To correct my previous post, the S-PLUS 7 Enterprise webinar by Greg Gupton
of Moody's will be on Tuesday August 2 2005 at 11AM Eastern US Time. (And not
April 2. I guess my typing fingers are running faster than my brain today.)
To register, please visit:
http://www.insightful.com/news_events/webcasts/2005/08gupton/default.asp
Probing the Dependence Between Default Probability and Loss Given Default
Speakers: Greg Gupton, Moody's KMV and David Smith, Insightful Corporation
Using S-PLUS® 7 Enterprise Developer, Moody's KMV has been able to analyze a
long standing problem that has both a deficiency of financial institutions'
credit risk management systems and an imperative of international regulation
by BASEL. Portfolio managers have long known that recoveries on defaulted
instruments are commonly at their worst during times when the frequency of
defaults is at its peak. Such "double whammy" behavior imperils the solvency
of lending institutions and is an active concern of bank regulators
internationally. Quantitative risk models to date do not deal with this
correlation in anything better than some ad hoc way. We at Moody's KMV have
now quantified this correlation and its driving factors using leading edge
analytical tools.
In addition, David Smith, Senior Product Management of Insightful will
provide a short introduction to S-PLUS 7 and its pipeline architecture for
reading, manipulating and analyzing very large data sets, and how it can be
used to deploy statistical analysis across the enterprise.
# David Smith
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