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March 2009 Blog Posts (25)

Liquidity Risk The Interbank Market and Game Theory

Interbank markets may fail to allocate liquidity efficiently due to: asymmetric information about the quality of banks’ assets, banks’ free-riding on each other’s liquidity or on central bank liquidity; or as a consequence of predatory behaviour forcing ineffiient liquidation of bank assets. These are the (reasonably) well understood features of the "Game Theory" of the global interbank market.



It is becoming generally understood (particulalry in banking software development) that… Continue

Added by John A Morrison on March 31, 2009 at 2:31am — No Comments

Structured Credit Instruments (Toxic Assets) Theory and Practice of Quantitative Fair Value

We at asymptotix have been publishing again!



This is all part of the 'Theory Forge' (or theoretical framework) which I have been initiating recently. Our publications work (we think) by explaining more fully our theoretical point of view & our specific approach to quantitative analytics in risk management and finance. The content is mostly taken from the higher level theoretical background with which we approach specific client engagements.



Our new publications are two… Continue

Added by John A Morrison on March 31, 2009 at 12:30am — No Comments

Think Top Down, Build Bottom Up

by Kesavan,H.



When an organization kick-starts a Business Intelligence (BI) initiative, it should start TOP-DOWN by identifying a business sponsor first. This business sponsor is none other than the CEO himself. The drive for such an initiative has to come from the top. An IT head such as a CIO sponsoring the initiative may not take it very far and most often the initiative might end up getting abandoned or the BI system, even if implemented, might not find any… Continue

Added by Kesavan Hariharasubramanian on March 30, 2009 at 7:00am — No Comments

Market research in a recession

Ironically, a recession that is making consumer understanding even more necessary has also led to a reduction in market research budgets and shrinking head counts. There’s less money and fewer people to conduct research at a time when it’s more important than ever! more...

Source: Virtual Surveys Blog

Added by Lawrence Joseph on March 30, 2009 at 2:46am — No Comments

Is the Recession Going to End This Year?

According to Bernanke, there is a possibility that the recession could end in 2009. Additionally, over the weekend the G20 summit came out with promises to do what they could to stimulate the global economy. Between the trillions that the U.S. is spending on economic stimulus, along with the efforts being made around the world, it really is not that surprising of an assertion.… Continue

Added by Lawrence Joseph on March 30, 2009 at 2:44am — No Comments

Time Value of Data

by Kesavan, H.



We have all heard of time value of money. What could this "time value of data" mean?



All organizations these days are sitting on mountains of data and struggling to make sense of this data avalanche. In their desire to stay competitive, these organizations tend to store as much data as they can, for a 'rainy' day as they say, for they do not know which data would be useful when.



Notwithstanding this sad state of affairs in organizations,… Continue

Added by Kesavan Hariharasubramanian on March 30, 2009 at 1:35am — 1 Comment

#3: Here's a thought...

An occasional series in which a review of recent posts on SmartData Collective reveals the following nuggets:

Since the beginning of…

Believe it or not, the concept of data quality has been touted as important since the beginning of the relational database. The original concept of a relational database came from Dr. Edgar Codd, who worked for IBM in the 1960s and 70s. Dr. Codd’s ideas about relational databases, storing data in cross-referenced tables, were…

Continue

Added by Brian Roger on March 29, 2009 at 1:30pm — No Comments

clementine from spss

I have just ordered clementine from spss to teach my MBA students in a few weeks. Can anyone share any tips and tricks I can use when I get the software package?

Added by Dr. Jamie Pleasant on March 27, 2009 at 8:46pm — 1 Comment

Here's a Thought - BI Nuggets from SmartData Collective

An occasional series in which a review of recent posts on SmartData Collective reveals the following nuggets:


Who’s in charge here?
A recent survey of business and IT leaders carried out by Kalido shows that over two thirds of businesses have no clear data governance program, and have no plans to implement one — and 13% are unclear as to what data governance even is. The research also reveals that nobody knows…
Continue

Added by Brian Roger on March 23, 2009 at 5:26pm — No Comments

MECE Approach to Business Intelligence (BI) initiative

by Kesavan, H.



"MECE" stands for "Mutually Exclusive, Collectively Exhaustive". I am sure you must have guessed by now where that term comes from. If you said "Mckinsey", bingo! You can pat yourself on your back.



MECE is an approach that Mckinsey consultants religiously follow to find professional solutions to all their client problems. Given a problem statement, MECE addresses the problem by listing at the top level all issues making up that problem. Once the list… Continue

Added by Kesavan Hariharasubramanian on March 23, 2009 at 6:04am — No Comments

Hidden Decision Trees - A Better Approach to Scoring

Hidden Decision Trees is a statistical and data mining methodology (just like logistic regression, SVM, neural networks or decision trees) to handle problems with large amounts of data, non-linearities and strongly correlated independent variables.



The technique is easy to implement in any programming language. It is more robust than decision trees or logistic regression. Implementations typically rely heavily on large, granular hash tables.



No decision tree is… Continue

Added by Vincent Granville on March 17, 2009 at 10:30pm — 2 Comments

How to start a statistical career for a graduate when everywhere is asking for years of experiences?

Hello everyone,



My name is Rachel, who just joined AnalyticBridge. I am wondering if anyone could give me some advice on starting my statistical career as a graduate when most of the jobs are asking for years of experiences.



I have graduated with a Master of Science in Medical Statistics with First Class Honours in 2008 at the University of Auckland in New Zealand, and have moved to Sacramento in June, 2008 (Green card holder). I have great interest in statistical analysis… Continue

Added by Rachel on March 17, 2009 at 11:02am — 11 Comments

Common Sense approach to Consulting

by Kesavan,H



As consultants, we are expected to provide solutions to problems by application of (i)methodical approach to business analysis (ii)experience gained earlier from the same industry and (iii) the knowledge of industry best practices documented across the enterprise. It is a given that big Consulting companies recruit some of the best talent available around them and they also have a rich knowledge base that can be harvested for any new projects. Despite these… Continue

Added by Kesavan Hariharasubramanian on March 16, 2009 at 6:30am — No Comments

Closing the loop in BI

by Kesavan,H.



The significance of Business Intelligence (BI) has gained lot of currency over the last few years and lots of companies have jumped onto the BI bandwagon in the hope of finding the proverbial needle - namely, "actionable intelligence" - in the haystack of "data".



With a deluge of data confronting the companies nowadays, people at all levels of an enterprise have started realizing that implementing a BI system is more a necessity than a luxury. But… Continue

Added by Kesavan Hariharasubramanian on March 16, 2009 at 6:30am — No Comments

FREE Lean Six Sigma Material and Videos for Download

Dear Friends,



Computer Society of India and KINDUZ have launched an initiative to share knowledge to the industry FREE of cost through the KINDUZ Consulting Network where you can:



- Download Six Sigma Training Material

- Watch Videos on Six Sigma

- Network with Six Sigma Experts



All you need to do is go to the following URL, register yourself and request access.…



Continue

Added by CSI Hyderabad Workshops on March 11, 2009 at 3:57am — No Comments

What am I doing with my blogging? A Theory Forge for Quantitative Risk Management!

Is it a vanity project? Am I writing a story with a beginning a middle and an end? In a way Yes! I really started blogging here on Analytic Bridge, Vincent Granville encouraged me, back in the day when Analytic Bridge had few members. I thought Analytic Bridge was an optimal place to blog references to banking supervision papers which had a quantitative orientation generally and I think I was correct in that. Now I have to blog corporately, I have to support the company in which I am a partner.… Continue

Added by John A Morrison on March 11, 2009 at 12:00am — No Comments

Beware of using ATS when applying for Jobs Online!

Today practically every company has some sort of ATS (Applicant Tracking System). With unemployment heading north and Job Candidates sending sometime 70 to 80 resumes out per week there are a couple of things you need to know.



Sending your resume using many of the largest online job boards like Monster and CareerBuilder might not help you as much as you think with finding a new job!



Today more than ever, companies are trying to grab as many resumes into their database as… Continue

Added by Jeff LeFevre on March 6, 2009 at 6:30am — No Comments

How to find plausible, severe, and useful stress scenarios - Oesterreichische Nationalbank

Thomas Breuer Martin Jandacka

Klaus Rheinberger Martin Summer



[The authors] give a precise operational definition to three requirements the Basel Committee on Banking Supervision specifics for stress tests: Plausibility and severity of stress scenarios as well as suggestiveness of risk reducing actions. The basic idea of our approach is to define a suitable region of plausibility in terms of the risk factor distribution and search systematically for the worst portfolio loss over… Continue

Added by John A Morrison on March 6, 2009 at 5:00am — No Comments

Are Banks Different? Evidence from the CDS Market - Oesterreichische Nationalbank (OeNB)

Burkhard Raunig and Martin Scheicher Oesterreichische Nationalbank (OeNB)

February 16, 2009



This paper uses regression analysis to compare the market pricing of the default risk of banks to that of other firms. The authors study how CDS traders discriminate between banks and other type of firms and how their judgement changes over time, in particular, since the start of the recent financial turmoil. The authors use monthly data on the Credit Default Swaps (CDS) of 41 major banks… Continue

Added by John A Morrison on March 6, 2009 at 4:30am — No Comments

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