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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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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http://ning.it/bZiSVH

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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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

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

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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 In the fast-moving economy, by the time your patent is accepted, the product is outdated.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: Continue

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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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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by Domenico Giannone, Jérôme Henry…

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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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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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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

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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