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May 2009 Blog Posts (21)

#12: Here's a thought...

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

Thinking macro vs. micro on social media

While I couldn’t think of any good ones off the top of my head, a thought about marketing on social media crossed my mind. The ability to allow your brand to take an occasional hit on the micro level, in order that it will have more success on the macro level, is exactly what companies need to do on social… Continue

Added by Brian Roger on May 31, 2009 at 8:03pm — No Comments

HR Personnel Have It Right!

With unemployment reaching over 10% in some parts of the country, hiring managers are becoming very picky on choosing a candidate. What is happening is that jobs are going unfilled because of their perceptions. Management thinks the job market is terrible and that all open positions should be easily filled instantly with top notch candidates. More and more HR personnel are shaking their heads in disbelief that some of the candidates that they have met with are not getting job offers. Candidates… Continue

Added by Jeff LeFevre on May 27, 2009 at 3:28pm — No Comments

Sophisticated time series analysis in Excel with Inference for R

Inference for R places the power of R statistical analysis software inside the productivity rich environment of MS Office. With Inference for R you can combine R code, data, and text in Excel, Word, and PowerPoint documents to create reports and deploy analysis solutions.

While Excel spreadsheets are an excellent tool for simple analysis, they are ill suited for performing complex analysis… Continue

Added by Ben Hinchliffe on May 26, 2009 at 7:30am — No Comments

#11: Here's a thought...

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

The eternal quest: better data

Data governance and data quality are often the domain of data quality vendors, but any technology that can help your quest to achieve better data is worth exploring. Rather than fixing up data after it has been corrupted, it’s a good idea to use preventative technologies to stop poor data quality in the first… Continue

Added by Brian Roger on May 25, 2009 at 1:35pm — No Comments

Has the Basel II Accord Encouraged Risk Management During the 2008-09 Financial Crisis?

Michael McAleer, Econometric Institute, Erasmus University Rotterdam and Department of Applied Economics, National Chung Hsing University, Taiwan

&

Juan-Angel Jimenez-Martin, Department of Quantitative Economics, Complutense University of Madrid

&

Teodosio Pérez-Amaral, Department of Quantitative Economics, Complutense University of Madrid

May 2009

CONCLUSION (EXTRACT)

In this paper we defined risk management… Continue

Added by John A Morrison on May 25, 2009 at 1:00am — No Comments

New Inference for R update

We’re pleased to announce a new update (Version 3.0.2) to Inference for R. This update includes the following:

• Support for R 2.9

• Support for running Inference for R on 64-bit (x64) versions of Windows XP and Windows Vista

If you're a user of R 2.9 or 64-bit Windows, you should download a new version today. We’re offering extended trial license keys to anyone who would like to try this updated version. You may request an… Continue

Added by Ben Hinchliffe on May 22, 2009 at 11:37am — No Comments

BASEL COMMITTEE - Holistic Risk Analytics & Stress Testing Principles

It's not just the "secretariat" in Basel scribbling out guidance which noone needs to read in the first paper I am citing here, look at the members of the committee which produced this document!!! There's a representative from nearly every significant Supervisor in the Globe. Does this mean that we have a new consensus from the current supervisory "overheid"? (Flemish term for government, which I think rings in English). Are they saying to us that Risk Analytics must be holistic i.e must… Continue

Added by John A Morrison on May 20, 2009 at 11:30am — No Comments

CREDIT RISK AND CAPITAL REQUIREMENTS FOR THE PORTUGUESE BANKING SYSTEM

by Paula Antão & Ana Lacerda, BANCO DE PORTUGAL, May 2009

File Under "Very Useful Introduction to Basel II"

http://www.bportugal.pt/publish/wp/2009-8.pdf

Added by John A Morrison on May 19, 2009 at 10:30am — No Comments

For all of you out there interested in Liquidity Risk Analytics (of the Market type)

When you are analysing liquidity risk you have to be aware that there are two classes of the phenomenon, its akin to the demand and supply side of an equilibrium really, with Funding Liquidity (FL) effectively modelling institutional demand for money and Market Liquidity (ML) effectively modelling supply of liquidity. Balance them both and you have the price of liquidity for your institution. See my SAP B2P2 WP for a literature review which summarises this classification neatly I… Continue

Added by John A Morrison on May 19, 2009 at 2:44am — No Comments

The Point of Stress Testing and How to do it!

This is a summary of links to IP already on the asymptotix website (and my related blog on Analytic Bridge) alongside references to Revolutions, the world leading blog of material on R and REvolution Computing from David Smith at REvolution Computing. One or two of the older references are direct links to material in the public domain and may duplicate some of the summary references on the asymptotix site.

I have split the references between 3… Continue

Added by John A Morrison on May 19, 2009 at 2:34am — No Comments

#10: Here's a thought...

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

“Intelligent” decision-making

If a predictive analytic model turns uncertainty about how a particular customer (or supplier or partner) will behave in the future into a usable probability, then you can act based in part on that probability. In other words you can specify some rules that use the probability in deciding what action to take next. This kind of… Continue

Added by Brian Roger on May 18, 2009 at 12:26pm — No Comments

#9: Here's a thought...

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

It doesn’t have to be that way

Ideally, corporate restructuring means establishing a process to allow organizations to continue their operations using their existing systems. IT systems reconciliation simply cannot get in the way of running business operations. All too often, the answer is, “Replace their systems with ours.” This statement means that the new… Continue

Added by Brian Roger on May 10, 2009 at 5:43pm — No Comments

if I were considering my strategy in wholesale markets for 2010 / 15, this piece would be important to me.

European Parliament, Commission, CAD 3.5 & The future of securitisation in Europe

http://www.asymptotix.eu/content/revision-b%C3%A2le-ii-directive-gets-green-light-european-parliament-cad4-arrives

Added by John A Morrison on May 9, 2009 at 4:21am — No Comments

TWITTER takes off with Hudson River AirBus "landing" & SWINE FLU early Prediction by Veratect Inc.

Photo of US Airways Flight 1549 after crashing into the Hudson River in New York City, United States, January 15, 2000. Photo taken and uploaded to Flicker.com as a Creative Common License, within minutes of the crash landing. Traditional news media did not arrive until about 45 minutes later.

Citations:

1. http://www.flickr.com/photos/[email protected]/3200086900

2.… Continue

Added by StatSoft, Inc - STATISTICA on May 8, 2009 at 11:04am — 1 Comment

European Central Bank: Integrated Economic Capital Models

AN ECONOMIC CAPITAL MODEL INTEGRATING CREDIT AND INTEREST RATE RISK IN THE BANKING BOOK

by Piergiorgio Alessandri and Mathias Drehmann

I think this is a version of a paper I have already referred either here or over in the asymptotix blogs. What is interesting is that this paper is in the European Central Bank working papers series. Are these ideas becoming finally mainstream? Would that not be just "the business". Instead of highlighting the abstract in a blog post, as I… Continue

Added by John A Morrison on May 7, 2009 at 12:33am — No Comments

A Framework for Assessing the Systemic Risk of Major Financial Institutions

by Xin Huang, Hao Zhou and Haibin Zhu

BIS Working Papers No 281

April 2009

Abstract:

In this paper we propose a framework for measuring and stress testing the systemic risk of a group of major financial institutions. The systemic risk is measured by the price of insurance against financial distress, which is based on ex ante measures of default probabilities of individual banks and forecasted asset return correlations. Importantly, using realized correlations… Continue

Added by John A Morrison on May 7, 2009 at 12:15am — No Comments

How to traction the European Commission Structural Economic Model of the EU for Stress Testing

Over the last two months in particular, I have become interested in the integration of Low Dimensional Factor Modelling with Structural Modelling (nowadays referred as DSGE or Dynamic Stochastic General Equilibrium (models)). You can see many references to my growing interest in this topic in this blog and in my corporate blogs over on; http://www.asymptotix.eu/blogs

The recent publication of the Spring Forecasts by the Directorate… Continue

Added by John A Morrison on May 7, 2009 at 12:10am — No Comments

Rogue Wave Software Acquires Visual Numerics

Creates a leading commercial vendor of cross-platform, embeddable software libraries

BOULDER, Colo., May 5, 2009 - Rogue Wave Software, Inc., a Battery Ventures portfolio company, today announced that it has acquired Visual Numerics, Inc., a privately held advanced analytics software company based in Houston, Texas.

For more than three decades, Visual Numerics has provided numerical analysis and visualization software solutions that help users understand complex data from… Continue

Added by Vincent Granville on May 6, 2009 at 3:38am — No Comments

#8: Here's a thought...

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

There’s more to analytics than…

Although understanding data and developing statistical models is certainly an important component of an analytic project, this is just one aspect of analytics. This aspect includes cleaning data, enriching data, exploring data, developing features, building models, validating models, and iterating the process. From a broad… Continue

Added by Brian Roger on May 3, 2009 at 10:35pm — No Comments

Swine Flu Virus Detected Earlier Via Data Mining Techniques

Kirkland firm noted outbreak in Mexico early

Weeks before the Centers for Disease Control and the World Health Organization alerted the public to a growing number of swine flu cases, a startup based in Kirkland already had a hunch something was up. Veratect Inc., a 2-year-old company with fewer than 50 employees, combines computer algorithms with human analysts to monitor online and offline sources for hints of disease outbreaks and civil unrest worldwide

By Jessica… Continue

Added by Vincent Granville on May 3, 2009 at 10:30pm — No Comments