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John A Morrison's Blog (194)

Gillian Tett on Davos in the Financial Times

Gillian Tett has not written anything under her own byline in the Financial Times since November last year and before that her contributions were unfortunately sparse. She has moved up the ladder in the FT recently, finally acknowledged for all her great reporting on the phases of the Credit Crisis from the summer of 2007 (yes!). She was the first journalist to truly acknowldege it was happening and was in the thick of it during the horrible moments of Central Bank liquidity pumps and Sunday… Continue

Added by John A Morrison on January 26, 2009 at 1:00am — No Comments

The Prediction Lover's Handbook MIT Sloan School

Nice overview of the perspective of both of these well regarded academics on the subject of Prediction, where its at right now, Sloan Management Review is usually well ahead of the curve. You have to register to see this but I would recommend that you do. As a second-degree stundent SMR almost did my degree for me, in part!





The Prediction Lover’s Handbook

By Thomas H. Davenport and Jeanne G. Harris



January 7, 2009



Assessment tools for better-informing… Continue

Added by John A Morrison on January 26, 2009 at 12:30am — No Comments

Quantitative Analytics in Banking: How do we get the Heads Out of the Sand

The press has got onto thinking about what is wrong with banking right now, it has taken a crisis to get them to focus. It has taken a crisis to bring the banks and their supervisors closer together, sharing a common objective and that at the very least is one good thing to evolve from this crisis. Supervisors and senior Bankers are at least on adjacent pages. But that is only in terms of the regulatory and transparency requirements, the theory, the jurisprudence if you will. It will take the… Continue

Added by John A Morrison on January 25, 2009 at 12:30am — No Comments

The quill pen and asymptotic approximation -

This is a really important article from the august "Daily Telegraph" in the UK, it describes the process being undertaken right now to quantify a value for the structured products held off or on balance sheet by the UK banks, it focuses on the biggest and most controversial of the UK banks which WAS a player in this market game, RBOS for whose executives and ex-executives the UK press are beginning to sniff the opportunity for blood!…



Continue

Added by John A Morrison on January 24, 2009 at 11:00pm — 1 Comment

Basel Committee Trading Book Requirements ”Revision Proposals”

The consultative papers Revisions to the Basel II market risk framework and Guidelines for computing capital for incremental risk in the trading book set out the Committee's proposed enhancements to the regulatory capital treatment for trading book exposures. Collectively, these are referred to as the "trading book proposals".



The Committee therefore proposes to require banks to calculate a stressed VaR taking into account a one-year observation period relating to significant losses,… Continue

Added by John A Morrison on January 18, 2009 at 4:00am — 3 Comments

Proposed enhancements to the Basel II framework

The Basel Committee has proposed this weekend root and branch, fundamental revisions of the Basel II Framework in all three pillars Pillar 1 (minimum capital requirements), Pillar 2 (supervisory review process) and the third pillar (market discipline); reflecting particular concern about the trading book, ABCP Conduits, Structured Products and more particularly Banking Supervision (as opposed to regulation). The impacts of the proposed changes to Pillar 3 (Disclosure) look unusually interesting… Continue

Added by John A Morrison on January 18, 2009 at 3:00am — No Comments

A missing link in the transmission mechanism?

THIS IS QUITE SIMPLY A CRUCIAL CONTRIBUTION TO THE CURRENT DEBATE ABOUT WHAT WILL QUANTITATIVE FINANCE LOOK LIKE POST CREDIT CRUNCH



A missing link in the transmission mechanism?



by Claudio Borio and Haibin Zhu, Bank for International Settlements



Over the last three decades the financial landscape has gone through radical structural change. As a result of financial liberalisation and innovation, heavily controlled, segmented and “sleepy” domestic financial… Continue

Added by John A Morrison on January 16, 2009 at 3:00am — No Comments

Stress testing credit risk: a survey of authorities' approaches

by Antonella Foglia, Banca d’Italia, Banking and Financial Supervision



This paper reviews the quantitative methods developed at selected authorities for stress testing credit risk, focusing in particular on the methods used to link macroeconomic drivers of stress with bank-specific measures of credit risk (macro stress test). Authorities with a mandate for financial stability are particularly interested in quantifying the macro-to-micro linkages and have developed specific modeling… Continue

Added by John A Morrison on January 12, 2009 at 3:00am — No 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

Stress testing banks'credit risk using mixture vector autoregressive models

Prepared by Tom Pak-wing Fong, Research Department, Hong Kong Monetary Authority and Chun-shan Wong, Department of Finance, The Chinese University of Hong Kong



This paper estimates macroeconomic credit risk of banks’ loan portfolio based on a class of mixture vector autoregressive models. Such class of models can differentiate distributions of default rates and macroeconomic conditions for different market situations and can capture their dynamics evolving over time, including the… Continue

Added by John A Morrison on January 9, 2009 at 3:00am — No Comments

EU banks' liquidity stress testing and contingency funding plans

This report carried out by the Banking Supervision Committee (BSC) with the help of its Task Force on Liquidity Stress Testing and Contingency Funding Plans (hereinafter referred to as the “Task Force”) contains insights into the range of bank practices in these areas and assesses their adequacy in the light of recent fi nancial market stresses. It is mainly based on four sources: a literature review, two workshops with market participants, a survey of relevant practices among 84 EU banks and… Continue

Added by John A Morrison on November 29, 2008 at 3:00am — No Comments

How might the current financial crisis shape financial sector regulation and structure?

Keynote address by Már Gudmundsson, Deputy Head of the Monetary and Economic Department of the BIS, at the Financial Technology Congress 2008, Boston, 23 September 2008



The current financial crisis was triggered by increasing defaults on subprime mortgages and the turn of the housing cycle in the United States. However, it had deeper causes in the under-pricing of risk and debt accumulation in several countries during the period of low real interest rates and easy access to credit.… Continue

Added by John A Morrison on November 28, 2008 at 3:00am — No Comments

Supervisory guidance for assessing banks' financial instrument fair value practices through the Pillar 2 supervisory review process

The application of fair value accounting to a wider range of financial instruments, together with experiences from the recent market turmoil, have emphasized the critical importance of robust risk management and control processes around fair value measurements. Moreover, given the significance of fair value measurements for regulatory capital adequacy and internal bank risk management it is equally important that supervisors assess the soundness of banks' valuation practices through the Pillar… Continue

Added by John A Morrison on November 26, 2008 at 3:30am — No Comments

REvolution Computing Joins with Columbia University to Host Conference on Computational Finance with R

REvolution Computing, the leading commercial provider of software and support for the open source statistical computing language, "R," will sponsor and co-host a conference and workshop about using statistical computing with R in finance, Computational Finance with R, at Columbia University on Thursday, December 4, 2008.

The conference will bring together academics and practitioners in computational finance to showcase the efficacy of statistical computing with R in many areas of… Continue

Added by John A Morrison on November 10, 2008 at 3:30am — No Comments

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