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Nov 11

Week In Review 112011

Posted by abiao at 15:00 | Review | Comments(0) | Reads(4092)
The First Rule About CDS: Don’t Talk About CDS: is 50% haircut a default event? maybe YES for a corporate CDS, but NOT for a Sovereign one. Reading the Contract is the first rule about CDS.

Invest Excel: a collection of Excel spreadsheets about investment, such as asset allocation, implied volatility, option pricing. Check it out.

Using Text Mining to Find Out What @RDataMining Tweets are About: another example of how to use TwitterR package in real application.

Three free books on R for Statistics: three directly downloadable ebooks on R for: multivariate analysis, time series analysis and biomedical statistics.

Pitfalls in Asset and Liability Management: One Factor Term Structure Models: Dr. Donald R. van Deventer from Kamakura Corporation shows you the pitfalls of one-factor term structure model, implication of the results and possible direction to remedy.

Stressing Correlations and Volatilities - A Consistent Modeling Approach: a new approach of stress scenarios for volatilities and correlations.

What We Need to Know About Cross-Validation: A very interesting & easy-to-understand article about cross-validation, why we need it, its relation with other measures.


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