As soon as de Servigny mentioned this reference in his opening remarks, I had to find it.
Here it is for others that may have an interest in a review of Statistical Pattern Recognition and Supervised and Unsupervised Learning.
Best,
Brian
Anyone have any thoughts on precisely what "internationally active" means?
I doubt it means any bank within which you can exchange dollars for yen, for example. (I also doubt that it necessarily includes any bank that hedges its currency exposure for just such transactions.)
Just curious....
The opening of Til Schuerman's paper states the following:
"Capital adequacy addresses the right side of the balance sheet (net worth), and liquidity the left side (share of assets that are “liquid”, however defined). If all goes well, both economic and regulatory capital/liquidity are less...
@David Harper CFA FRM
Are you aware of any funds that actually recognized that the static correlation assumption was a flawed assumption and were able to profit off of this trade by employing an appropriate and dynamically adjusted hedge ratio? i.e., by incorporating a dynamic correlation...
Did you see David's recent post?
http://ftalphaville.ft.com/2016/03/22/2157236/something-very-significant-is-happening-in-repo/
Something very significant is happening in repo
Izabella Kaminska
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|Mar 22 17:38|Comment|Share
Thespike in US Treasury bondfails to deliver, which...
It is more of a Part II concept. Still, it has many definitions. It can be thought of as the amount of buffer capital that I company must have in order to achieve its target rating. It can be thought of as the amount of capital a company needs to protect itself against "unexpected" losses...
the BAII Plus can absolutely calculate a dirty price....simply use the TVM methods to calculate the price of the bond to a point before or after the settlement date as if the bond was price on 1 earlier payment as an annuity immediate or one payment date later as an annuity due....
Then, once...
It is interesting to me to note that this paper suggests a few things that appear to be inconsistent. In one place, it mentions that the "simple summation" approach to risk aggregation can be thought of as an upper bound since it does not contemplate any diversification benefit. In other...
I, too, am an excel expert!! Which is why I was wondering :) (Since it doesn't seem to me to be entirely straight forward -particularly the curve portion!)
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