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All Blog Posts Tagged 'asymptotix' (131)

FORECASTING THE WORLD ECONOMY IN THE SHORT-TERM

FORECASTING THE WORLD ECONOMY IN THE SHORT-TERM

by Audrone Jakaitiene and Stéphane Dées

THE EUROPEAN CENTRAL BANK







Forecasting the world economy is a difficult task given the complex interrelationships within and across countries. This paper proposes a number of approaches to forecast short-term changes in selected world economic variables and aims, …1st, at ranking various forecasting methods in terms of forecast accuracy and, second, at checking whether methods… Continue

Added by John A Morrison on June 18, 2009 at 10:42pm — No Comments

Implementation of the Copula - Interesting work from Italy and wider Europe

Optimization With Tail-Dependence and Tail Risk: A Copula Based Approach For Strategic Asset Allocation



Francesco Paolo Natale, Department of Economics and Management, Università Milano-Bicocca, Italy



http://www.efmaefm.org/0EFMAMEETINGS/EFMA%20ANNUAL%20MEETINGS/2007-Vienna/Papers/0131.pdf



This author is now developing his techniques to estimate economic…

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Added by John A Morrison on June 10, 2009 at 1:00am — No Comments

How and Why my blogging can be the basis for something useful

Not just a Vanity Project and not an excercise in self-justification!



http://www.asymptotix.eu/content/open-source-enterprise-digital-repositories-banking-supervision


THE LINK REFERENCE ABOVE IS "TOTALLY WRONG" !!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!!


(& I have just noticed over a year later…
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Added by John A Morrison on June 10, 2009 at 12:00am — 2 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

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

The Copula AGAIN - Forecasting VaR and Expected Shortfall using Dynamical Systems

Forecasting VaR and Expected Shortfall using Dynamical Systems A Risk Management Strategy



Cyril Caillault; Chief Investor Officer, Quantitative Strategies,

Fixed Income and Currencies, Fortis Investments,



Dominique Guégan, PSE – CES-MSE - Université Paris 1 – Panthéon – Sorbonne



Abstract

Using non-parametric and parametric models, we show that the bivariate distribution of an Asian portfolio is not stable along all the period under study. We suggest…

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Added by John A Morrison on April 27, 2009 at 12:00pm — No Comments

CDO Pricing with Copulae (Crucial Methodological Paper)

THIS QUITE SIMPLY IS A CRUCIAL PAPER IN THE METHODOLOGY OF CREDIT ASSET RISK PRICING



CDO Pricing with Copulae



Barbara Choros

Wolfgang Härdle

Ostap Okhrin



ABSTRACT



Modeling the portfolio credit risk is one of the crucial issues of the last years in the financial problems. We propose the valuation model of Collateralized Debt Obligations based on a one- and two-parameter copula and default intensities estimated from market data. The…

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Added by John A Morrison on April 19, 2009 at 11:30pm — No Comments

The Alchemy of CDO Credit Ratings - Harvard (Economics)

It's unusual that I see anything from Harvard in my space, if its from Harvard it usually is of interest to my wife! (of which a little more later). But this is interesting allright, more than that its really good;-



The Alchemy of CDO Credit Ratings by Efraim Benmelech (Harvard University and NBER)

Jennifer Dlugosz (Harvard University and Harvard Business School)



ABSTRACT



Collateralized Loan Obligations (CLOs) were one of the largest and fastest growing… Continue

Added by John A Morrison on April 19, 2009 at 11:00pm — No Comments

REvolution R Enterprise with Parallel Processing Now Available for 64-bit Windows

Working with R Community Leaders and Microsoft, REvolution Provides More Memory and Greater Computational Speed, Plus Parallelization for Predictive Analytics Using the R Language

http://www.asymptotix.eu/node/336

Added by John A Morrison on April 18, 2009 at 3:52am — No Comments

Does a Central Clearing Counterparty Reduce Counterparty Risk?

Darrell Duffie and Haoxiang Zhu

Stanford University



Abstract



We show whether adding a central clearing counterparty (CCP) for a particular asset class, such as credit derivatives, improves the e±ciency of counterparty risk mitigation and collateral demands, relative to bilateral netting between pairs of dealers. We show that, for plausible cases, adding a CCP for one class of derivatives such as credit default swaps (CDS) can actually reduce netting e±ciency and… Continue

Added by John A Morrison on April 18, 2009 at 3:48am — No Comments

WHAT DO ASSET PRICES HAVE TO SAY ABOUT RISK APPETITE AND UNCERTAINTY?

by

Geert Bekaert (Columbia Business School) &

Marie Hoerova and Martin Scheicher (European Central Bank)



EUROPEAN CENTRAL BANK WORKING PAPER SERIES



EXECUTIVE SUMMARY (ABSTRACT)



In this paper, we develop a measure of time-varying risk aversion that is relatively easy to estimate or compute, so that it can be compared to the practitioners’ indices. However, the model we use is inspired by the dynamic asset pricing literature. We view…

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Added by John A Morrison on April 17, 2009 at 11:00am — No Comments

The role of valuation and leverage in procyclicality

Report prepared by a joint Working Group of

the Financial Stability Forum and the Committee on the Global Financial System



This report explores the link between leverage and valuation in the light of the recent experience of market stress. Prior to the crisis, traditional balance sheet measures of leverage did not give an unambiguous signal of higher risk during the boom years of 2003–07. While balance sheet leverage increased at European banks and US investment banks, and for… Continue

Added by John A Morrison on April 17, 2009 at 11:00am — No Comments

Taking High Performance Computing Mainstream with Microsoft

At the High Performance on Wall Street conference (last September (2008)), Microsoft’s high performance computing honcho, Bill Laing announced Windows HPC Server 2008. Microsoft’s goal is to take HPC mainstream and make Windows an alternative to Linux and Unix for HPC customers, particularly in the financial sector.…



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Added by John A Morrison on April 17, 2009 at 10:47am — No Comments

VALUING TOXIC ASSETS: AN ANALYSIS OF CDO EQUITY

VALUING TOXIC ASSETS: AN ANALYSIS OF CDO EQUITY



Francis A. Longstaff, UCLA Anderson School , and NBER

Brett Myers, Krannert School of Management, Purdue University, and Research Affiliates, LLC



This paper studies this issue from a novel perspective by contrasting the valuation of CDO equity with that of bank stocks. This is possible because both CDO equity and bank stock represent levered first-loss residual claims on an underlying portfolio of debt. There are strong… Continue

Added by John A Morrison on April 17, 2009 at 10:42am — No Comments

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