" /> Coruscation: March 2005 Archives

« February 2005 | Main | April 2005 »

March 31, 2005

Le Jamesien


Minis-Cooper in visit with Radisson
By Josée Lefebvre

The group made up of a dozen Americans in common have only the fact
of being owners of these small racing cars. "At the beginning, nobody
knew himself, but one saw all on Internet an invitation to undertake
a tour towards North with our vehicles", tells us Peter Wan of New
York. According to information's collected, a certain David Ross
would have proposed the idea by fixing the starting point in the area
of New York for an excursion of approximately a week.

For Amy Larson of Connecticut and Annette Murano of California, the
voyage is an unforgettable experiment; like the other members of the
group, they had never been also far in north from the continent and
all could appreciate Québécois hospitality. They particularly
appreciated to go to Chisasibi to see the sea, famous Baie of James.
Walter Soyka of New York had much pleasure to take photographs during
the voyage.

Namely why undertake a tour out of Minis-Cooper, Peter Emminger
answers us: "Why not? The Minis-Cooper are not only one amusing car,
but it is also very powerful and sedentary. And in spite of what
people think, one has of the place inside ". The participants did not
have any major problem and tell with humour that one as of their
found the four tires in the air by taking a turn a little too tight.
There was no casualty, fortunately. Peter Basiliere of New York in
made laugh more one while walking in short trousers in spite of the
intense cold.

The majority of the participants of this merry group are promised to
remake the voyage, perhaps in summer if the opportunity arises.

There are clubs of owners of Minis-Cooper throughout the world. For
information, mini2 and nemini.

March 28, 2005

Hedge funds bubble ?

In a way, hedge funds are to mutual funds what Evel Knievel was to
weekend motorcyclists. Unlike mutual funds, which are restricted in the
ways they can invest, hedge funds can use leverage, trade derivatives
and bet that stocks will fall, a technique called shorting. And unlike
mutual funds, which generally try to beat a market average, hedge funds
seek positive returns, even in down markets.

In 2003, the 25 highest-paid hedge fund managers earned more than $200
million, on average, according to a survey by Institutional Investor
magazine. The top-ranked manager, George Soros, took home $750 million
that year. At No. 2 was David Tepper, manager of the $3 billion
Appaloosa funds, who earned $510 million, according to the magazine.


March 27, 2005

Riskmetrics journals

Riskmetrics journals and old (1999-2002) Working Papers.

March 26, 2005

Torto Wheaton Research (TWR)

Torto Wheaton Research (TWR) studies commercial real estate.
Their Debt Risk Management has a nice list of features. See also
Portfolio strategy and misc research desk.

Related: Center for Real Estate.

March 25, 2005


Wavelets are mathematical expansions that transform data from the
time domain into different layers of frequency levels. Compared to
standard Fourier analysis, they have the advantage [PDF] of being
localized both in time and in the frequency domain, and enable the
researcher to observe and analyze data at different scales.

Wavelets for Economists [PDF]
Christoph Schleicher, Bank of Canada / Banque du Canada

March 24, 2005

PRMIA guide

PRMIA guide [PDF] prepares you for the Professional Risk Manager (PRM) exam.

March 23, 2005

Hedge Week

Hedge Week newsletter. See also Hedgefund News.

March 22, 2005

Centre for Real Estate

CRE: Centre for Real Estate is mostly about town planning,
environment and architecture, but also publishes on economic
topics such as, Is There a "Bubble" in US Housing Markets ? [PDF, 298k]

-- by William C. Wheaton, 2005 January

March 21, 2005

IAFE: International Association of Financial Engineers

IAFE: International Association of Financial Engineers

The IAFE is the professional society dedicated to fostering the
profession of quantitative finance by providing platforms for the
discussion of cutting-edge and pivotal issues in the field. Founded in
1992, the IAFE is composed of individual academics and practitioners
from banks, broker dealers, hedge funds, pension funds, asset
management firms, technology firms, regulatory bodies, accounting,
consulting and law firms, and universities across the globe. Through
frank discussions of current policy issues, hosting programs to
educate the finance community, and recognizing the outstanding
achievements in the field, the IAFE acts as a beacon for the
development of quantitative finance.

Throughout its history, the IAFE's pre-eminent leadership has
positioned us to respond with savvy to the evolving needs of the
financial engineering community. The IAFE's programs – from our
area-specific committees to our evening forums to the Financial
Engineer of the Year Award – are designed to provide our membership
with uniquely valuable activities to enhance their work in the field.

March 20, 2005

Shoulder of James Bay highway

James Bay road's wide shoulders offer progressively deeper
snow the further off road you go. The centre of the road
offers a thin layer of packed snow and ice.


March 17, 2005

Good Morning

Matagami, , Quebec [MOV]

March 16, 2005

What is Financial Engineering ?

What is Financial Engineering ?

Financial engineering involves the development and creative
application of financial theory and financial instruments to structure
solutions to complex financial problems and to exploit financial
opportunities. Financial engineering is not a tool. It is a profession
that uses tools, of which derivatives are one. Importantly, financial
engineering differs from financial analysis. The term “analysis” means
to “decompose in order to understand.” The term “engineering” means to

March 14, 2005

Financial Engineering (Today)

Financial Engineering Today newletter.

Money words

Money words investing and finance glossary.
Example: Bulge Bracket

March 11, 2005

Validating Default Probabilities on Short Time Series

Two approaches to examine the accuracy of default probability forecasts
for different rating grades and in particular, the respective
advantages and disadvantages of the two methods. Also, the effect of
independence assumptions is taken into account by modelling latent
variables like the asset correlation and dependency in time. Both
tests, the Extended Traffic Light Approach as well as an ad hoc normal
test work on time-varying default probability forecasts. They are
considered with respect to their practical use and potential
application in validating default forecasts in credit institutions.

Basel II, Internal Ratings Based Approach, Validation, Default Probabilities

Stefan Blochwitz of Deutsche Bundesbank,
Stefan Hohl of the Bank for International Settlements,
Dirk Tasche of Deutsche Bundesbank, and
Carsten When of Deutsche Bundesbank

March 10, 2005

Leaving Asilomar

Asilomar Institute for Information Architecture is now Information Architecture Institute.

March 9, 2005

Credit Risk Modeling and Valuation: An Introduction

Credit risk is the distribution of financial losses due to unexpected
changes in the credit quality of a counterparty in a financial
agreement. Structural, reduced form and incomplete information
estimate joint default probabilities and prices of credit sensitive

Kay Giesecke, Cornell University.

March 7, 2005

FIASI ads Three New Hall-of-Famers

In 2003 November, the Fixed Income Analysts Society tipped its hat to
three leading lights in the fixed-income arena, inducting Frank J.
Fabozzi, Abner D. Goldstine and Oldrich A. Vasicek into its Hall of
Fame. The eighth annual awards ceremony recognized the trio for their
contributions to the advancement of fixed-income analysis and
portfolio management. Previous Hall of Famers include Martin
Leibowitz, Fischer Black, John C. Bogle and William H. Gross.

Fabozzi, of course, is a name on everyone’s lips. He single-handedly
created and stocked a library of books on fixed-income education
where nothing of the kind existed, helping school many thousands of
individuals in the theory and business of the debt markets. Goldstine
is an innovator in the creation of bond portfolios for investors.
Vasicek is a fixed-income modeler who opened up new avenues in
interest rate derivatives and credit modeling.

Nina Mehta, Financial Engineering News.

March 6, 2005

N3B 'snorkel' Parka


Dressed to kill not die. Prepared for extreme cold winter.

Housing market bubble ?

PMI's Economic and Real Estate Trends (ERET): [PDF, cached]

Economic and Real Estate Trends is a narrative publication based on an
internally developed PMI model. Issued quarterly, the report includes
commentary on the national economy and regional housing price trends.
In addition, select metropolitan areas are analyzed. The 50 most
populated metropolitan areas are featured in a tabular presentation
(Metropolitan Area Economic Indicators), based on a statistical model
utilizing economic data, real estate variables and market expertise.
The model provides several risk measures to gauge relative residential
lending risk.

March 5, 2005

Economic and Regulatory Capital What is the Difference ?

The determinants of regulatory capital (the minimum required by
regulation) and economic capital (the capital that shareholders would
choose in absence of regulation) in the context of the single risk
factor model that underlies the New Basel Capital Accord (Basel II)
do not depend on the same set of variables and do not react in the
same way to changes in their common determinants.

For plausible parameter values, they are both increasing in the
loans’ probability of default and loss given default, but variables
that affect economic but not regulatory capital, such as the
intermediation margin and the cost of capital, can move them
significantly apart. The results also show that market discipline,
proxied by the coverage of deposit insurance, increases economic
capital, although the effect is generally small.

Abel Elizalde of CEMFI and UPNA, and
Rafael Repullo of CEMFI and CEPR

March 2, 2005

Interest rate modelling, Brigo, Mercurio, Pelsser.

Interest rate modelling for practical implication: Interest Rate Models by Damiano Brigo and Fabio Mercurio. Brigo_Mercurio.jpg

For a clear and conicse treatment we also suggest you Antoon Pelsser's Efficient Methods for Valuing Interest Rate Derivatives which is extremely interesting.


March 1, 2005

Institutional Investor

Institutional Investor tracks Real Estate Finance and Investment.