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  #81  
Old 07-14-2009, 09:30 AM
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A couple things from Microsoft on spreadsheet uses in finance, and operational risk [both pdfs]

http://download.microsoft.com/downlo...talMarkets.pdf

http://download.microsoft.com/downlo...preadsheet.pdf
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  #82  
Old 07-15-2009, 07:44 AM
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I'm working on yet another spreadsheet risks article -- the EUSPRIG had their annual meeting recently, and I'm going to do a short write-up. Thought I'd share my links with y'all ahead of time:

http://www.sysmod.com/praxis/prax0907.htm

http://www.eusprig.org/

http://www.eusprig.org/Sumengen,FRC,Modelling.pdf

http://www.eusprig.org/Martin%20Erwi...IG-Keynote.pdf

http://www.frc.org.uk/images/uploade...ED%20Final.pdf
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  #83  
Old 07-16-2009, 12:42 PM
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Campbell, can you explain what is wrong with Excel's rand() function? I have 2003. Oh, and can you explain it like I'm kind of a moran? Cause I read a paper but I didn't get it.

Thanks!
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  #84  
Old 07-16-2009, 02:10 PM
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Originally Posted by ADoubleDot View Post
Campbell, can you explain what is wrong with Excel's rand() function? I have 2003. Oh, and can you explain it like I'm kind of a moran? Cause I read a paper but I didn't get it.

Thanks!
I started a thread on this topic in reply.

Here:
http://www.actuarialoutpost.com/actu...d.php?t=170697
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Old 07-21-2009, 05:06 PM
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Sort of related:
http://blog.corality.com/2009/07/fin...st-background/

Quote:
Over the last few weeks we have been recruiting to fill two positions as Analysts at Corality specialising in financial model audits. While reviewing, short listing and interviewing candidates it has become clear that the majority of candidates are from three distinct categories: I have below tried to outline typical strengths of the different background when it comes to working successfully as a financial model auditor. Clearly everyone is different and I have had to generalised a bit to arrive at the conclusions below.
....
Actuarial studies

Actuarial studies give students a good mix of financial knowledge and ability to solve complex problems. These skills give them a great starting platform for a successful career in financial modeling and financial model audits. Actuarial students often have a very strong technical Excel background which certainly helps when starting out in financial modelling.

The shortcomings are not too dissimilar to the science category and for similar reasons. Students opting for actuarial studies tend to be more on the geeky side of life given their interest in mathematics etc. Trust me, I have a genuinely geeky background and know one when I see one.

A combination of actuarial studies, an outgoing personality and a couple of years in a role where complex problems are mixed with client interaction and written presentations generally result in very strong candidates for a financial modeling career.
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  #86  
Old 07-22-2009, 09:09 PM
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The final article of my 4-part series is out in the July CompAct:
http://soa.org/library/newsletters/c...2009-iss32.pdf

I like Carol Marler's bit on approximations [AO's own JMO!]
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Old 07-23-2009, 08:02 AM
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We belong to a mutual admiration society.
Good stuff in the Technology Section newsletters, I'm glad that the section council decided to revive it.

PS to members of the Technology Section -
Don't forget to vote for MaryPat and two other candidates of your choice.
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Old 08-05-2009, 09:59 AM
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Tangentially related, but I want to use this for a future CompAct [or other] article:
http://online.wsj.com/article/SB1249...od=djemnumbers

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Faux precision has a number of causes. Wide error margins can render multi-digit precision meaningless. Other times, number crunchers run afoul of the rule of significant figures.

The principle is simple: When combining measured numbers, the final answer is only as precise the least-precise piece of data that went into it; you can't just add a tail of decimal places, even if they show up on the calculator. So a room that's 2.5 meters (two significant digits) by 3.87 meters (three) has an area of 9.7 square meters, though the two numbers multiply to 9.675.

But that is often messed up. In March, the New Scientist magazine published a short item questioning calculations of salt content in snack foods. One variety of cheese puffs "contains 0.4 grams of salt per pack, which the panel says amounts to 9% of a child's [recommended daily allowance]. This would mean that the [allowance] is 4.444 grams a day," the magazine wrote. A sharp-eyed reader wrote a scolding letter: Given those figures, the answer can have only one significant digit: four grams. The decimal places are unwarranted. The magazine ate humble pie in an editor's note.

The rule has even ended up in court. In 1991, a would-be lawyer, Frank Bettine, failed the Alaska bar exam, missing by 0.5 point the threshold needed for a re-evaluation of his test. Perhaps jump-starting his career, Mr. Bettine sued.

An engineer by training, he fought the math: Graders scored essay questions only with integers -- 1, 2, 3, and so on. But the score is an average of two graders' marks -- 1.5, for instance, if the graders gave 1 and 2. That's too many digits. Mr. Bettine argued that the essays should have either been graded with two significant figures in the first place, or rounded in the end to one -- pushing 1.5 up to 2.

Mr. Bettine lost at the Alaska Supreme Court, but the justices found his critique "convincing from a purely mathematical standpoint." Mr. Bettine passed the bar, practiced law for 15 years and then went back to electrical engineering.

[yes, I'm using this thread to amass sources for my articles, in case you were wondering]
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Old 08-05-2009, 01:09 PM
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My favorite examples of faux precision are those that occur on the actuarial exams. The data may only have 2 or 3 significant digits, but the answer ranges have 4 or 5 significant digits!

I've attached a few recent examples for the 2007 EA-1 exam.
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File Type: pdf 2007-02.pdf (15.0 KB, 107 views)
File Type: pdf 2007-10.pdf (13.0 KB, 104 views)
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  #90  
Old 08-06-2009, 07:01 AM
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Quote:
Originally Posted by Rick_G View Post
My favorite examples of faux precision are those that occur on the actuarial exams. The data may only have 2 or 3 significant digits, but the answer ranges have 4 or 5 significant digits!

I've attached a few recent examples for the 2007 EA-1 exam.
Well, if one assumes the zeros are significant figures in the "data" for the first question, then actually you've got it to two sig figs for the answer, given the ranges.

It really depends on the operations you're doing. I'd have to sit down, and start with the data as intervals ... does 9.0 stand for [8.95, 9.05) or [8.5, 9.5)? I could try it both ways and figure out the results.

The sig fig rules come from approximations of what various operations do to intervals, of course:
http://en.wikipedia.org/wiki/Sig_fig

more detail here:
http://www.av8n.com/physics/uncertainty.htm
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