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Featured Blog Posts – February 2009 Archive (5)

R/Finance 2009: Applied Finance with R

The first annual R/Finance conference for applied finance using R , the premier free software system for statistical computation and graphics, will be held this spring in Chicago, IL, USA on Friday April 24 and Saturday April 25.



Assembled to talk over the two days are some of the industry's most recognizable authorities within the world of R and quantitative finance.



R/Finance 2009 is organized by a leading group of R package authors and community contributors, and hosted… Continue

Added by John A Morrison on February 24, 2009 at 3:21am — No Comments

The Case for Fully Integrated Models of Economic Capital

By Alexander McNeil, Professor, Maxwell Institute for the Mathematical Sciences, Edinburgh EH14 4AS, UK, Axel Kirchner, University of Edinburgh and Gavin Lee Kretzschmar, University of Edinburgh - Accounting and Finance





Economic capital models are potentially powerful tools for enterprise risk management (ERM), and for the supervisory review process (Pillar 2) of the Basel II and Solvency II regulatory capital frameworks. We argue that, to fulfill this potential, economic… Continue

Added by John A Morrison on February 24, 2009 at 12:30am — No Comments

Microsoft offers a $250K reward to catch the operator of a very fast growing botnet

by Mark Hachman



Microsoft, several security firms, and members of the academic community came together Thursday to try and develop a coordinated plan to halt the spread of the Conficker worm, also known as Downadup.



Microsoft announced a $250,000 reward for information leading to the arrest and conviction of the Conficker author or authors, available to anyone in any country, subject to local laws. Meanwhile, a group of security companies pledged to work together to… Continue

Added by Vincent Granville on February 13, 2009 at 4:00pm — 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

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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