MoneyScience News |
- Blog Post: TheFinancialServicesClub: UK banks fudge Funding for Lending to SMEs
- Blog Post: Falkenblog: Weekly Roundup
- Published / Preprint: The Convexity of the Free Boundary for a Parabolic Free Boundary Problem. (arXiv:1304.5337v1 [q-fin.CP])
- Published / Preprint: Bayesian estimation of customer equity from survey data. (arXiv:1304.5380v1 [stat.AP])
- Published / Preprint: MCMC estimation of default and recovery dependent via the latent systematic factor. (arXiv:1011.2827v4 [q-fin.RM] UPDATED)
- Blog Post: ThePracticalQuant: Simpler workflow tools enable the rapid deployment of models
| Blog Post: TheFinancialServicesClub: UK banks fudge Funding for Lending to SMEs Posted: 22 Apr 2013 02:53 AM PDT I was trying to find out about the UK Government's Funding for Lending Scheme and why it isn't working, and managed to meet a senior small business lending manager with one of the UK's largest retail banks. He spoke to me off the record, but here's a summary of the discussion. It's pretty enlightening. read more... Visit MoneyScience for the Complete Article.      |
| Blog Post: Falkenblog: Weekly Roundup Posted: 21 Apr 2013 06:34 PM PDT Cliff Asness: An hour interview with Cliff Asness. It would be hard to improve upon Cliff's Big 4 Investment Principles:Cheap stocks beat expensive stocks High carry beats low carry Low risk beats high risk The trend is your friendI would just add that, 'risk' doesn't really help understand these principles, because while you can tell a risk story for #1 and #2 they generally... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Apr 2013 05:49 PM PDT In this paper, we study a parabolic free boundary problem which shows that the solutions of this free boundary problem are increasing functions. Furthermore, we provide a rigorous veri?cation for that the free boundary for this problem is concave. As an application to the American option pricing problem, our results imply that the early exercise boundary of an American call is a strictly... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Apr 2013 05:49 PM PDT We present a Bayesian framework for estimating the customer equity and the customer lifetime value (CLV) based on the purchasing behaviour deducible from the market surveys. We analyse a consumer survey on mobile phones carried out in Finland in February 2013. The survey data contains consumer given information on the current and previous brand of the phone and the times of the last two... Visit MoneyScience for the Complete Article.    |
| Posted: 21 Apr 2013 05:49 PM PDT It is a well known fact that recovery rates tend to go down when the number of defaults goes up in economic downturns. We demonstrate how the loss given default model with the default and recovery dependent via the latent systematic risk factor can be estimated using Bayesian inference methodology and Markov chain Monte Carlo method. This approach is very convenient for joint estimation of all... Visit MoneyScience for the Complete Article.    |
| Blog Post: ThePracticalQuant: Simpler workflow tools enable the rapid deployment of models Posted: 21 Apr 2013 10:34 AM PDT [A version os this post appears on the O'Reilly Strata blog.]Data science often depends on data pipelines, that involve acquiring, transforming, and loading data. (If you're fortunate most of the data you need is already in usable form.) Data needs to be assembled and wrangled, before it can be visualized and analyzed. Many companies have data engineers (adept at using workflow tools like Azkaban... Visit MoneyScience for the Complete Article.    |
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