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John A Morrison's Blog (194)

Using Hurricane Forecasts to Adjust Peril Model Loss Probabilities

ReMetrics ReView
Using Hurricane Forecasts to Adjust Peril Model Loss Probabilities

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

Added by John A Morrison on May 23, 2012 at 3:58am — 1 Comment

Forecasting UK GDP growth, inflation and interest rates under structural change:

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

Added by John A Morrison on May 19, 2012 at 4:45am — No Comments

Non-rational expectations and the transmission mechanism

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

Added by John A Morrison on May 19, 2012 at 4:30am — No Comments

Exploratory Data Analysis for Complex Models

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…

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Added by John A Morrison on March 7, 2012 at 10:30pm — No Comments

risk transfer, insurance layers

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…

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Added by John A Morrison on March 7, 2012 at 9:00pm — No Comments

Counterparty Credit Risk Management in Industrial Corporates

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…

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Added by John A Morrison on March 4, 2012 at 12:30am — No Comments

Visualization Databases for the Analysis of Large Complex Datasets

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.…

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Added by John A Morrison on March 2, 2012 at 2:39am — No Comments

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

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

Added by John A Morrison on February 24, 2012 at 9:23am — No Comments

Quantifying of Extreme Events

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…

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Added by John A Morrison on February 24, 2012 at 9:10am — No Comments

THE PREDICTIVE POWER OF THE YIELD CURVE ACROSS COUNTRIES AND TIME

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…

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Added by John A Morrison on February 22, 2012 at 1:56am — No Comments

Detecting Economic Events Using a Semantics-Based Pipeline

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…

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Added by John A Morrison on February 21, 2012 at 8:10am — No Comments

Irrationality or Efficiency of Macroeconomic Survey Forecasts?

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’…

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Added by John A Morrison on February 21, 2012 at 7:00am — No Comments

From Semantic Search & Integration to Analytics

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…

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Added by John A Morrison on February 21, 2012 at 6:30am — No Comments

Monitoring Financial Stability in a Complex World

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…

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Added by John A Morrison on February 9, 2012 at 10:54pm — No Comments

Lecture Notes in Empirical Finance

Lecture Notes in Empirical Finance (PhD)


Paul Söderlind

3 January 2012

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

Added by John A Morrison on February 9, 2012 at 1:10am — No Comments

Bayesian Outlier Detection with Dirichlet Process Mixtures

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…

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Added by John A Morrison on February 9, 2012 at 12:37am — No Comments

Garch Models of Dynamic Volatility and Correlation

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

Added by John A Morrison on February 9, 2012 at 12:30am — No Comments

Monte Carlo Evaluation of Consistency and Normality of Dichotomous Logistic and Multinomial Logistic Regression Models

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…

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Added by John A Morrison on February 9, 2012 at 12:00am — No Comments

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

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