Two very interesting google movies: Climate Change and Health and Pricing Real Options Contracts in Capacity Exchanges.

A disastrous bet on natural gas prices did end up costing Amaranth $5 Bn last week. (Source: Calgary Sun)

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.

 

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

This 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:

• Standardisation in Risk Management
• Financial risk

 

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.

RiskNET fuehrt - in Zusammenarbeit mit Prof. Dr. Matthias Mueller-Reichart (Lehrstuhl fuer Risiko-Management des Studienganges Versicherungsmanagement/Financial Services an der Fachhochschule Wiesbaden) und mit Unterstuetzung von SAS Institute, Heidelberg - eine umfassende Benchmark-Studie zum Themenkomplex Solvency II durch.

 

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.

(Source: NewScientist) A model that assumes stock market traders have zero intelligence has been found to mimic the behaviour of the London Stock Exchange very closely.

 

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

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!

(Source: NYTimes, Oct 31, 2003) Wall Street is not the only one wooing Google. Microsoft is as well.

 

Google, the highflying Silicon Valley Web search company, recently began holding meetings with bankers in preparation for its highly anticipated initial public offering as it was still engaged in meetings of another kind: exploring a partnership or even a merger with Microsoft. article

 

(Source: FT) European markets were lower by mid-morning on Wednesday dogged by worries about the strength of the euro after it hit a lifetime high against the dollar in US trade.

 

The euro rose more than 2 cents to $1.1951 against the dollar on Tuesday after the US said it would impose import restrictions on several types on Chinese textiles and clothing sparking fears about a full-blown trade war between the US and its major trading partners. article

 

Armin: I corrected from $1.951 to $1.1951. It was a mistake in the FT.

 

Corresponding German Spiegel article: article

(Source: pragprog-ML, Michael L. Royle)

>I work for ThoughtWorks[?] (TW) and would be happy to tell you about it.  TW
>was founded on the idea that if you put together the best and brightest 
>people and give them a challenging environment then only great things can 
>happen.  This has been and continues to be the main criteria by which we 
>hire people and is the one of the reasons we are so successful.  As such, 
>the recruitment process is a series of flaming hurdles, but well worth it.  
>I just can't bring myself to leave the company even after 5 years :-)

(Source: Computing Canada) Sometimes ROI can be measured by what you don't lose. According to Stephen Hollander, co-coordinator of economic crime studies at the British Columbia Institute of Technology (BCIT), in an industrialized country five to six per cent of the gross domestic product is lost to fraud and similar abuses.

In B.C. alone, that could amount to $4.2 billion.

article

 

Benfords law

Kent Beck, one of the people that invented extreme programming (XP) offers an economic model. The financial risk management community and the software development community can learn a lot from each other. Think of this article as: When should you put Risk Management into place?

 

Amongst other things this article tells you when best to have children :-).

(pdf)

(Source: Jorion, Philippe; Journal of Risk, Volume 5 / Number 1, Fall 2002)

This paper takes another look at allegations that risk management systems contribute to increased volatility in financial markets, in particular during the summer of 1998. The analysis starts with a review of the literature on the effect of financial engineering on financial markets. The evidence is that financial innovations reduce volatility in financial markets but seem to be systematically blamed for the opposite effect. The paper also provides new evidence on the potential effect of VaR-based market risk charges for commercial banks under the Basel Accord. I show that VaR-based regulatory capital charges cannot plausibly be blamed for the volatility of 1998, due to their very slow response to market movements. pdf

(Source: Yahoo/Reuters) George Soros, the outspoken billionaire hedge fund investor and philanthropist, said a short and decisive victory in Iraq would provide brief economic relief, but warned Thursday that U.S. military policy is creating a dangerous "bubble of American supremacy." (link)

(Source: The Register) Java and .Net virtual machines can be prised open with a little ingenuity and hacking tools as crude as a light bulb, according to a pair of Princeton University researchers. article

(Source: Economist) Terrorist attacks in 2001 caused the biggest insurance losses ever from man-made events. Last year, however, saw a return to “normal”, as insurers suffered their biggest losses as a result of natural disasters, such as floods in Europe, spring storms in America and hurricanes in the Caribbean. article

(Source: Cryptogram - Dec - 2001) Two stories with a common theme: A judge tells companies that if they can't make their networks secure, they have no business being on the Internet. It may be Draconian, but it gets the message across. article

(CNN) The euro broke through its January 1999 launch level against the dollar Friday as pressure mounted for an interest rate cut to ease the impact of a stronger currency on eurozone economy.

The euro leapt more than half a cent, pushing through its $1.1747 launch level to $1.1789 -- just below its record high of $1.880

article

(Source: Register) While other government agencies struggle with their cyber security practices, the Central Intelligence Agency apparently suffers from the opposite problem: too much security -- according to a recent study of the agency's use of information technology.

The problem is that, when it comes to IT, the CIA's approach is not 'risk management,' but 'risk exclusion'.

article

(Source: Spiegel) Wenn die Engländer auf dem Fußballplatz daneben treten, läuft es auch an der Londoner Börse nicht rund. Forscher fanden heraus, dass die Niederlangen des englischen Nationalteams regelmäßig die Aktienkurse von den Beinen holen. article

 

(Source: Wired) n one of the highest-profile cases of cybercrime to hit the gami ng industry, the source code for Half-Life 2 -- one of the year's most-anticipat ed games -- was stolen and released over the Internet, developer Valve said Thur sday. article

(Source: Boston Globe) BEIJING -- More than 55,000 people were being evacuated in eastern China yesterday as authorities rushed to cope with some of the worst flooding in more than a decade, and a mudslide left more than 40 people missing. article

(Source: VOANews) Hurricane Isabel is unleashing powerful winds and heavy rains on vast stretches of the U.S. East Coast. Isabel's fierce 160 kilometer-an-hour maximum winds are expected to diminish as the storm travels northward over land. article

Innovation Futures is a prediction game. Similar to fantasy stock market games, this one lets players trade on all kinds of events. You predict the outcome of various news events we supply. So the more you know, the more likely you are to predict correctly and win. And it's not just how much you know. You can benefit from the bad predictions of others. link

(Source: Microsoft) Microsoft Teams With Worldwide Law Enforcement to Root Out Malicious Code Distributors With $5 Million Reward Fund as a Part of Broader Security Initiative.

 

WASHINGTON -- Nov. 5, 2003 -- Microsoft Corp. today announced the creation of the Anti-Virus Reward Program, initially funded with $5 million (U.S.), to help law enforcement agencies identify and bring to justice those who illegally release damaging worms, viruses and other types of malicious code on the Internet. Microsoft will provide the monetary rewards for information resulting in the arrest and conviction of those responsible for launching malicious viruses and worms on the Internet. Residents of any country are eligible for the reward, according to the laws of that country, because Internet viruses affect the Internet community worldwide.

 

article

 

Armin: Wouldn't it be better to spend that money on producing better software?

 

Slashdot: For the first time, it seemed, flaws in Microsoft's software were translating into flaws in the company's business model.'"

(Source: Thomas L. Barton, Willian G. Shenkir, Paul L. Wallker, Prentice Hall, 2 002) 5 case cases are presented: Chase Manhattan, Microsoft, DuPont, Unocal and United Grain Growers. The book is not very technical, but gives a good introduction how enterprise wide Risk Management can look like. Link to Amazon.de

 

(Source: MSNBC) Students maps illustrate concern about public information George Mason. Tinkering on a laptop, wearing a rumpled T-shirt and a soul patch goatee, this George Mason University graduate student has mapped every business and industrial sector in the American economy, layering on top the fiber-optic network that connects them. article

(Source: The Philadelphia Inquirer) Master keys" are being used, authorities say, to start cars including those in the Chrysler line. link

(Source: Robert J. Schiller, McKinsey[?] & Company) "With better risk management tools, we will feel less constrained in our choices, we will be less similar to each other, less inclined to copy others just to be safe. Society will therefore be more diverse and interesting, as well as more productive." article (pdf)

A Macroeconomic and Geostrategic Analysis of the Unspoken Truth by W. Clark (from Jan. 2003; last revised 6 March)

(Source: Independent Media Center) Although completely suppressed by the U.S. media and government, the answer to the Iraq enigma is simple yet shocking -- it is an oil currency war. The real reason for this upcoming war is this administration's goal of preventing further Organization of the Petroleum Exporting Countries (OPEC) momentum towards the euro as an oil transaction currency standard. However, in order to pre-empt OPEC, they need to gain geo-strategic control of Iraq along with its 2nd largest proven oil reserves. This essay will discuss the macroeconomics of the `petro-dollar' and the unpublicized but real threat to U.S. economic hegemony from the euro as an alternative oil transaction currency. The author advocates reform of the global monetary system including a dollar/euro currency `trading band' with reserve status parity, and a dual OPEC oil transaction standard. These reforms could potentially reduce future oil currency warfare. Article

What should European companies, governments, etc. best do? Though-provoking article.