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February 2010 Blog Posts (15)

(Liquidity) Stress testing and contingency funding plans: LUXEMBOURG

ABSTRACT

This paper analyzes the current practices adopted by a sample of Luxembourg banks on liquidity stress testing and contingency funding plans. The paper covers four main topics: liquidity stress testing coverage, scenario design, policy issues and contingency funding plans. We compare, when relevant, these results to a larger sample of EU peer banks. The results, collected through a questionnaire addressed to forty-seven banking groups, are analyzed by the means…

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Added by John A Morrison on February 25, 2010 at 11:48pm — No Comments

Risk aggregation in Solvency II: How to converge the approaches of the internal models and those of the standard formula?

by Laurent Devineau & Stéphane Loisel

SAF - Laboratoire de Sciences Actuarielle et Financière - Université Claude Bernard - Lyon

ABSTRACT

Two approaches may be considered in order to determine the Solvency II economic capital: the use of a standard formula or the use of an internal model (global or partial). However, the results produced by these two methods are rarely similar, since the underlying hypothesis of marginal capital aggregation is not…

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Added by John A Morrison on February 25, 2010 at 11:30pm — No Comments

R-bloggers - sharing R related content from the "R blogoshpere)

I already wrote about R-bloggers on my blog, so it only seems fitting to republish it here. I will explain what R-bloggers is and then…

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Added by Tal Galili on February 17, 2010 at 1:00pm — No Comments

Only one degree of separation with Barack Obama

I am connected (on LinkedIn) to at least one person who is directly connected to Barack Obama. That's one degree of separation. With Bill Gates, I have two degrees of separation.



Social networks have made it possible for people to be more closely related than ever before. Actually, I'm much closer to Bill Gates than Barack Obama, in real life. I'd expect (in real life, as opposed to online) that my degrees of separation with the US President would be 4 or 5, and 3 with… Continue

Added by Vincent Granville on February 15, 2010 at 11:30pm — 2 Comments

How to fight swine flu with digital technology?

By Deborah Yao, AP Business Writer , On Monday February 15, 2010, 11:36 am EST.

PHILADELPHIA (AP) -- A tap on the HealthMap iPhone application brings up a cluster of red pins on a map, representing nearby cases of swine flu. Another tap brings up a form for ordinary Americans to add to the collection by reporting bouts they have or know about.



HealthMap Outbreaks Near Me is among scores of iPhone apps, along with social networks, Wikipedia and flu-tracking sites, that give… Continue

Added by Vincent Granville on February 15, 2010 at 11:00pm — 1 Comment

Rise of the Machines: How "Quant" Trading Triggered the Credit Crisis

Posted Feb 11, 2010 04:19pm EST by Aaron Task

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Added by Vincent Granville on February 14, 2010 at 8:51pm — 2 Comments

Fewer patents submitted in 2009: a sign that US is less innovative? Maybe just the contrary.

Companies have been cutting budgets, and lengthy/expensive patent applications is one of the easiest costs to cut. In the fast-moving economy, by the time your patent is accepted, the product is outdated. But there are other reasons for not submitting patents:
  1. By submitting a patent, your idea can get stolen (e.g. by the patent Attorneys)
  2. For analytic algorithms, it is much more important to be protected against reverse engineering (a…
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Added by Vincent Granville on February 13, 2010 at 11:30pm — No Comments

Factor models and the credit risk of a loan portfolio

Palombini, Edgardo (2009): Factor models and the credit risk of a loan portfolio. Unpublished.

Abstract

Factor models for portfolio credit risk assume that defaults are independent conditional on a small number of systematic factors. This paper shows that the conditional independence assumption may be violated in one-factor models with constant default thresholds, as…

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Added by John A Morrison on February 11, 2010 at 12:57am — No Comments

Evaluating Value-at-Risk models via Quantile Regression

AUTHORS

Wagner Piazza Gaglianone

Luiz Renato Lima

Oliver Linton

Daniel Smith

ABSTRACT

This paper is concerned with evaluating value at risk estimates. It is well known that using only binary variables, such as whether or not there was an exception, sacrifices too much information. However, most of the specification tests (also called backtests) available…

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Added by John A Morrison on February 11, 2010 at 12:34am — No Comments

AN AREA-WIDE REAL-TIME DATABASE FOR THE EURO AREA - European Central Bank



by Domenico Giannone, Jérôme Henry…

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Added by John A Morrison on February 11, 2010 at 12:25am — No Comments

Credit and banking in a DSGE model of the euro area BANCA D'ITALIA

Credit and banking in a DSGE model of the euro area

by Andrea Gerali, Stefano Neri, Luca Sessa and Federico Maria Signoretti

(Working Paper) Number 740

Abstract



This paper studies the role of credit-supply factors in business cycle fluctuations. For this purpose, we introduce an imperfectly competitive banking sector into a DSGE model with financial frictions. Banks issue collateralized loans to both households and firms, obtain funding via deposits and…

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Added by John A Morrison on February 11, 2010 at 12:18am — No Comments

Vendor models for credit risk measurement and management - Basel Committee

Vendor models for credit risk measurement and management

BCBS Working Papers No 17

February 2010

the Research Task Force of the Basel Committee initiated a review of selected vendor credit-risk products, focusing on models that could be used to estimate probability of default, loss-given-default, or exposure at default, and models that could be used to assign ratings or produce credit scores, for wholesale or retail credit exposures. This paper provides a high-level…

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Added by John A Morrison on February 11, 2010 at 12:10am — No Comments

Test Data Wanted

I am looking for, preferably real life, test data for my (prototype) data mining/machine learning tool Emping-0.6, This tool discovers heuristic rules in a table of nominal data and the relationship between these rules. It has currently been tested on the mushroom data set from the UCL machine learning repository and the audiology set from that same repository.



For more info see Muitovar. Don't forget to have a look at the 3635 rules for… Continue

Added by Hans van Thiel on February 10, 2010 at 1:32pm — No Comments

ACM Newsletter

Last edition below.

To sign up: www.acm.org



DARPA's New Plans: Crowdsource Intel, Edit DNA


Wired News (02/02/10) Drummond, Katie



The U.S. Defense Advanced Research Projects Agency's (DARPA's) future plans call for crowdsourcing military

intelligence, creating an immune system for Defense Department networks, and

conducting research that could lead to editing soldiers' DNA. DARPA wants to

improve how the… Continue

Added by Vincent Granville on February 7, 2010 at 12:42pm — No Comments

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