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July 31, 2005

Shanghai Roads

As many road geeking opportunities as California ?

NYT July 11, 2005

July 30, 2005


Sinosplice: worthy of blogrolling: updates
Ape Rifle / China-on-the-Thames / ode to VW Santana (Dasher/Quantum/Passat ?) /
Montreal over Toronto / subtle subtitles

July 29, 2005

bad architecture in Beijing

An investigation of the not-so-subtle bad architecture in Beijing.

Three Rockets

by 'Crazy' Jian Zhu
Update 2005 Aug 01: site hacked, look for archives.

July 28, 2005

Chinese Triad

Chinese Triad photo journal.

July 27, 2005

Correlation-dependent Credit Structural Model

In 1976 Black and Cox proposed a structural model where an obligor
defaults when the value of its assets hits a certain barrier. In 2001
Zhou showed how the model can be extended to two obligors whose assets
are correlated. In this paper we show how the model can be extended to
a large number of different obligors. The correlations between the
assets of the obligors are determined by one or more factors.

We examine the dynamics for credit spreads implied by the model and
explore how the model price tranches of collateralized debt
obligations (CDOs). We compare the model with the widely used Gaussian
copula model of survival time and test how well the model fits market
data on the prices of CDO tranches.

We consider two extensions of the model. The first reflects empirical
research showing that default correlations are positively dependent on
default rates. The second reflects empirical research showing that
recovery rates are negatively dependent on default rates.

The Valuation of Correlation-dependent Credit Derivatives Using a
Structural Model
John Hull, Mirela Predescu, and Alan White

July 26, 2005

Moodys KMV 2005 Credit Risk Research

Moodys KMV 2005 papers.

July 25, 2005

Optimal Recursive Refinancing and the Valuation of Mortgage-Backed Securities (Longstaff)

The optimal recursive refinancing problem where a borrower minimizes
his lifetime mortgage costs by repeatedly refinancing when rates
drop. Key factors affecting the optimal decision are the cost of
refinancing and the possibility that the mortgagor may have to
refinance at a premium rate because of his credit.

The optimal recursive strategy often results in prepayment being
delayed significantly relative to traditional models. Furthermore,
mortgage values can exceed par by much more than the cost of
refinancing. Applying the recursive model to an extensive sample of
mortgage-backed security prices, we find that the implied credit
spreads that match these prices closely parallel borrowers’ actual
spreads at the origination of the mortgage. These results suggest
that optimal recursive models may provide a promising alternative
to the reduced-form prepayment models widely used in practice.

Francis A. Longstaff, Anderson School of Management.

Francis A. Longstaff, "Optimal Recursive Refinancing and the Valuation
of Mortgage-Backed Securities" (December 1, 2002). Finance. Paper 15-02.

July 24, 2005

Classic Saint Louis roof repair

Saint Louis Slate and Tile Roofering Co. will inspect and fix
your classic Saint Louis roof.

And copper gutters, too

July 23, 2005

Modelling Dependence with Copulas for Risk Management

Modelling of dependence is one of the most rucial issues in risk
management. Whereas classically independence was equated to linear
correlation, more recently, mainly due to extremal market moves,
the limitations of the linear correlation concept were strongly felt.

In order to stress test dependence in a financial or insurance
portfolio, the notion of copula offers a versatile tool.

* Basic properties of copulas,
* The underlying simulation and numerical issues,
* Use of copula based techniques in integrated risk management.


July 22, 2005

Dependence Modelling in Risk Management

* Simulation of dependent risks,
* Statistical estimation of correlation in the static case,
* Dependence and correlation in a dynamically changing environment
* Extremes for heavy-tailed random vectors and multivariate stochastic processes.

Crucial to questions of risk aggregation, the project aims to
establish the fundamentals of dependence and correlation modelling.

July 21, 2005

Asset prices by Enricode Giorgi

Default models and asset pricing models at Enricode Giorgi's resource,
some with correlated defaults.

July 20, 2005

Philip Greenspun

Commercial software for the web was his first major writing topic,
but now aviation, travel, and standard of living.

software engineering jobs seem to be concentrated in parts of
the U.S. where the cost of living is very high, e.g., Silicon Valley,
Boston, and Washington, DC. Finally the methods of software
engineering haven't changed since either 1957 (if you program in an
imperative language such as C or Java) or 1970 (if you program in
SQL). This has made programmer careers more vulnerable to
offshoring than the careers of traditional engineers.

[Philip Greenspun *]

July 19, 2005

sas proc quantreg for quantile regression

Some PROC QUANTREG features are:

* Implements the simplex, interior point, and smoothing algorithms for

* Provides three methods to compute confidence intervals for the
regression quantile parameter: sparsity, rank, and resampling.

* Provides two methods to compute the covariance and correlation
matrices of the estimated parameters: an asymptotic method and a
bootstrap method

* Provides two tests for the regression parameter estimates: the Wald
test and a likelihood ratio test

* Uses robust multivariate location and scale estimates for leverage
point detection

* Multithreaded for parallel computing when multiple processors are

[PDF, *]

July 18, 2005

PMI Group

Economic and Real Estate Trends from the PMI Group.

July 17, 2005

SAS examples with explanation at ucla.edu/stat/SAS/

SAS examples with explanation abound at UCLA: 1, 2.

July 16, 2005


SETI vs Mac OS X: broken.
SETI sadly converted to the incomplete, non-working BOINC.

July 15, 2005

OAS measure of yield

OAS measure of yield has been introduced to accurately price callable
bonds but is also used now as a measure for bullets' yield.

1. For bullets, it is more accurate than yield to maturity (YTM) as

a. You use implied forward rates instead of the yield to maturity as
a reinvestment rate.

b. You discount using the zero cpn curve instead of the YTM
Even more, you calibrate your forward rates so that the PV of yor
coupons match the market values.

2. For callable bonds and MBS, the YTM measure also assumes holding
till maturity which is obviously inaccurate so the OAS uses binomial
tree which takes into account the contingency of the future coupons.

The OAS is a constant spread to the whole discount curve you use
( e.g. treasury) which would result in a PV equal to the market price.

[Wilmott (Sun Apr 27, 03 06:01 PM )]

July 14, 2005

sas proc sql joins data merging

data step merge statements corresponding to various joins.


merge data1 (in=a) data2 (in=b); by id;
if a and b;


merge data1 (in=a) data2 (in=b); by id;
if a;


merge data1 (in=a) data2 (in=b); by id;
if b;

merge data1 (in=a) data2 (in=b); by id;

[ Quicktips 0206, A Visual Introduction to SQL Joins:, sql workshop at PennPop ]

July 13, 2005

HTML Ampersand Character Codes ascii

HTML Ampersand Character Codes

& is &
  is an un-linebreak-able space

« Fåñtistiqué »®

July 12, 2005

sas proc sql assign value to macro variable

Calculate a value and assign it to a macro variable with
sas proc sql

proc sql noprint;
select ssn format=9. into :ssnok
separated by ' ' from ssn_list;

%put &ssnok;
123456789 234567890 345678901 456789012


July 11, 2005

GIS realtime: BusMonster Seattle

GIS realtime for commuting, BusMonster (motd) maps routes through Seattle.

With help by Intelligent Transportation Systems Research Program at UW.

Compare to the hideous 511.org in San Francisco

July 10, 2005

Array manipulation: Perl Data Language (PDL) and piddles

To COMPACTLY store and SPEEDILY manipulate the large
N-dimensional data sets which are the bread and butter
of scientific computing. e.g. $a=$b+$c can add two
2048x2048 images in only a fraction of a second.

Perl Data Language (PDL), PDL::Impatient - PDL for the impatient

A PDL scalar variable (an instance of a particular class of
perl object, i.e. blessed thingie) is a piddle.

Mozbot, France's prettier Google

Search for stylized facts or for Coruscation at Mozbot, France's prettier Google.

July 9, 2005

Subprime mortgage rate spread at origination

Effects largely captured by a single variable: spread at origination
(SATO). SATO measures the difference in the mortgage rate between the
specified loan and a constant-quality subprime mortgage rate. Assuming
that lenders price borrower risk efficiently, a higher SATO
implies a poorer-credit borrower.

Search for more .

July 8, 2005

Castle Coalition

Eminent domain, condemnation, expropriation:

“Nor shall private property be taken for public use without just compensation.”
U.S. Constitution, Amendment V

Castle Coalition opposes taking, even with just compensation.

Peter Sprigg thinks marriage if more for public purpose than private purpose.
(Family Research Council at panel discussion at the University of Pennsylvania,
February 12, 2004).

July 7, 2005

Econ Browser / James Hamilton

Econbrowser, time series economist looks a current economic, investment
and business news.

July 6, 2005

Police unsure how to enforce squeegee kids law

Vancouver police and the RCMP are not rushing to enforce B.C.'s new
law outlawing aggressive panhandling and squeegeeing, saying it will
take them some time to figure out exactly how they're going to use

"Will there likely be any tickets issued today? Probably not,"
Vancouver police spokesman Const. Howard Chow said Friday. "And it's
not because we don't like the act -- but it's growing pains with any
new legislation coming out. It was just released yesterday."

Chow said the department still needs time to get details about the
Safe Streets Act and its penalties out to its officers on the beat
and to resolve enforcement issues, such as how to issue tickets to
people without a fixed address.

Chad Skelton and Krisendra Bisetty
Vancouver Sun

2005 January 29

Police unsure how to enforce squeegee kids law

Chad Skelton and Krisendra Bisetty
Vancouver Sun

2005 January 29

Vancouver police and the RCMP are not rushing to enforce B.C.'s new
law outlawing aggressive panhandling and squeegeeing, saying it will
take them some time to figure out exactly how they're going to use

"Will there likely be any tickets issued today? Probably not,"
Vancouver police spokesman Const. Howard Chow said Friday. "And it's
not because we don't like the act -- but it's growing pains with any
new legislation coming out. It was just released yesterday."

Chow said the department still needs time to get details about the
Safe Streets Act and its penalties out to its officers on the beat
and to resolve enforcement issues, such as how to issue tickets to
people without a fixed address.

"We [need to] have a chance to inform our members on the act itself
and how to use it effectively," he said. "And, like everything else
new, once members become aware of it and become aware of its
effectiveness, undoubtedly they'll use it if the situation warrants

The RCMP also said it is still in the process of reviewing the act.

"It's not a matter of delaying it. It's being cautious and making
sure the right things are in place," said provincial RCMP spokesman
Cpl. Anthony Choy.

Both forces stressed that the act is now law and -- if they receive a
complaint from the public -- they will act on it.

"If [someone] is walking down the street and encounters aggressive
panhandlers, I would recommend they walk away and call the police,"
said Chow, adding if the person feels in danger they should call 911.

Attorney-General Geoff Plant said he's not upset that police are
taking some time to figure out how to use the new law.

"It's not an issue that gives me any concern," he said. However, he
added, "I hope that their consideration is something that takes days
and weeks and not months. If we were to fast-forward four or five
months from now and find that police were still thinking about how to
use the tool, I would be disappointed."

Plant said while he is happy with the media attention the new act has
received -- which he hopes will encourage people to stop aggressive
panhandling -- he thinks it may have created unrealistic

"To me, the entertainment is over the extent to which media outlets
are so determined to see if the world has been transformed in 90
minutes or less," he said.

Chow said the VPD are not yet clear what impact the act will have on
the already overworked department.

"Sure it's going to stretch our resources," he said. "But that's what
we're there for -- to keep the streets safe."

Choy said RCMP detachments across the province are still figuring out
how to fit enforcement of the new act into their existing budgets.

"We're more or less trying to determine how it works with our current
service delivery and enforcement plans," he said. "We are at the
stage of analyzing the legislation and seeing how it can be applied
on a day-to-day basis. I would say by next week we would have
something better to tell you."

While the details are still being worked out, Chow said the VPD
supports the law, particularly after receiving "scores" of complaints
from merchants, tourists and people who are being badgered by

"This is just going to increase our arsenal," he said. "I think most
of us have probably experienced, having lived in an urban environment
like Vancouver, where you have panhandlers in your face, [who] won't
let you pass, aggressively asking you, sometimes threatening you, for

The new act specifies that tickets ranging from $86 to $115 can be
issued to people for asking for money in a threatening manner, asking
for money while on a roadway (as squeegee kids do) or asking for
money from someone in a "captive location," such as a bank machine,
pay phone or bus stop.

In particularly serious cases, police can file a report to Crown
counsel and an offender could be sent to jail for up to six months.

However, people will not be sent to jail for not paying their fines.

The new law is similar to legislation introduced in Ontario in late
1999 that was directed primarily at squeegee kids.

That law has been heavily used -- with more than 2,000 tickets issued
in its first two years.

In Ottawa alone, police issued 764 tickets under the act in 2003,
with most tickets being issued for squeegeeing, begging in a parking
lot and aggressive panhandling.

Cities in Ontario have seen a noticeable drop in squeegeeing in
particular, but there have been some concerns raised about how those
street people are now making money.

A 2003 study by the University of Guelph that tracked 50 homeless
youth both before and after the squeegee law was introduced in
Ontario found a dramatic drop in the number of teens cleaning windows
for money.

Before the act was introduced, 65 per cent of the teens relied on
cleaning car windows as their primary source of funds.

Following the act's introduction, that dropped to just 24 per cent.

Most of the homeless youth switched to less aggressive forms of
panhandling to replace the lost income, but the survey also found an
increase in the number of male teens selling drugs.

The study also found a large increase in the number of teens relying
on some form of income assistance.

© The Vancouver Sun 2005

July 5, 2005

Don't Need Your Gheto Scenes

Bush on Canada.

July 4, 2005


Orson Scott Card: Science Fiction writer or
wholly derivative polemicist
? At Lance Mannion.

July 3, 2005

Economics Roundtable

Economics Roundtable aggregates interest rates, markets and other
economics topics.

July 2, 2005

V&V: Verification, Validation

Verification: testing against specifications.
Validation: testing against operating goals.

If You Didn't Test It, It Doesn't Work.
Computer, 2002 May, p12
Bob Colwell

July 1, 2005

Art of the New Urbanist Deal

New urbanism proposes new models for the urban design of
master-planned communi-ties and town centers. The financial
performance of three projects is examined in detail: Seaside, a
second-home resort in Florida; Lakelands, a master-planned community
in Gaithersburg, Maryland; and Haile Village Center, a mixed-use
residential, commercial, and retail center outside Gainesville,

Seaside, which consists of 630 residential units, about 45,000 square
feet of retail, and about 18,000 square feet of commercial space, has
slowly developed into a financial success. The first lots sold in 1982
for $15,000; by 1992, the average price of new lots sold was $130,000
and by 2001 it was $690,000. The project has become a model for
several larger second-home village-type resorts in northwest Florida.
Lakelands, with 220 developable acres, has about 1,572 residential
units (houses as well as multi-family), the majority produced by
national homebuilders. The selling rate has been good: in the first
three years, the project sold about 400 units a year.

The land at Haile Village was originally bought for $2,500 per acre
and is today sell-ing for more than $300,000 per acre; the value of
the project at build-out is estimated to be about $500,000 per acre.
Due to lack of visibility, there has been some difficulty in
attracting a large variety of retail tenants.

Witold Rybczynski, "undated".
"The Art of the New Urbanist Deal"
Zell/Lurie Center Working Papers 429,
Wharton School Samuel Zell and Robert Lurie Real Estate Center,
University of Pennsylvania.

Wharton Real Eastate Review, Fall 2002.