Miscellaneous Thoughts – What to Write?

Ideas about blog articles

Today, I want to discuss my miscellaneous thoughts about future posts.  Here is a list of some of my ideas:

  1. Discuss capital models and how economic capital (EC) models fit within that universe.
  2. Outline the various measures of EC and discuss the metric that I will actually use going forward with demonstrated models.
  3. Discuss the modeling environment that is used in the blog models.  The majority of my models use Mathematica, but this being a commercial product, I also want to re-engineer them in R or Excel, so they can be useful to a wider audience.
  4. Prepare a series of brief articles on the use of Mathematica and R.
  5. Outline the process of fitting of statistical distributions.
  6. Discuss the use of Copulas.
    1. Discuss positive definite matrices.
      1. How do you get the nearest positive definite matrix?
    2. Discuss Cholesky Decomposition
    3. How do you fit a copula.
  7. Talk about how to construct scenarios.
    1. How do you can use stochastic differential equations (SDE) as the fundamental definition for your scenarios.
    2. How do you define the SDE to replicate various market behavior.
  8. Construct some stand-alone risk models.
  9. Construct some toy ERM models using copulas.
  10. Outline techniques that I’ve see for modeling risk.
  11. Outline some ideas around legal risk by using Markov Chains.

Do any of you have any suggestions that you would like for me to discuss?    Please feel free to comment and I will add them to my list if I am able to discuss them. If not, I will try to locate other experts to discuss your issue.


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