SAS linx as REFERENCES asymptotix
Wednesday, 8 February 2012 | 
John A Morrison
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!!
Copula Dependence Structure on Stock Market with Application to Risk
Sunday, 29 January 2012 | John A Morrison
italy versus germany this summer
Tuesday, 2 August 2011 | John A Morrison
John A Morrison's blog | 
1 comment | Tweet | Comments | 
Tags: Germany, Italy, John Angus Morrison, quant, stress test
UK Inflation 4.4% in February 2011
Monday, 4 April 2011 | European Affairs
CPI annual inflation – the Government’s target measure – was 4.4 per cent in February, up from 4.0 per cent in January.
The largest upward pressures to the change in CPI inflation came from:
ECB to reveal if increased commodity prices or wages dictate rate increase policy
Monday, 4 April 2011 | European Affairs
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.
European Affairs's blog | 1 comment | Tweet | Comments | Tags: analytics, ECB, econometrics, quant, stress test
Financial Risk Models in R Factor Models for Asset Returns and Interest Rate Models - Scottish Financial Risk Academy 15/03/2011
Monday, 28 March 2011 | Technology - An...
Eric Zivot
Robert Richards Chaired Professor of Economics
Adjunct Professor, Departments of Applied Mathematics,
Finance and Statistics
University of Washington
BlackRock Alternative Advisors, Seattle WA
http://faculty.washington.edu/ezivot/research/factorModelTutorial_handout.pdf
Default Factor Modelling Blueprints from JAM Analytic Bridge Blog (ABBU)
Sunday, 20 February 2011 | Risk - Research
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).
Risk - Research's blog | 7 comments | Tweet | Comments | Tags: default, John Angus Morrison, quant, stress test
A Developing issue in Macro-Econometric Modeling: Stress Testing
Sunday, 2 January 2011 | John A Morrison
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
Thursday, 11 November 2010 | Risk - Research
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.
BIS - Joint Forum recommends improvements in risk aggregation models
Monday, 25 October 2010 | Technology - An...
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.
Mr Tony D'Aloisio, Chairman of the Joint Forum and Chairman of the Australian Securities and Investments Commission, said "This report is essential reading for firms considering ways to make more effective use of risk aggregation methods, and for supervisors wanting to understand firms' use of risk aggregation models to help identify shortcomings in a firm's approach."
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