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All Blog Posts Tagged 'asymptotix' (131)

The Solvency II square-root formula for systematic biometric risk

Marcus C. Christiansen

Institut f¨ur Versicherungswissenschaften

Universit¨at Ulm

D-89069 Ulm, Germany



Michel M. Denuit

Institut de Statistique, Biostatistique et Sciences Actuarielles

Universit´e Catholique de Louvain

B-1348 Louvain-la-Neuve, Belgium



Dorina Lazar

Faculty of Economics and Business Administration

Babes-Bolyai University

Cluj-Napoca, Romania



Abstract



In this paper, we develop a model supporting the so-called… Continue

Added by John A Morrison on December 5, 2010 at 10:50pm — No Comments

Reduced form models of bond portfolios

Matti Koivu

Finnish Financial Supervisory Authority



Teemu Pennanen

Department of Mathematics and Systems Analysis, Aalto University



November 16, 2010



Abstract



We derive simple return models for several classes of bond portfolios. With only one or two risk factors our models are able to explain most of the return variations in portfolios of fixed rate government bonds, inflation linked government bonds and investment grade corporate bonds. The… Continue

Added by John A Morrison on December 5, 2010 at 9:37pm — No Comments

Extracting information from structured credit markets

Bank of England Working Paper by Joseph Noss



http://www.bankofengland.co.uk/publications/workingpapers/wp407.pdf



COMMENT ON THIS PAPER



(I generally do not do this & not usually to BoE work)

They seek the Holy Grail…..…

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Added by John A Morrison on December 5, 2010 at 12:30am — No Comments

An Information Framework for Financial Services Supervision

Basel III and Solvency II reporting requirements are, in spirit, oriented towards behavioural explanations of demand for funding capital. By definition, behavioural information within a financial institution must be

sourced from operational systems. Given this, Basel III and Solvency II

reporting are fundamentally a Business Intelligence and Information Management

challenge. In the longer term it…

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Added by John A Morrison on November 7, 2010 at 9:50pm — No Comments

INSIDE THE VOLATILITY ZONE

This paper is speaking to

the Middle Office function, controlling Market Risk in an Investment Bank,

particularly of the first tier. Analogously then It speaks to the similar

function in Asset Management or Life Assurance, it is concerned with issues of

compliance and transparency in particular Basel III, IFRS7 and Solvency 2.In a market

risk legacy technology…
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Added by John A Morrison on October 5, 2010 at 10:00pm — No Comments

MODELLING AND FORECASTING UK MORTGAGE ARREARS AND POSSESSIONS

“Modelling and Forecasting UK Mortgage Arrears and Possessions.”


JANINE ARON, Department of Economics, Oxford
&
JOHN MUELLBAUER, Nuffield College, Oxford
July, 2010


Abstract: This paper presents new models for aggregate UK data on mortgage possessions
(foreclosures) and mortgage arrears (payment delinquencies). The innovations include the
treatment of difficult to observe…
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Added by John A Morrison on September 10, 2010 at 10:06pm — No Comments

Analytic Databases in the World of the Data Warehouse

A White Paper by
Dr. Barry Devlin, 9sight Consulting

Added by John A Morrison on September 7, 2010 at 12:35am — No Comments

Semantic Adaptation of Schema Mappings when Schemas Evolve

Cong Yu Dept. of EECS, Univ. of Michigan


Lucian Popa
IBM Almaden Research Center


Abstract
Schemas evolve over time to accommodate the changes in
the information they represent. Such evolution causes invalidation
of various artifacts depending on the schemas,
such as schema mappings. In a heterogenous environment,
where cooperation among data sources depends…
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Added by John A Morrison on September 7, 2010 at 12:21am — No Comments

STOCHASTIC SIMULATION WITH COPULAS IN R

Continue

Added by John A Morrison on September 6, 2010 at 9:00am — No Comments

Enabling a Semantic Wiki to Drive Business Interactions

Sven Graupner, Sharad Singhal, Sujoy Basu, Hamid Motahari
OST/HP Labs


Abstract


This paper describes a Semantic Wiki which enables business interactions among people who are collaborating in the context of business activities. The Wiki has domain knowledge (e.g. about ITIL) and defines and implements domain independent semantics which allows it to drive related business interactions among people. We believe that such an…
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Added by John A Morrison on July 28, 2010 at 10:28pm — No Comments

MANAGEMENT OF STATISTICAL INFORMATION SYSTEMS

REPORT OF THE MEETING ON THE
MANAGEMENT OF STATISTICAL INFORMATION SYSTEMS
Prepared by the UNECE secretariat


UNITED NATIONS STATISTICAL COMMISSION and
ECONOMIC COMMISSION FOR EUROPE
CONFERENCE OF EUROPEAN STATISTICIANS


EUROPEAN COMMISSION
STATISTICAL OFFICE OF THE
EUROPEAN UNION (EUROSTAT)


ORGANISATION FOR…
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Added by John A Morrison on July 28, 2010 at 10:20pm — No Comments

SUPPORTING SIMULATION IN INDUSTRY THROUGH THE APPLICATION OF GRID COMPUTING

Navonil Mustafee
Operational Research and Management Sciences
Warwick Business School


Simon J E Taylor
Centre for Applied Simulation Modelling
School of Information Systems, Computing and Maths
Brunel University, Uxbridge, Middlesex, UB8 3PH, UK


ABSTRACT
An increased need for collaborative research, together with continuing advances in communication technology and…
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Added by John A Morrison on July 28, 2010 at 9:55am — No Comments

Trends in Applied Econometrics Software Development

Trends in Applied Econometrics Software Development, 1985-2008,


Journal of Applied Econometrics research


Marius Ooms
VU University Amsterdam, Department of Econometrics


November 25, 2008


Abstract


Trends in software development for applied econometrics emerge from an analysis of the
research articles and software reviews of the…
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Added by John A Morrison on July 12, 2010 at 1:30am — No Comments

An Econometric Study Of Vine Copulas

D. Guégan‡and P.A. Maugis
Abstract
We present a new recursive algorithm to construct vine copulas based on an underlying tree structure. This new structure is interesting to compute multivariate distributions for dependent random variables. We proove the asymptotic normality of the vine copula parameter estimator and show that all vine copula parameter estimators have comparable variance.
Both results are crucial to motivate any econometrical work…
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Added by John A Morrison on June 21, 2010 at 11:30pm — No Comments

Disentangling Systematic and Idiosyncratic Risk for Large Panels of Assets

Matteo Barigozzi, SBS‐EM, ECARES, Université Libre de Bruxelles
Christian T. Brownlees, New York University
Giampiero M. Gallo, University of Florence
David Veredas, SBS‐EM, ECARES, Université Libre de Bruxelles
Abstract
When observed over a large panel, measures of risk (such as realized volatilities) usually exhibit a secular trend around which individual risks cluster. In this article we propose a vector Multiplicative Error…
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Added by John A Morrison on June 21, 2010 at 11:30pm — No Comments

Housing collateral and the monetary transmission mechanism

by Karl Walentin and Peter Sellin…

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Added by John A Morrison on June 18, 2010 at 12:00pm — No Comments

A Loan Portfolio Model Subject to Random Liabilities and Systemic Jump Risk

Luis H. R. Alvarez and Jani T. Sainioy
Turku School of Economics, Department of Accounting and Finance


Abstract
We extend the Vasicek loan portfolio model to a setting where liabilities fluctuate randomly and asset values may be subject to systemic jump risk. We derive the probability distribution of the percentage loss of a uniform portfolio and analyze its properties. We find that the impact of liability risk is ambiguous and depends on the…
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Added by John A Morrison on June 18, 2010 at 1:30am — No Comments

FAIR VALUE IN FOUL WEATHER Andrew G Haldane

Executive Director Financial Stability Bank of England

March 2010

This is a great speech, worth taking the time to read.

Added by John A Morrison on June 16, 2010 at 1:20am — No Comments

An economic capital model for the Banking Book



Piergiorgio Alessandri and Mathias Drehmann
Working Paper No. 388, Bank of England


An economic capital model integrating credit and interest rate risk in the banking book


Abstract


Banks often measure credit and interest rate risk…
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Added by John A Morrison on June 16, 2010 at 1:09am — No Comments

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