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John A Morrison's Blog – January 2012 Archive (2)

Copula Dependence Structure on Stock Market with Application to Risk

Copula Dependence Structure on Stock Market with Application to Risk

Shaoxuan Guan

Department of Mathematical Statistics

CHALMERS UNIVERSITY OF…

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Added by John A Morrison on January 28, 2012 at 12:00am — No Comments

'Point in Time' versus 'Through the Cycle'

Point in Time (PiT) v Through the Cycle (TTC)

There used to be an argument about this; its clear to me now that this is more than an arithmetic conundrum about Ratings and RWAs its a philosophical matter applicable to wider aspects of life & thus any arguments for PiT are just lazy and myopic. Here are some good recent references; I have selected recent papers since the debate has evolved towards a conclusion since it first developed 2 or so years ago. The game has…

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Added by John A Morrison on January 19, 2012 at 5:17am — No Comments

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