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Data Intelligence, Business Analytics
April 2009 Blog Posts (28)
In Analytics, It's the Actions That Matter
Although understanding data and developing statistical models is certainly an important component of an analytic project, this is just one aspect of… Continue
Added by Robert Grossman on April 30, 2009 at 1:00pm — No Comments
ADAPA® by Zementis…the “next thing” in predictive analytics.
Imagine being able to move a model from the analytics scientist’s desk to a production environment by just moving Predictive Model Markup Language (PMML) files between… Continue
Added by Ronald J. Ramos on April 29, 2009 at 3:24pm — No Comments
business consulting by Daniel Molano
Added by daniel molano on April 28, 2009 at 3:11pm — No Comments
DSGE Model-Based Forecasting of Non-modelled Variables
DSGE Model-Based Forecasting of Non-modelled Variables
Frank Schorfheide
Keith Sill
Maxym Kryshko
University of Pennsylvania and Federal Reserve Board of Pennsylvania
ABSTRACT
This paper develops and illustrates a simple method to generate a DSGE model-based forecast for variables that do not explicitly appear in the model (non-core variables). We use auxiliary regressions that resemble measurement equations in a dynamic factor model to…
Added by John A Morrison on April 28, 2009 at 4:00am — No Comments
#7: Here's a thought...
First, the decision
The first step is to focus BI and dashboard development on decisions, and this means identifying the decisions that your users must make, the questions to which they need answers, and then focusing on these like a laser. Data quality, data integration, timeliness should all be driven by the decision’s needs. This can be a challenge for… Continue
Added by Brian Roger on April 27, 2009 at 12:51pm — No Comments
The Copula AGAIN - Forecasting VaR and Expected Shortfall using Dynamical Systems
Forecasting VaR and Expected Shortfall using Dynamical Systems A Risk Management Strategy
Cyril Caillault; Chief Investor Officer, Quantitative Strategies,
Fixed Income and Currencies, Fortis Investments,
Dominique Guégan, PSE – CES-MSE - Université Paris 1 – Panthéon – Sorbonne
Abstract
Using non-parametric and parametric models, we show that the bivariate distribution of an Asian portfolio is not stable along all the period under study. We suggest…
Added by John A Morrison on April 27, 2009 at 12:00pm — No Comments
Making Davenport’s "Competing on Analytics" real, and in real-time for data-savvy leaders?
Added by Ronald J. Ramos on April 22, 2009 at 12:32pm — No Comments
4 open source data mining tools (with GUI)
Anyway, here are the ones I have found that are worth checking out and… Continue
CDO Pricing with Copulae (Crucial Methodological Paper)
THIS QUITE SIMPLY IS A CRUCIAL PAPER IN THE METHODOLOGY OF CREDIT ASSET RISK PRICING
CDO Pricing with Copulae
Barbara Choros
Wolfgang Härdle
Ostap Okhrin
ABSTRACT
Modeling the portfolio credit risk is one of the crucial issues of the last years in the financial problems. We propose the valuation model of Collateralized Debt Obligations based on a one- and two-parameter copula and default intensities estimated from market data. The…
Added by John A Morrison on April 19, 2009 at 11:30pm — No Comments
The Alchemy of CDO Credit Ratings - Harvard (Economics)
The Alchemy of CDO Credit Ratings by Efraim Benmelech (Harvard University and NBER)
Jennifer Dlugosz (Harvard University and Harvard Business School)
ABSTRACT
Collateralized Loan Obligations (CLOs) were one of the largest and fastest growing… Continue
Added by John A Morrison on April 19, 2009 at 11:00pm — No Comments
#6: Here’s a thought…
Trend analysis
Trend analysis in a multidimensional environment is simply using time as one of the dimensions that you are slicing and dicing your measures by. If you want to extrapolate from data, albeit in a visual (and possibly non-rigorous manner) to estimate future figures, then often a simple graph will suffice (something that virtually all BI tools will… Continue
Added by Brian Roger on April 19, 2009 at 8:31pm — No Comments
Death of Consumer Segmentation - Ridiculous! (by Tom Anderson)
There’s another article on consumer segmentation this week that seems to be getting a lot of buzz on twitter etc. You can read the article here in AdAge CMO Strategy section. Michael Fassnacht argues about the weakness of segmentation.
I disagreed with this article and will respond briefly here because I think segmentation studies are the most important type of… Continue
Added by Vincent Granville on April 19, 2009 at 10:00am — 1 Comment
REvolution R Enterprise with Parallel Processing Now Available for 64-bit Windows
http://www.asymptotix.eu/node/336
Added by John A Morrison on April 18, 2009 at 3:52am — No Comments
Does a Central Clearing Counterparty Reduce Counterparty Risk?
Stanford University
Abstract
We show whether adding a central clearing counterparty (CCP) for a particular asset class, such as credit derivatives, improves the e±ciency of counterparty risk mitigation and collateral demands, relative to bilateral netting between pairs of dealers. We show that, for plausible cases, adding a CCP for one class of derivatives such as credit default swaps (CDS) can actually reduce netting e±ciency and… Continue
Added by John A Morrison on April 18, 2009 at 3:48am — No Comments
WHAT DO ASSET PRICES HAVE TO SAY ABOUT RISK APPETITE AND UNCERTAINTY?
by
Geert Bekaert (Columbia Business School) &
Marie Hoerova and Martin Scheicher (European Central Bank)
EUROPEAN CENTRAL BANK WORKING PAPER SERIES
EXECUTIVE SUMMARY (ABSTRACT)
In this paper, we develop a measure of time-varying risk aversion that is relatively easy to estimate or compute, so that it can be compared to the practitioners’ indices. However, the model we use is inspired by the dynamic asset pricing literature. We view…
Added by John A Morrison on April 17, 2009 at 11:00am — No Comments
The role of valuation and leverage in procyclicality
the Financial Stability Forum and the Committee on the Global Financial System
This report explores the link between leverage and valuation in the light of the recent experience of market stress. Prior to the crisis, traditional balance sheet measures of leverage did not give an unambiguous signal of higher risk during the boom years of 2003–07. While balance sheet leverage increased at European banks and US investment banks, and for… Continue
Added by John A Morrison on April 17, 2009 at 11:00am — No Comments
Taking High Performance Computing Mainstream with Microsoft
Continue
Added by John A Morrison on April 17, 2009 at 10:47am — No Comments
VALUING TOXIC ASSETS: AN ANALYSIS OF CDO EQUITY
Francis A. Longstaff, UCLA Anderson School , and NBER
Brett Myers, Krannert School of Management, Purdue University, and Research Affiliates, LLC
This paper studies this issue from a novel perspective by contrasting the valuation of CDO equity with that of bank stocks. This is possible because both CDO equity and bank stock represent levered first-loss residual claims on an underlying portfolio of debt. There are strong… Continue
Added by John A Morrison on April 17, 2009 at 10:42am — No Comments
Optimization Heuristics for Determining Internal Rating Grading Scales
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
#5: Here's a thought...
The right feedback
Often today, in our information saturated world, the problem isn't getting feedback, but instead getting feedback in a way that it can be aggregated, managed and responded to in a reasonable fashion. Many of the current methods like email, forums, focus groups and forums simply don't meet the needs effectively. Either the cost is too high, it's… Continue
Added by Brian Roger on April 12, 2009 at 10:00pm — No Comments
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