ReMetrics ReView
Using Hurricane Forecasts to Adjust Peril Model Loss Probabilities

http://www.tropicalstormrisk.com/docs/ReMetricsTSR-Oct2005.pdf

Bank of England

Working Paper No. 450
Forecasting UK GDP growth, inflation and interest rates under structural change:
a comparison of models with time-varying parameters

Alina Barnett, Haroon Mumtaz and
Konstantinos Theodoridis

May 2012

http://www.bankofengland.co.uk/publications/Documents/workingpapers/wp450.pdf

Bank of England

Working Paper No. 448

Non-rational expectations and the transmission mechanism
Richard Harrison and Tim Taylor
May 2012

http://www.bankofengland.co.uk/publications/Documents/workingpapers/wp448.pdf

Swiss Re

http://www.inriver.bwl.uni-muenchen.de/studium/archiv/sommer2011/master/reinsurance/intro_en.pdf

Andrew GELMAN

“Exploratory” and “confirmatory” data analysis can both be viewed as methods for comparing observed data to what would be obtained under an implicit or explicit statistical model. For example, many of Tukey’s methods can be interpreted as checks against hypothetical linear models and Poisson distributions. In more complex situations, Bayesian methods can be useful for constructing reference distributions for various plots that are useful in exploratory…

The financial crisis – risk transfer, insurance layers and (no?) reinsurance culture

Michael Fackler  freelance actuary Munich, Germany



Abstract

The financial crisis of 2007 has triggered various debates, ranging from the stability of the banking system to subtle technical issues regarding the Gaussian and other copulas. All these debates are important, and it might be good to start even a further one: Credit derivatives have much in common with…

Abstract

Ever since the financial crisis of the banking system of 2008 - 2010 the paradigm that deposits or other exposures towards major banks are safe has been fundamentally questioned. This put industrial corporates, who to support their business usually need to manage significant cash holdings or incur counterparty credit risk via derivatives, in the situation to develop or extend their resources for counterparty credit risk management. This paper provides a…

Saptarshi Guha / Paul Kidwell / Ryan P. Hafen / William S. Cleveland

Abstract

Comprehensive visualization that preserves the information in a large complex dataset requires a visualization database (VDB): many displays, some with many pages, and with one or more panels per page. A single display using a specific display method results from partitioning the data into subsets, sampling the subsets, and applying the method to each sample, typically one per panel.…

or HOW ALGORITHMICS DOES IT !!!

Compound scenarios: An efficient framework for integrated market-credit risk

Ben De Prisco, Ian Iscoe, Yijun Jiang, Helmut Mausser

http://www.algorithmics.com/en/media/pdfs/algo-ra0507-arps-compoundscenarios.pdf

Quantifying of Extreme Events

Vicky Fasen Claudia Kluppelberg Annette Menzel

September 28, 2011

abstract / summary

Understanding and managing risks due extreme events is one of the most demanding topics of our society. We consider this problem as a statistical problem and present some of the probabilistic and statistical theory, which was developed to model and quantify extreme events. By the very nature of an extreme event…

Menzie D. Chinn, Kavan J. Kucko

Working Paper 16398

http://www.nber.org/papers/w16398

NATIONAL BUREAU OF ECONOMIC RESEARCH

ABSTRACT

In recent years, there has been renewed interest in the yield curve (or alternatively, the term premium) as a predictor of future economic activity. In this paper, we re-examine the evidence for this predictor, both for the United States, as well as…

Detecting Economic Events Using a Semantics-Based Pipeline

http://people.few.eur.nl/fhogenboom/papers/dexa11-speed.pdf

Alexander Hogenboom, Frederik Hogenboom, Flavius Frasincar, Uzay Kaymak, Otto van der Meer, and Kim Schouten

Erasmus University Rotterdam

Abstract.

In today's information-driven global economy, breaking news on economic…

Irrationality or Efficiency of Macroeconomic Survey Forecasts?

Implications from the Anchoring Bias Test

Abstract

We analyze the quality of macroeconomic survey forecasts. Recent findings indicate that they are anchoring biased. This irrationality would challenge the results of a wide range of empirical studies, e.g., in asset pricing, volatility clustering or market liquidity, which rely on survey data to capture market participants’…

From Semantic Search & Integration to Analytics

Amit Sheth 

LSDIS lab, University of Georgia, 415 Graduate Studies Research Center,

Athens, GA 30602-7404

Semagix Inc., 297 Prince Avenue,

Athens, GA 30601

Abstract.

Semantics is seen as the key ingredient in the next phase of the Web infrastructure as well as the next generation of enterprise content management. Ontology is the centerpiece of the most prevalent semantic technologies…

Monitoring Financial Stability in a Complex World

Mark D. Flood Allan

Office of Financial Research

I. Mendelowitz

Committee to Establish the Office of Financial Research

William Nichols 

National Institute of Finance

Version 10 / January 19, 2012

Copyright 2012, M. Flood, A. Mendelowitz and W. Nichols

Abstract

We offer a tour d’horizon of the data management issues facing…

Lecture Notes in Empirical Finance (PhD)

Paul Söderlind

3 January 2012

http://home.datacomm.ch/paulsoderlind/Courses/OldCourses/EmpFinPhDAll.pdf

Matthew S. Shotwell and Elizabeth H. Slate

Abstract.

We introduce a Bayesian inference mechanism for outlier detection using the augmented Dirichlet process mixture. Outliers are detected by forming a maximum a posteriori (MAP) estimate of the data partition. Observations that comprise small or singleton clusters in the estimated partition are considered outliers. We offer a novel interpretation of the Dirichlet process precision parameter, and…

GARCH MODELS OF DYNAMIC VOLATILITY AND CORRELATION

David S. Matteson and David Ruppert

(I like this ! )

http://www.stat.cornell.edu/~matteson/papers/GARCH_tutorial.pdf

Naima Shifa & Mamunur Rashid

Abstract

The dichotomous logistic regression model is one of the popular mathematical models for the analysis of binary data with applications in physical, biomedical, and behavioral sciences, among others. The feature of this model is to quantify the effects of several explanatory variables on one dichotomous outcome variable. Multinomial logistic regression model, on the other hand, handles the categorical dependent…

Copula Dependence Structure on Stock Market with Application to Risk

Shaoxuan Guan

Department of Mathematical Statistics

CHALMERS UNIVERSITY OF…