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All Blog Posts Tagged 'Asymptotix' (10)

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

CEPR DP7083 Firm Default and Aggregate Fluctuations

DP7083 Firm Default and Aggregate Fluctuations



Author(s): Tor Jacobson , Rikard Kindell , Jesper Lindé , Kasper F. Roszbach



This paper studies the relation between macroeconomic fluctuations and corporate defaults while conditioning on industry affiliation and an extensive set of firm-specific factors. Using a multiperiod logit approach on a panel data set for all incorporated Swedish businesses over 1990-2002, we find strong evidence for a substantial and stable impact of… Continue

Added by John A Morrison on March 3, 2009 at 10:10am — No Comments

Aggregate bankruptcy rates and the macroeconomic environment: Forecasting systematic probabilities of default

Aggregate bankruptcy rates and the macroeconomic environment: Forecasting systematic probabilities of default



by Dewaelheyns N; Van Hulle C.



K.U.Leuven, Faculty of Economics and Applied Economics, Department of Accountancy, Finance and Insurance (AFI), Research Center



Abstract



Recent empirical research has stressed the importance of economy wide factors in the assessment of default risk, for instance for bond portfolios or portfolios of bank loans.… Continue

Added by John A Morrison on March 2, 2009 at 11:00pm — No Comments

R/Finance 2009: Applied Finance with R

The first annual R/Finance conference for applied finance using R , the premier free software system for statistical computation and graphics, will be held this spring in Chicago, IL, USA on Friday April 24 and Saturday April 25.



Assembled to talk over the two days are some of the industry's most recognizable authorities within the world of R and quantitative finance.



R/Finance 2009 is organized by a leading group of R package authors and community contributors, and hosted… Continue

Added by John A Morrison on February 24, 2009 at 3:21am — No Comments

The Case for Fully Integrated Models of Economic Capital

By Alexander McNeil, Professor, Maxwell Institute for the Mathematical Sciences, Edinburgh EH14 4AS, UK, Axel Kirchner, University of Edinburgh and Gavin Lee Kretzschmar, University of Edinburgh - Accounting and Finance





Economic capital models are potentially powerful tools for enterprise risk management (ERM), and for the supervisory review process (Pillar 2) of the Basel II and Solvency II regulatory capital frameworks. We argue that, to fulfill this potential, economic… Continue

Added by John A Morrison on February 24, 2009 at 12:30am — No Comments

What Happened to the Quants in August 2007

In June of 2007, the assets of two funds managed by Bear Stearns were seized and sold by a number of lenders to the funds, including Merrill Lynch. These assets of the BS funds were collateralized debt obligations, or CDOs, Many of the CDOs the Bear Stearns funds had were backed by mortgage securities.



The Bear Stearns events of the summer of 2007 still looked to the global markets as if the were US specific at that time, it was not until the BNP Paribas issues that the problem… Continue

Added by John A Morrison on February 19, 2009 at 1:11am — No Comments

W R A P 2.0 - Wiki Risk Assessment Process 2.0 Collaborative Risk Transperency

The WRAP Approach



The WRAP creates a global community of expert modelers and modeling resources dedicated to unlocking today’s credit and structured asset markets through an open, transparent and collaborative process for valuing and risk-assessing non-government credit securities and related instruments and contracts such as CDOs and credit derivatives.



By tapping the ‘Wisdom of the Crowd’, we believe that the WRAP can introduce a level of transparency and peering to… Continue

Added by John A Morrison on February 12, 2009 at 3:03am — No Comments

Interoperability: the great enabler: The Financial Times by Michael Schrage

The writer researches the economics of innovation at MIT’s Sloan School and at Imperial College’s Business School



Here is a quote from the article;-



" .... as interoperability be­comes the technical locus of innovation strategy worldwide, regulators may feel compelled to enshrine, loosen or shatter market standards. Interoperability standards can create, or destroy, innovation oligopolies and monopolies. Interoperability represents a challenge to competition policies in… Continue

Added by John A Morrison on February 12, 2009 at 2:42am — No Comments

The American Chamber of Commerce in Luxembourg - "Shaping the Future of Regulation"

The American Chamber of Commerce in Luxembourg (AMCHAM) - "Shaping the Future of Regulation"



The Financial Services Committee of AMCHAM and the Luxembourg Association for Risk Management Professionals (PRiM) are jointly organizing a top class seminar on the subject of "Shaping the Future of Regulation" on March 10, 2009, at 18:00 at BGL Societé Anonyme, 50, Ave. J.F. Kennedy, L-2951 Luxembourg.



Speakers include Mr. Yves Mersch, Governor of the Banque Centrale du… Continue

Added by John A Morrison on February 12, 2009 at 1:47am — No Comments

The Argument for Community Open Source in Financial Predictive Analytics.

The Central Banks, Universities, Software Vendors, individual developers and consulting firms are constantly publishing papers in the public domain about how to do modern risk management, most of these model risk management in R. There is no question that in general black box proprietary closed source predictive analytics have failed the banking industry and thus society through this crisis period. The detailed evidenced argument that the manner of implementing risk analytics is already done by… Continue

Added by John A Morrison on February 8, 2009 at 10:39pm — No Comments

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