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...Experience with numerical programming and optimisation. - Familiarity with regulatory requirements (Solvency II, Basel II / III) is a plus. - Familiarity with Credit Portfolio models is a plus. - SQL experience regards, Konrad For additional information contact: Konrad Banachewicz, PhD email: konrad.banachewicz at gmail.com linkedin: nl.linkedin.com/pub/konrad-banachewicz/2/957/887/ [[alternative HTML version deleted]]

Dear All, I am working with skewed-t copula in my research recently, so I needed to write an mle procedure instead of using a standard fit one; I stick to the sn package. On subsamples of the entire population that I deal with, everything is fine. However, on the total sample (difference in cross-sectional dimension: 30 vs 240) things go wrong - the objective function diverges to infinity. I

Hello everybody, I have the following problem: I read a multiple time series (along with column names), and then need to manipulate the univariate components separately in order to compute the statistics of interest. Can someone tell me how can I access the univariates separately through their names ? I need to do it on a ts object (and not data frame, where I know how to), for the sake of later

Dear All, I am using the pmst function from the sn package (version 0.4-0). After inserting the example from the help page, I get non-trivial answers, so everything is fine. However, when I try to extend it to higher dimension: xi <- alpha <- x <- rep(0,27) Omega <- diag(0,27) p1 <- pmst(x, xi, Omega, alpha, df = 5) I get the following result: >p1 [1] 0 attr(,"error")

dear All, I have the following problem: I need to calculate an h-step ahead forecast from a var model (estimated with a dse1 method estVARXls), which in turn will be used as an input for another model as conditioning data, so I need it as a simple, numeric matrix. No exogenous input is used. However, the standard forecast method produces a 1-element list that includes a forecast matrix, yet I

Dear All, I am working with the new release of R (2.3.0) and have the following problem: I started it the first time, did some computations and the saved the workspace upon exit. Next time I launched it, I got a message "fatal error: unable to restore saved data in .RData".However, if I physically remove the .Rdata file from the directory, launch "clean" and manually load the

Dear All, I found this nice example of PCA application on the web http://www.r-bloggers.com/principal-components-and-image-reconstruction/ and wanted to reproduce the results for myself. I installed biOps the usual way and got the message *package 'biOps' successfully unpacked and MD5 sums checked* but when loading the package, I get *Error in inDL(x, as.logical(local),