Das & Stein (2011) Differences in Tranching Methods

There are two methods the rating agencies used to evaluate credit worthiness. S&P and Moody’s in particular, uses the probability of default (PD) and the expected loss (EL) respectively. This paper compares these two methods in the context of CDO. [more]

Using pgfplotstable in LaTeX

pgfplotstable allows you to typeset a table in LaTeX without really typing out the table. The following is a simple example, that converts a CSV into a table: [more]

Kriegel et al (2010) Outlier Detection Techniques

Outlier: definition by Hawkins (1980), an observation which deviates so much from other observations as to arouse suspicions that it was generated by a different mechanism mechanism: statistical process Example: Hadlum v Hadlum (1949), birth of a child happened 349 days after Mr Hadlum left for military service while average... [more]