Category Archives: Modelos

Reporte: Basilea III

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Results of the Basel III monitoring exercise as of 31 December 2011 Executive summary In 2010, the Basel Committee on Banking Supervision conducted a comprehensive quantitative impact study (C-QIS) using data as of 31 December 2009 to ascertain the impact on banks of the Basel III framework that was published in December 2010 and revised...+

Notas de Clase: Econometría + R

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Econometric Analysis of Financial Market Data Preface The main purpose of this lecture notes is to provide you with a foundation to pursue the basic theory and methodology as well as applied projects involving the skills to analyzing ?nancial data. This course also gives an overview of the econometric methods (models and their modeling techniques)...+

Paper: Mucha presión para una fórmula

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‘The Formula That Killed Wall Street’? The Gaussian Copula and the Material  Cultures of Modelling Abstract This paper presents a predominantly oral-history account of the development of the Gaussian copula family of models, which are used in finance to estimate the probability distribution of losses on a pool of loans or bonds, and which were centrally...+

Frase du Jour: Datos y Dios

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In God we trust; all others must bring data. W. Edwards Deming Leyendo el blog Quantitative Thoughts (altamente recomendado), me cruce nuevamente con esta frase. De dicho sitio recomiendo esta reflexión: C++ is dead. Long live C++   ________________________ Otras Frase del día que nos acompañan…. cada día..   Frase du Jour: Ley de Myron Frase du Jour:...+

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