<General> Testing new blog
After about 3 years, this old blog will retire and we try out typo. All new entries will appear here.
If you want to submit a story for the risk-blog Editors to peer at it, and perhaps post it for all to share and enjoy, email it to "blog at approximity.com". Subscribe to email updates.
After about 3 years, this old blog will retire and we try out typo. All new entries will appear here.
Two very interesting google movies: Climate Change and Health and Pricing Real Options Contracts in Capacity Exchanges.
The October 2006 issue of R News is now available on CRAN under the
Documentation/Newsletter link.
A disastrous bet on natural gas prices did end up costing Amaranth $5 Bn last week. (Source: Calgary Sun)
Die Risk Management Association e. V. veranstaltet am 14. und 15. September 2006 ihre Jahreskonferenz in Ismaning bei München. Die Veranstaltung steht unter dem Rahmenthema "Risikofaktor Mensch".
Programm und Anmeldung
When applying for projects from time to time big Fortune 500 companies turn down interesting solutions as no company out there offers commercial support. Therfore, if anybody is out there trying todo great stuff in R or ruby and the client requires commercial ruby, rails or R support, we are happy to help.
We have been using R and ruby since 1998.
Please send requests to armin (at) approximity.com.
Assassinations: Evaluating the Effectiveness of an Israeli Counterterrorism Policy Using Stock Market Data by Asaf Zussman and Noam Zussman. pdf
Abstract
Targeted killing (henceforth assassination) of members of Palestinian terrorist organizations was a major element in Israels counterterrorism effort during the Palestinian uprising which started in 2000. We evaluate the effectiveness of this policy indirectly by examining Israeli stock market reactions to assassinations. Our approach relies on the assumption that the market should react positively to news of effective counterterrorism measures but negatively to news of counterproductive ones. The main result of the analysis is that the market reacts strongly to assassinations of senior members in Palestinian terrorist organizations: it declines following attempts to assassinate political leaders but rises following attempts to assassinate military ones.
The May 2006 issue of R News is now available on CRAN under the
Documentation/Newsletter link.
Interesting wired article. The article has the links to a few good papers and explains why the forces of economy dictate IT security.
Very interesting Google TechTalk. This weekend we will integrate it in our general library.
The problem of indexing large collections of time series ... all » and images has received much attention in the last decade, however we argue that there is potentially great untapped utility in data mining such collections. Consider the following two concrete examples of problems in data mining.
Motif Discovery (duplication detection): Given a large repository of time series or images, find approximately repeated patterns/images.
Discord Discovery: Given a large repository of time series or images, find the most unusual time series/image.
As we will show, both these problems have applications in fields as diverse as anthropology, crime prevention, zoology and entertainment. Both problems are trivial to solve given time quadratic in the number of objects, but only a linear time solution is tractable for realistic problems. In this talk we will show how a symbolic representation of the data call SAX (Symbolic Aggregate ApproXimation) allows fast, scalable solutions to these problems.
Very interesting paper for anybody working with stochastic money accounts.
Abstract:
We constructively prove the existence of time-discrete consumption processes for stochastic money accounts that fulfill a pre-specified positively homogeneous pro jection property (PHPP) and let the account always be positive and exactly zero at the end. One possible example is consumption rates forming a martingale under the above restrictions. For finite spaces, it is shown that any strictly positive consumption strategy with restrictions as above possesses at least one corresponding PHPP and could be constructed from it. We also consider numeric examples under time-discrete and -continuous account processes, cases with infinite time horizons and an actuarial application.
Interesting paper paper by Embrechts and Dias.
We analyze the conditional copula for two dimensional high-frequency data and find evidence of non-constancy over tme. We investigate at six different frequencies. Further, we investigate the existence of change-points in the conditional copula. The data analyzed are foreign exchange spot rates for USD against both EUR and JPY.
Frank Romeike coacht Unternehmen zum Thema Risiko Management seit mehr als 10 Jahren. Fuer die Creditreform schreibt er ein Tagebuch.
Vincent Zoonekynd put up a more than 1000 page document. Highly recommended.
It is hard to believe, but I found the article on slashdot. It looks promising.
Authors: Ramani S. Pilla, Catherine Loader and Cyrus C. Taylor
We propose a new test statistic based on a score process for determining the statistical significance of a putative signal that may be a small perturbation to a noisy experimental background. We derive the reference distribution for this score test statistic; it has an elegant geometrical interpretation as well as broad applicability. We illustrate the technique in the context of a model problem from high-energy particle physics. Monte Carlo experimental results confirm that the score test results in a significantly improved rate of signal detection.
paper
The paper is from 1997 (revised in 1998), but worth reading.
Asset prices are typically measured when markets close however the closing times may differ across markets. As a result the returns appear to have predictability and correlations are understated. This will distort the value of portfolios, value at risk measures, and hedge strategies. A solution is proposed. Prices can be "synchronized" by computing estimates of the values of assets even when markets are closed, given information from markets which are open. From these prices, synchronized returns are defined and can be used to perform standard calculations including measuring time varying volatilities and correlations with GARCH. The method is applied to G7 index data.
linkThis makes Swiss Re the world's biggest reinsurer and strengthens its position in Europe and the United States. Read the press release on the Swiss Re webpage.
We got a new RMA-Flyer. Check it out.
We got two study circles:
Quantitative Risk Management from Alexander J. McNeil, Rudiger Frey, Paul Embrechts, Princeton University Press (November 1, 2005) is a must read!
I also highly recommend a look at Paul's talks and papers. Especially the Boston talk about
Quantitative Models for Operational Risk: Extremes.
Riskjobs wird gemeinsam von Risknet und adfinem betrieben und veroffentlicht Stellenangebote, Lebenslaufe sowie Unternehmensdarstellungen und bietet Interessenten die Moglichkeit des selektiven Zugriffs auf die eingestellten Profile.
Probable Person-to-Person Transmission of Avian Influenza A (H5N1)
article
Traders keep an eye on birdflu, as it can have a huge busines impact. Let's hope that we can escape without too much harm.
We monitor the impact of "bird flu" in the mainstream press. Click on the image to see a larger image.
Mit der Studie moechten wir aufzeigen, wie gut die Assekuranz in Deutschland, Oesterreich und der Schweiz auf das anstehende Mammutprojekt "Solvency II" vorbereitet ist und wo noch Handlungsbedarf besteht. Zu diesem Zweck wird eine Befragung unter allen massgeblichen Versicherungsunternehmen durchgefuehrt und um vertiefende Einzelinterviews mit "Key-Playern" der Branche ergaenzt. Bis Ende Oktober koennen Solvency-II-Verantwortliche, Risikomanager und weitere Interessenten an der Benchmark-Studie unter risknet teilnehmen. Erste Ergebnisse werden im Spaetherbst 2005 vorliegen.
Download pdf.
However, the surprising result does not mean traders are actually just buying and selling at random, say researchers. Instead, it suggests that the movement of markets depend less on the strategic behaviour of traders and more on the structure and constraints of the trading system itself.
link
Am 13.7 haben wir gemeinsam die Risk Management Association e.V. gegründet. Pressemeldung.
Die Approximity GmbH wird den RMA unterstützen! Die ersten Veranstaltungen beginnen bereits in diesem Sommer.
The fluctuations of the foreign exchange (FX) rates are a source of additional risk, but also an opportunity for further profits for internationally operating reinsures. Very interesting paper by Embrechts et al.
Conference slides slides are now online.
Seit geraumer Zeit orientiert sich ein Teil der Finanzvorstände bei ihren Dispositionen an makroökonomisch fundierten Gleichgewichtsmodellen. Zu solchen bewertungsorientierten Fundamentalmodellen schien es lange Zeit keine Alternativen zu geben. Rund ein Jahrzehnt nach Anwendung des Value-at-Risk(VaR)-Prinzips im Bankenbereich ist heute aber auch in Industrieunternehmen die Diskussion über Einsatzmöglichkeiten erwartungsorientierter .At-Risk. Modelle wie Budget-at-Risk (BaR), Earnings-at-Risk (EaR) oder Cash-Flow-at-Risk (CFaR) in vollem Gange. Sowohl in der Literatur als auch in der Unternehmenspraxis werden bewertungs- und erwartungsorientierte Methoden aufgrund der unterschiedlichen Stoßrichtungen, aus denen sie hervorgehen (Volkswirtschaft beziehungsweise Mathematik/Stochastik), als komplementär erachtet.
Artikel aus der RISKNEWS 01/2005
On Mon, 18th of April, Peter Dalgaard posted:
I've rolled up R-2.1.0.tar.gz a short while ago. This version contains
several substantial changes and additions, perhaps most notably the
UTF8 and Internationalization changes. See the full list of changes
below.
You can get it from link or wait for it to be mirrored at a CRAN site nearer to you. Binaries for various platforms will appear in due course.
I am sure you have heard about this lady's sailing expedition.
> http://www.teamellen.com/ellen-article-2380.html > Early this morning, one of the Sony VAIO laptops that power > the critical information systems onboard B&Q - including > routing and navigation software - suffered a meltdown. The > VAIO's have survived 70 days without a glitch, despite continual > pounding onboard B&Q but last night's storm was the last straw > for one of the two hard disks. At 0750 Charles Darbyshire, > Technology Manager, received a call to report the failure and > just seven minutes later, MacArthur[?] had replaced the hard disk > with a pre-start mirrored backup unit, re-configured the software, > and was up and running again - preparation counts!
It categorizes and organizes a bunch of R's (S's) basic, most used functions so that they can be easily found. For example, paste() is under the "Strings" heading and expand.grid() is under "Data Creation." For newbies struggling to find the right R function as well as veterans who can't quite remember the function name, it's very handy.
The site will be down from Dec 27-28 due to a upgrade of the search-engine.
Don't forget to bookmark finzi.psych.upenn.edu/it. It offers a search on the R-help ml and much more.
Within the Basel-II Framework
Source: (Jose Aparicio, Eser Keskiner) Our goal in writing this document is two-fold: To give a snapshot of the developments that are taking place in relation to the new Basel Accord and To increase awareness of some technical issues which will need to be taken into account in Basel-II related projects within Accenture. link
