Search results

  1. brian.field

    Statistical Pattern Recognition - Jain, Duin, and Mao

    http://www.ee.columbia.edu/~sfchang/course/svia-F03/papers/jain99statistical-review.pdf
  2. brian.field

    Statistical Pattern Recognition - Jain, Duin, and Mao

    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
  3. brian.field

    You are going to pass with flying colors!

    You are going to pass with flying colors!
  4. brian.field

    Done with Topics 5 and 7! On to Review Topic 6 again now - still haven't looked at Topic 8 nor...

    Done with Topics 5 and 7! On to Review Topic 6 again now - still haven't looked at Topic 8 nor Current Events!
  5. brian.field

    Error in Meissner text?

    I would also like to hear David's thoughts on this.
  6. brian.field

    I am getting so discouraged when I think about how much I don't know!

    I am getting so discouraged when I think about how much I don't know!
  7. brian.field

    All is quiet on the western front.

    All is quiet on the western front.
  8. brian.field

    BASEL II - Internationally Active Banks

    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....
  9. brian.field

    Stress Testing Principles... Exam Relevance High/Low?

    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...
  10. brian.field

    Sell Protection on Equity / Buy Protection on Mezzanine Trade

    @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...
  11. brian.field

    Malz' Chapter 12 - Liquidity and Leverage

    Just so everyone knows, this chapter is a bear!
  12. brian.field

    Repo's and Balance Sheet Liability in Banks during the 2007 Crisis

    Somewhat surprising to me, there is no mention of LaR nor CFaR. Brian
  13. brian.field

    Difference between probability density function and inverse cumulative distribution function?

    David also covers this extensively in his Study Notes for Miller. Have you read them?
  14. brian.field

    Repo's and Balance Sheet Liability in Banks during the 2007 Crisis

    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 Author alerts |Mar 22 17:38|Comment|Share Thespike in US Treasury bondfails to deliver, which...
  15. brian.field

    Repo's and Balance Sheet Liability in Banks during the 2007 Crisis

    Jayanthi, Chapter 12 in Tuckman's text can help with this question. It is assigned in Part II.
  16. brian.field

    Economic capital

    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...
  17. brian.field

    P1.T3.Interest Rate Futures. US Treasury bond pricing with HP 10bII+

    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...
  18. brian.field

    Range of Practices and Issues in Economic Capital Frameworks

    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...
  19. brian.field

    VaR and ES for Discrete RV

    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!)
Top