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All Blog Posts Tagged 'Union Legend' (9)

The UK Treasury Select Committee Hearings - Its All about Stress Testing

Really, it is all about Stress Testing, Financial Predictive Analytics; its about time the Banking System faced the issue square in the face and got on with it, they have taken long enough with 'delay worry and expense'! See this essay discussing the hearings.

http://bankingeconomics.blogspot.com/2009/02/treasury-select-committee-hbos-and-rbs.html

Comments welcome.

Added by John A Morrison on February 12, 2009 at 9:30am — 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

Basel II - Flawed and Procyclical or Just Mis-understood and Un-Implemented?

What are we doing when we are modelling risk from a banking supervision perspective?



Consider the capital adequacy ratio of the banks in a simple arithmetic equation; CAR = (Tier 1 capital + Tier 2 capital)/Risk-weighted assets, OK? Government policy strategies increase bank solvency, but in different ways. Capital injections increase the numerator of the CAR, asset guarantees decrease the denominator, and asset purchases decrease the denominator. That is focusing on Pillar One of… Continue

Added by John A Morrison on February 7, 2009 at 8:30pm — 1 Comment

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

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

SAP White Paper on a Solution Architecture for Economic Capital Quantitative Analytics, pre Credit Crunch

John A Morrison developed a comprehensive White Paper for SAP, published in April 2006, pre-credit crunch, on the topic of a Solution Architecture for Economic Capital Quantitative Analytics; Basel II Pillar 2 (B2P2). This prescient WP pointed out then, that the reality of banking quantitative risk capital analysis was the reverse of the way it seemed, the shadow banking tail was wagging the main street lending dog and to quantify risk capital properly (as required by the now effectively… Continue

Added by John A Morrison on January 11, 2009 at 3:00am — No Comments

Supervisory guidance for assessing banks' financial instrument fair value practices through the Pillar 2 supervisory review process

The application of fair value accounting to a wider range of financial instruments, together with experiences from the recent market turmoil, have emphasized the critical importance of robust risk management and control processes around fair value measurements. Moreover, given the significance of fair value measurements for regulatory capital adequacy and internal bank risk management it is equally important that supervisors assess the soundness of banks' valuation practices through the Pillar… Continue

Added by John A Morrison on November 26, 2008 at 3:30am — No Comments

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