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John A Morrison's Blog – February 2011 Archive (3)

Model Risk: Model Validation: theory, practice and perspectives


Zeliade White Paper March, 2010

Zeliade Systems


In July of 2009, the Basel Committee on Banking Supervision issued a directive requiring that financial institutions quantify model risk. The Committee further stated that two types of risks should be taken into account: “The model risk associated with using a possibly incorrect valuation, and the risk associated with using unobservable calibration parameters”. The resulting adjustments must impact Tier I regulatory…


Added by John A Morrison on February 20, 2011 at 5:42am — No Comments

International capital flows and the returns to safe assets in the United States 2003-2007




BEN S. BERNANKE Chairman Federal Reserve System


NB: Carol Bertaut, Section Chief, Laurie Pounder DeMarco, Economist, and Steven Kamin, Deputy Director, Division of International Finance, Board of Governors of the Federal Reserve System, co-authored this paper with Chairman Bernanke.




A broad array of domestic institutional factors – including problems with the originate-to-distribute model for mortgage…


Added by John A Morrison on February 19, 2011 at 10:22pm — No Comments

Probabilistic Principal Component Analysis


by Michael E. Tipping & Christopher M. Bishop

Microsoft Research



Principal component analysis (PCA) is a ubiquitous technique for data analysis and processing, but one which is not based upon a probability model. In this paper we demonstrate how the principal axes of a set of observed data vectors may be determined through maximum-likelihood estimation of parameters in a latent variable model closely related to factor analysis. We…


Added by John A Morrison on February 15, 2011 at 1:00am — 1 Comment

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