies in order for them to market their drugs to physicians. This practice is called data mining and it has negative consequences for the public health, health care costs, and privacy.



Through data mining, pharmaceutical companies are able to target-market their high-cost, brand-name drugs to prescribers who either are already… Continue

Added by Vincent Granville on February 2, 2009 at 6:30pm — 1 Comment

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