This is a summary of links featured on Quantocracy on Sunday, 06/05/2016. To see our most recent links, visit the Quant Mashup. Read on readers!
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Mini-Meucci : Applying The Checklist – Step 2 [Return and Risk]"Guessing before proving! Need I remind you that it is so that all important discoveries have been made? Henri Poincar, French mathematician (1854-1912) In this second leg of The Checklist tour, Estimation, we are going to make some educated guesses about the true unknown distribution of the invariants. But first… Recap and a bit more on Quest for Invariance The quest for invariance is
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Computation of the Loss Distribution not only for Operational Risk Managers [Quant at Risk]In the Operational Risk Management, given a number/type of risks or/and business line combinations, the quest is all about providing the risk management board with an estimation of the losses the bank (or any other financial institution, hedge-fund, etc.) can suffer from. If you think for a second, the spectrum of things that might go wrong is wide, e.g. the failure of a computer system, an