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All Blog Posts Tagged 'asymptotix' (131)

A EUROPEAN STABILIZATION BANK

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Added by John A Morrison on June 11, 2010 at 12:00pm — 2 Comments

Collateral Factory

INTERIM - IN DEVELOPMENT…


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Added by John A Morrison on June 7, 2010 at 2:46pm — No Comments

theme developing on asymptotix

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Added by John A Morrison on June 7, 2010 at 2:30pm — No Comments

Risk Management: A Differential Diagnosis

This paper is an examination of the context and management of two types of Complex Data Set clients. Supervisors should have their own model of Transparency Requirements to have consistency and make all the banks use it. Then everything would be comparable and Basel II Pillar 3 disclosures might actually tell us something about the quality of a bank’s loan… Continue

Added by John A Morrison on May 30, 2010 at 1:17am — No Comments

Parametric Estimation of Value at Risk

DEPENDENCE BETWEEN VOLATILITY PERSISTENCE, KURTOSIS AND DEGREES OF FREEDOM
Ante Rozga and Josip Arnerić,
Faculty of Economics, University of Split, Croatia


ABSTRACT
In this paper the dependence between volatility persistence, kurtosis and degrees of freedom from Student’s t-distribution will be presented in estimation alternative risk measures on simulated returns. As the most used measure of market risk is standard deviation of…
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Added by John A Morrison on May 30, 2010 at 1:15am — No Comments

Eric Zivot: The Constant Expected Return Model (Paradigm)

The Constant Expected Return Model (CER)

Added by John A Morrison on May 30, 2010 at 1:06am — No Comments

Binary search in JavaScript

Computer science in JavaScript: Binary search…

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Added by John A Morrison on May 30, 2010 at 12:58am — No Comments

High-Performance Computing with R

an Introduction
by Dirk Eddelbuettel



Added by John A Morrison on March 4, 2010 at 11:28pm — No Comments

Evaluating Value-at-Risk models via Quantile Regression

AUTHORS

Wagner Piazza Gaglianone

Luiz Renato Lima

Oliver Linton

Daniel Smith

ABSTRACT

This paper is concerned with evaluating value at risk estimates. It is well known that using only binary variables, such as whether or not there was an exception, sacrifices too much information. However, most of the specification tests (also called backtests) available…

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Added by John A Morrison on February 11, 2010 at 12:34am — No Comments

Vendor models for credit risk measurement and management - Basel Committee

Vendor models for credit risk measurement and management

BCBS Working Papers No 17

February 2010

the Research Task Force of the Basel Committee initiated a review of selected vendor credit-risk products, focusing on models that could be used to estimate probability of default, loss-given-default, or exposure at default, and models that could be used to assign ratings or produce credit scores, for wholesale or retail credit exposures. This paper provides a high-level…

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Added by John A Morrison on February 11, 2010 at 12:10am — No Comments

Analytical Credit VaR with Stochastic Probabilities of Default and Recoveries

by Antonio Castagna of Iason ltd.,

Fabio Mercurio of Bloomberg & Iason ltd., and

Paola Mosconi of Iason ltd.



June 1, 2009



Abstract: We extend the model presented in Bonollo et al. [3] by introducing a multi-scenario framework that allows for a richer and more realistic specification, including non-static (stochastic) probabilities of default and losses given default. Though more complex from a computational point of view, the model with scenarios is still… Continue

Added by John A Morrison on October 27, 2009 at 1:54am — No Comments

Principal Components Analysis (of the Robust Type) REFERENCES

A "sparring partner" on Twitter, @CMastication asked a question about PCA the other day & in looking for quick riposte I realised that I have been rather banging on here about the Copula. I couldn't find a reference here at all to PCA! So I need to fix that since I am a huge fan and big user of PCA. Of course the leading thinker in the space is Professor Croux at UKL here in Belgium who is an adviser to my firm.…



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Added by John A Morrison on September 3, 2009 at 1:00am — No Comments

A model of mortgage credit: Central Bank of Ireland

Diarmaid Addison-Smyth, Kieran McQuinn and Gerard O’Reilly





Abstract





The emergence and proliferation of the international financial crisis since mid-2007 has,

amongst other issues, refocussed attention on the interrelationship between mortgage credit

availability and house prices. A growing body of opinion is now of the view that the increase

in credit availability internationally was a primary contributor to the rate of house price… Continue

Added by John A Morrison on August 7, 2009 at 4:35am — 1 Comment

ParallelR and Financial Applications

This is a very useful reference & I do not want to loose it but I have had problems publishing it;-
http://algo.scu.edu/~sanjivdas/parallelr_options.pdf

Added by John A Morrison on June 30, 2009 at 10:28am — No Comments

R as a Tool in Computational Finance

John P. Nolan, American University



(Authors note: I welcome feedback on this draft. My goal is to show how R can quickly be used as a tool in computational ¯nance, not give an exhaustive tutorial in R. The discussion of open source vs commercial packages in section 1.2 grew spontaneously from what was intended to be a few comments; let me

know if this is worthwhile. The current version is aimed more at an academic audience, and less at finance professionals. There is more that… Continue

Added by John A Morrison on June 30, 2009 at 10:11am — 1 Comment

State-of-the-art in Parallel Computing with R

Technical Report Number 47, 2009
Department of Statistics
University of Munich

Markus Schmidberger, Martin Morgan, Dirk Eddelbuettel, Hao Yu, Luke Tierney, Ulrich Mansmann

http://epub.ub.uni-muenchen.de/8991/1/parallelR_techRep.pdf

Added by John A Morrison on June 30, 2009 at 9:56am — No Comments

Financial Bubbles, Real Estate bubbles, Derivative Bubbles, and the Financial and Economic Crisis

Didier SORNETTE (ETH Zurich and Swiss Finance Institute)

Ryan WOODARD (ETH Zurich)





The financial crisis of 2008, which started with an initially well-defined epicenter focused on mortgage backed securities (MBS), has been cascading into a global economic recession, whose increasing severity and uncertain duration has led and is continuing to lead to massive losses and damage for billions of people. Heavy central bank interventions and government spending programs have been… Continue

Added by John A Morrison on June 25, 2009 at 2:28am — No Comments

Demand-driven Job Separation: Reconciling Search Models with the Ins and Outs of Unemployment

Demand-driven Job Separation: Reconciling Search Models with the Ins and Outs of Unemployment



Regis Barnichon



Abstract: This paper presents a search model of unemployment with a new mechanism of job separation based on firms' demand constraints. The model is consistent with the cyclical behavior of labor market variables and can account for three stylized facts about unemployment that the Mortensen-Pissarides (1994) model has difficulties explaining jointly: (i) the…

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Added by John A Morrison on June 22, 2009 at 11:30pm — No Comments

The Promise and Perils of Credit Derivatives

I got this reference from Joshua Reich, who is doing some interesting things at i2pi



http://blog.i2pi.com/



Its an exposition of the recent history and legal and institutional framework of the Credit Derivative and given the imminent re-engineering of the regulatory and indeed market infrastructure for these products its a really useful reference for actually "what goes on" or more accurately 'what went on'.



The Promise and… Continue

Added by John A Morrison on June 22, 2009 at 11:29pm — 3 Comments

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