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All Blog Posts Tagged 'asymptotix' (131)

Optimization Heuristics for Determining Internal Rating Grading Scales

by M. Lyra, J. Paha, S. Paterlini, P. Winker

CEFIN – Centro Studi di Banca e Finanza

Dipartimento di Economia Aziendale – Università di Modena e Reggio Emilia

Abstract

Basel II imposes regulatory capital on banks related to the de-fault risk of their credit portfolio. Banks using an internal rating approach compute the regulatory capital from pooled probabilities of default. These pooled probabilities can be calculated by clustering credit borrowers into… Continue

Added by John A Morrison on April 17, 2009 at 10:30am — No Comments

A Great Book: The Years of High Econometrics

A really great book and this is the way to sell it!!!;-

http://www.ewidgetsonline.com/tnf/widget.aspx?bookid=OLDzZdiiGV%2bra7MHrY0pFA==&buyNowLink=http://www.ewidgetsonline.com/tnf/LandingPage.aspx?bookid=9780203946831

Added by John A Morrison on April 9, 2009 at 4:00am — No Comments

Government and open source: Public interest - Quantitative Valuation of Toxic Assets and "Open Data"

Bob Sutor or Dr. Robert S. Sutor who is Vice President, Open Source and Linux, IBM Corporation, Somers, New York; has a great blog which I have been following for nearly a year now, he goes to the mark on many issues relevant to quantitative analytics. The blog front page is here;-

http://www.sutor.com/newsite/blog-open/

This week Bob asked a question which I have been thinking about for some time and indeed have… Continue

Added by John A Morrison on April 9, 2009 at 3:36am — No Comments

Personal Advice from REvolution Computing to ME!

I wonder (I know it's a little self obsessed) but I just wonder if this blog entry on the the REvolution Computing blog "REvolutions" is not personal advice, narrowcasted to ME!?

You know that feeling you get when you are in a crowd and a speaker makes a point which you feel cannot be anything but personally directed at YOU! Or when you are at a concert and you feel the lead vocalist is singing to you!!

Ususally that psychological interpretation is just a strong… Continue

Added by John A Morrison on April 3, 2009 at 12:56am — No Comments

Liquidity Risk The Interbank Market and Game Theory

Interbank markets may fail to allocate liquidity efficiently due to: asymmetric information about the quality of banks’ assets, banks’ free-riding on each other’s liquidity or on central bank liquidity; or as a consequence of predatory behaviour forcing ineffiient liquidation of bank assets. These are the (reasonably) well understood features of the "Game Theory" of the global interbank market.

It is becoming generally understood (particulalry in banking software development) that… Continue

Added by John A Morrison on March 31, 2009 at 2:31am — No Comments

What am I doing with my blogging? A Theory Forge for Quantitative Risk Management!

Is it a vanity project? Am I writing a story with a beginning a middle and an end? In a way Yes! I really started blogging here on Analytic Bridge, Vincent Granville encouraged me, back in the day when Analytic Bridge had few members. I thought Analytic Bridge was an optimal place to blog references to banking supervision papers which had a quantitative orientation generally and I think I was correct in that. Now I have to blog corporately, I have to support the company in which I am a partner.… Continue

Added by John A Morrison on March 11, 2009 at 12:00am — No Comments

How to find plausible, severe, and useful stress scenarios - Oesterreichische Nationalbank

Thomas Breuer Martin Jandacka

Klaus Rheinberger Martin Summer

[The authors] give a precise operational definition to three requirements the Basel Committee on Banking Supervision specifics for stress tests: Plausibility and severity of stress scenarios as well as suggestiveness of risk reducing actions. The basic idea of our approach is to define a suitable region of plausibility in terms of the risk factor distribution and search systematically for the worst portfolio loss over… Continue

Added by John A Morrison on March 6, 2009 at 5:00am — No Comments

Are Banks Different? Evidence from the CDS Market - Oesterreichische Nationalbank (OeNB)

Burkhard Raunig and Martin Scheicher Oesterreichische Nationalbank (OeNB)

February 16, 2009

This paper uses regression analysis to compare the market pricing of the default risk of banks to that of other firms. The authors study how CDS traders discriminate between banks and other type of firms and how their judgement changes over time, in particular, since the start of the recent financial turmoil. The authors use monthly data on the Credit Default Swaps (CDS) of 41 major banks… Continue

Added by John A Morrison on March 6, 2009 at 4:30am — No Comments

European Regional Meeting of the International Society for Business and Industrial Statistics

EURISBIS’09

European Regional Meeting of the International Society for Business and Industrial Statistics

with special emphasis on

Quantitative Methods for Banking and Finance,

Environment, Quality of Services for SMEs, Transport and Tourism

Cagliari, Italy, May 30 – June 3, 2009

http://www.eurisbis09.it

Added by John A Morrison on February 24, 2009 at 12:56am — No Comments

New Research Technical Paper - "NowCasting" Irish GDP - Central Bank of Ireland

PLEASE SEE THE REFERENCES IN THE COMMENTS BELOW TO GET THE WHOLE STORY

THIS IS A 'BLEEDING EDGE' "TECHNOLOGY" DEVELOPED BETWEEN BRUSSELS AND DUBLIN; BUT DREAMED UP BY THE ECB; viz;-

Recent studies undertaken by the ECB show that the so-called mixed frequency models,…

Continue

Added by John A Morrison on February 5, 2009 at 1:00am — 9 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