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Quantitative Libraries for Financial Predictive Analytics

Asymptotix' support for the language R (and S+ where I started and seems cool to mention alongside R these days, mystifyingly but probably the subject of another blog) is prima facie, just read our website. We have a particular pleasure in a good relationship with REvolution Analytics, with whom we have been beside since the start and who have driven the R standard with great success over the last couple of years. We have a strong partnership with TIBCO Spotfire and we understand S+. But what if R or S+ just doesn't fit, just is not compatible with the application architecture into which you have to develop a quantitatively analytic application. It happens sometimes, the application architecture is a context, a constrained environment in which the developer has to exist and develop. Talk to young developers these days and they will generally say why didn't the Solution Architect THINK before he handed me this prison cell of constraint, why can't I just do this in R?

iona motif asymptotixBut (in this scenario) the application architecture component of the overall Solution Design constrains the developer to use C++ or JAVA or even some feature, some extension of the mega-vendor BI products. In this scenario I am considering, it often seems that R doesn't fit, the standard languages for application development are set in stone, they are standards, there is a vendor platform for BI. The application architecture is a defined component of some overall Solution Architecture which includes the Data Architecture and the physical infrastructure.

The New Banking Transparency is inevitably DIY UPDATE

 

I would go straight to pdf on this stream of conciousness waffling piece of drivel from some years ago ... (sic) .....before I hit the whisky ....... while its printing you can enjoy this view of an RAF Tornado on excercise over Loch Sunart ... & yes this is the one that includes the geeky bit about product hierarchy modelling @ the end ... & the 'Banking Transparency 101' insert too; - enjoy!

 

 

 

The New Banking Transparency is inevitably DIY

 

Sunday, 25 October 2009

 

 

ISSUES IN MODEL RISK

 

the elephant in the data centre

(see below)

 

What does IBM’s acquisition of SPSS mean?

 

le vieux montgolfier

THIS VERSION: RE_WRITTEN 7th April 2011

IBM acquired SPSS in the peak of the summer of 2009; I was in Provence. (IBM SPSS PRESS ANNOUNCEMENT) That deal was largely credited as a trigger for the SAP consideration of acquiring TIBCO and the on-consequent of TIBCO's acquisition of (the very wonderful) Data Synapse! 

Dont forget that IBM had acquired COGNOS for FIVE BILLION DOLLARS (all cash) at the end of '07 in the parallel universe BI consolidation herd-instinct rush of that winter which (arguably) was topped in the 3D chess-move response by SAP when it acquired Business Objects for AN ALMOST IDENTICAL AMOUNT in the same period.

A Layered Integrated Enterprise Solution Architecture for Financial Predictive Analytics

 

rapier testing gerinishI posted this blog note at the beginning of this year and I am replaying it here to help me develop a chain of content which can serve as guidelines for those developing solution architetures to respond to the new world of banking superivision which is developing right now. If you believe that Stress Testing (in an Open fashion) is going to be the basis of transperency and disclosure and thus a large part of banking supervision is going to be predicated upon what I once called 'The Calculus of Securitisation'; then there is a chain of content on this site which will be useful to you. If you are involved in the calculation of fair value for imparied assets or in the related process of management of a 'Bad Bank Model' then these contributions here in the field of Financial Predictive Analytics will be of interest to you.

After the Credit Crunch: The importance of Economic Capital and how to calculate it

John A Morrison is a Solution Architect in Risk Management. He is Director, Solution Partnerships of Union Legend (Asymptotix) and an advisor to REvolution Computing. He has published in December 2008 an important White Paper that is downloadable on our website. This is a White Paper about "Economic Capital", i.e. the amount of capital which a Financial Institution needs in order to survive in a worst case scenario.

Events of recent months prove that this is no longer an academic exercise. The Credit Crunch has seen Central Governments pumping fresh capital into the banks which were clearly undercapitalized and ill-prepared to deal with the crisis.

The Asymptotic Single-Risk-Factor (ASRF) model Specification and Calibration Errors

 

Specification and Calibration Errors in Measures of Portfolio Credit Risk: The Case of the ASRF Model

by Nikola Tarashev and Haibin Zhu,

Monetary and Economic Department,

Bank for International Settlements 

International Journal of Central Banking, June 2008

 

Financial Risk Consultancy

 

The point of risk management is that it is essentially idiosyncratic but you have to understand it to see that. Idiosyncrasy is not just an inevitable by-product of differentiation; it is the essential driver of business value in the financial services brand.

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