• strict warning: Non-static method view::load() should not be called statically in /home/asymptot/public_html/modules/views/views.module on line 879.
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  • strict warning: Declaration of views_handler_filter_node_status::operator_form() should be compatible with views_handler_filter::operator_form(&$form, &$form_state) in /home/asymptot/public_html/modules/views/modules/node/views_handler_filter_node_status.inc on line 14.
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  • strict warning: Non-static method view::load() should not be called statically in /home/asymptot/public_html/modules/views/views.module on line 879.

ggplot2 - ggplot2 is a plotting system for R

ggplotggplot2 is a plotting system for R, based on the grammar of graphics, which tries to take the good parts of base and lattice graphics and avoid bad parts. It takes care of many of the fiddly details that make plotting a hassle (like drawing legends) as well as providing a powerful model of graphics that makes it easy to produce complex multi-layered graphics. Find out more at http://had.co.nz/ggplot2, and check out the nearly 500 examples of ggplot in use. The User Manual is there also.


Papers in April (2009) from the Bank for International Settlements

Basel SBBIn April, the Bank for International Settlements has published three new papers which develop the body of knowledge (the theory forge, as we like to call it) in the topic of Credit Risk analytics, stress testing and Economic Capital quantification. This post will summarise and refer them for you.


A method to incorporate information from Dynamic Stochastic General Equilibrium (DSGE) models into Dynamic Factor Analysis

This paper proposes a method to incorporate information from Dynamic Stochastic General Equilibrium (DSGE) models into Dynamic Factor Analysis. The method combines a procedure previously applied for Bayesian Vector Autoregressions and a Gibbs Sampling approach for Dynamic Factor Models. The factors in the model are rotated such that they can be interpreted as variables from a DSGE model. In contrast to standard Dynamic Factor Analysis, a direct economic interpretation of the factors is given.

Structured Product (Toxic or Impaired) Asset Pricing and Valuation Theoretical & Applied Modelling References BLUEPRINTS (ABBU)

This is all part of the 'Theory Forge' (or theoretical framework) which I have been initiating recently. Our publications work (we think) by explaining more fully our theoretical point of view & our specific approach to quantitative analytics in risk management and finance. The content is mostly taken from the higher level theoretical background with which we approach specific client engagements.

Extreme Value Theory and the Financial Crisis of 2008

The original paper I referred here has quite simply disappeared; maybe my reference gave it the ‘kiss of death’!

Recently I have learned that if I come across an interesting paper which is un-published or buried deep within a book, I can use the title to find material ’around’ the paper or other authors citing the paper I liked (even derivatively).

My interest in ‘Extreme Value’; is the influence of Professor McNeil of course! Since I cannot change the physical name of an old blog title without being severely shouted at by my boss (Peter Lindmark) I have used this technique here; it has been “extremely” useful!

DP6838 Testing a DSGE Model of the EU Using Indirect Inference

CAPR Discussion Paper. Author(s):  David Meenagh , Patrick Minford , Michael R Wickens , Publication Date:  June 2008 
Keyword(s):  Bootstrap , DSGE Model , Indirect inference , Model of EU , VAR model , Wald statistic 
Programme Areas:  International Macroeconomics 
Link to this Page:  www.cepr.org/pubs/dps/DP6838.asp.asp 

Forecasting Real US House Price: Principal Components versus Bayesian Regressions

Feb 2009. By University of Pretoria, Department of Economics Working Paper Series.

Sybase Extends Analytics Leadership in High Speed Streaming Data

Sybase Complex Event Processing (CEP) Enhances Capital Markets Platform for Trade Lifecycle Analytics; Increases Data Management Value to Financial Services Customers.


Comparison and Pooling of MacroEconomic Forecasts - 2 interesting papers

Two interesting and related, recently published; papers. I wonder do they reflect a common concern? Driven by "le Crise" are we in Europe beginning to think about examining more closely and thus improving the quality of macroeconomic forecasting.

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