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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

Measuring Marketing Programs Performance

Hi,

I am trying to understand how to analyze and measure marketing programs performance. To give an example -

If X and Y are 2 different marketing programs being run by various channels, X has a target of $100, achieved was $120 and final compensation was $50 to channels. Y has a target of $150, achieved was $250 and final compensation was $30 to channels.



My objective is to understand which of X and Y have performed better, should any programs be scrapped, should there be… Continue

Added by sushil on January 31, 2009 at 5:42am — No Comments

Click fraud reaches record high in Q4 2008

Click fraud is at its highest rate ever, new research shows. The average click fraud rate for paid search advertisers reached a record 17.1% in the fourth quarter, up from 16% for the third quarter and 16.6% for Q4 of 2007, web traffic quality auditor Click Forensics Inc. reports.



Click fraud traffic from botnets, robotic software that automatically clicks on ads, increased 14% for the quarter—the second highest jump ever, Click Forensics says. Botnets were responsible for 31.4% of… Continue

Added by Vincent Granville on January 29, 2009 at 8:30pm — No Comments

REvolution Computing Makes High Performance ‘REvolution R’ Available For Download

REvolution Computing Makes High Performance ‘REvolution R’



Available For Download







New Haven, CT – January 28, 2009 – REvolution Computing, a leading provider of open source predictive analytics solutions, today announced that it has made a public version of its commercial grade REvolution R program available for download from its website. REvolution R is REvolution Computing’s distribution of the popular R statistical software, optimized for use in commercial… Continue

Added by John A Morrison on January 29, 2009 at 3:00am — No Comments

A Layered Integrated Enterprise Solution Architecture for Financial Predictive Analytics

I think that as an aspect of governments taking equity or preference interest in the banks whilst simultaneously acting as 'counterparty of last resort' in the structured products and credit derivatives markets, a situation which is simply not, even medium term, tenable; the governments should insist that the banks implement modern systems which will support financial analytics in an holistic sense. Systems holistic enough that the banks' boards of management cannot use the 'we were not told'… Continue

Added by John A Morrison on January 27, 2009 at 10:00pm — No Comments

Value of BI in times of Recession

References



1. Article: 'Value of BI in a weak economy' from http://www.tdwi.org/News/display.aspx?id=9231



2. LogiXML Whitepaper: 'BI in Recession: How to Gain Market Share' from http://www.b-eye-network.com/view/9452





Value of BI in times of Recession



On Monday December 1, 2008, the National Bureau of Economic Research declared that the economy has been in retreat for a year, namely since December 2007, when mass selling on Wall… Continue

Added by Kesavan Hariharasubramanian on January 27, 2009 at 12:58am — No Comments

Enabling Corporate Governance using BI

References:





1. "Sarbanes-Oxley Act" - http://en.wikipedia.org/wiki/Sarbanes-Oxley_Act



2. 'Intro to Compliance - Sarbanels Oxley & your EDW' from http://www.b-eye-network.com/blogs/linstedt/archives/2009/01/post.php



3. 'Gauging your BI Maturity for SOX Compliance' from http://www.technologyexecutivesclub.com/Articles/businessintelligence/bimaturity.php



Enabling Corporate Governance using BI



In this article, we shall explore… Continue

Added by Kesavan Hariharasubramanian on January 27, 2009 at 12:53am — No Comments

Bank of America / MIT Future Banking Blog

Just a beautifully presented and very interesting blog, in my view.

http://futurebanking.bankofamerica.com/

Added by John A Morrison on January 26, 2009 at 5:30am — No Comments

Scenario Based Enterprise Capital Models - Why Banks are Under-Capitalized

I understand this is paper 2 in a series of 3; paper one is being completed by Professor McNeil and will be a the key contribution to a REvolution in thinking about Economic Capital which does seem to progressing right now.



Abstract: (of the paper referred here)

The concept of economic capital is clear; it is the capital charge that a financial institution (bank or insurance company) requires in order to limit the probability of bankruptcy to a given confidence level over a… Continue

Added by John A Morrison on January 26, 2009 at 5:30am — No Comments

Basel II in Switzerland 9th January 2009 update

In Switzerland the EBK (www.ebk.admin.ch) is entrusted with (Basel II) implementation. Under its leadership a mixed national working group, made up of representatives of all relevant interest groups in the Swiss financial industry, is working out the appropriate Swiss legal regulatory standards. In Switzerland all the menu approaches offered by Basel II are being implemented, and are therefore in principle available to every institute.…



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Added by John A Morrison on January 26, 2009 at 5:30am — No Comments

Gillian Tett on Davos in the Financial Times

Gillian Tett has not written anything under her own byline in the Financial Times since November last year and before that her contributions were unfortunately sparse. She has moved up the ladder in the FT recently, finally acknowledged for all her great reporting on the phases of the Credit Crisis from the summer of 2007 (yes!). She was the first journalist to truly acknowldege it was happening and was in the thick of it during the horrible moments of Central Bank liquidity pumps and Sunday… Continue

Added by John A Morrison on January 26, 2009 at 1:00am — No Comments

The Prediction Lover's Handbook MIT Sloan School

Nice overview of the perspective of both of these well regarded academics on the subject of Prediction, where its at right now, Sloan Management Review is usually well ahead of the curve. You have to register to see this but I would recommend that you do. As a second-degree stundent SMR almost did my degree for me, in part!





The Prediction Lover’s Handbook

By Thomas H. Davenport and Jeanne G. Harris



January 7, 2009



Assessment tools for better-informing… Continue

Added by John A Morrison on January 26, 2009 at 12:30am — No Comments

Quantitative Analytics in Banking: How do we get the Heads Out of the Sand

The press has got onto thinking about what is wrong with banking right now, it has taken a crisis to get them to focus. It has taken a crisis to bring the banks and their supervisors closer together, sharing a common objective and that at the very least is one good thing to evolve from this crisis. Supervisors and senior Bankers are at least on adjacent pages. But that is only in terms of the regulatory and transparency requirements, the theory, the jurisprudence if you will. It will take the… Continue

Added by John A Morrison on January 25, 2009 at 12:30am — No Comments

The quill pen and asymptotic approximation -

This is a really important article from the august "Daily Telegraph" in the UK, it describes the process being undertaken right now to quantify a value for the structured products held off or on balance sheet by the UK banks, it focuses on the biggest and most controversial of the UK banks which WAS a player in this market game, RBOS for whose executives and ex-executives the UK press are beginning to sniff the opportunity for blood!…



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Added by John A Morrison on January 24, 2009 at 11:00pm — 1 Comment

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