I recently got invited to go & talk to a SAS shop, a big one! This has not happened for a while (to me), well it wouldn't, would it? These (recent) days I (have been) a confirmed R man1, maybe a wee bit of S+ but R; Revolution R2 if possible but R; Hadoop3 4yes, Netezza5 6, yes & the deliriously beautiful SAP HANA7 but for me it has to be R, well that's the way I have attitudinised8 it here on asymptotix!!
On Thursday this week ECB is expected to be the first of the three leading central banks to raise interest rates by 25 basis-points in its main rate to 1.25 per cent.
The ECB announced at last month’s policy meeting its “strongly vigilant” stance against inflation. Eurostat published its flash estimates where Euro area annual inflation is expected to be 2.6% in March 2011. This is well over the 2% target.
Financial Risk Models in R Factor Models for Asset Returns and Interest Rate Models - Scottish Financial Risk Academy 15/03/2011
Robert Richards Chaired Professor of Economics
Adjunct Professor, Departments of Applied Mathematics,
Finance and Statistics
University of Washington
BlackRock Alternative Advisors, Seattle WA
The Default Factors are 'Probability of..' / 'Loss Given ..' etc etc (there are more spohisticated variants and inverts which can be deployed), alot of people find these difficlult to get their heads around (I sympathize, I did too, at the beginning); and then you have to integrate them into a macro-factor model to estimate risk capital (an oversimplification I know).
There is a developing issue in Macro-Econometric Modeling right now. It has been burning for about a year; we at asymptotix have some practical engagement with it which is reflected in our essay called 'Crowding Out 2'. That essay and its related comments simply document our experience at the client coal-face where we naively found ourselves addressing in a commercial engagement a great intellectual challenge of our time, probably way ahead of the academic curve. At a much more global and higher media oriented level this issue is documented in what is known as the Krugman / Ferguson debate or put more crudely (cf Niall Ferguson) the Keynesians versus the Monetarists (or more strictly the Classicists or Neo-Classicists).
Prof Damiano Brigo - SFRA - Credit Models Pre- and In-Crisis: Extreme Scenarios and Systemic Risk in Valuation
Damiano Brigo (www.damianobrigo.it), Gilbart Professor of Mathematical Finance, Dept. of Mathematics, King’s College, London, presented Credit Models Pre- and In-Crisis: Extreme Scenarios and Systemic Risk in Valuation at the Scottish Financial Risk Academy (SFRA) Inaugural Colloquium in Edinburgh on the 4 November 2010.
The report suggests improvements to the current modelling techniques used by complex firms to aggregate risks. It also examines supervisory approaches to firms' use of risk aggregation models, particularly in light of the global financial crisis.