Upcoming Statistics & Biostatistics Seminars in Southern Ontario

INFO	DATE	DAY	TIME	CITY	INSTITUTION	DEPARTMENT
	2001-05-30	Wednesday	10:30	Waterloo	University of Waterloo	Statistics & Actuarial Science
	2001-05-31	Thursday	13:45	Hamilton	McMaster University	Clinical Epidemiology & Biostatistics
	2001-05-31	Thursday	15:30	Waterloo	University of Waterloo	Statistics & Actuarial Science
	2001-06-06	Wednesday	14:00	Toronto	SORA	Co-sponsored by Scotiabank and The Royal Bank
	2001-06-18	Monday	11:00	Hamilton	McMaster University	Graduate Program in Statistics
	2001-09-27	Thursday	14:00	Toronto	SORA	Co-sponsored by Scotiabank, The Royal Bank and SAS.

Waterloo: University of Waterloo

2001-05-30 (Wednesday 10:30)

UNIVERSITY OF WATERLOO
Department of Statistics and Actuarial Science
 
SPEAKER:		Dr. Geoff Chaplin
 
TOPIC:			"Correlation and Basket/CDO Pricing"
 
OUTLINE
 
1.	Background:
Products, Concepts, Rating and Spread, Default, Mathematical Correlation,
Credit Correlation, Calibration, The Risk-Free Rate and Bond Pricing
 
2.	Single name CDS:  simplified and full model
 
3.	Simplified portfolio models:  BET, Binomial, multi-Poisson, and Copula
 
4.	Full portfolio model
 
5.	Comparison of Results
 
6.	Conclusions
 
Geoff Chaplin is Head of Structured Credit Derivatives at ABN AMRO Bank NV,
based in London.  Previously, he worked for Nomura International in a
similar role, and prior to that was with HSBC Markets (government bonds)
and his own consultancy company.  He has worked in London since 1980 in
fixed income, trading and research.
 
Geoff was an active member of the Fixed Income Working Party of the
Institute and Faculty of Actuaries, and was a visiting professor at the
University of Waterloo from 1988 to 1996.  He has published articles in
Risk magazine, the British Actuarial Journal, several professional
magazines and spoken at numerous conferences.
 
He graduated from Peterhouse, Cambridge, as a titled scholar of
mathematics, did his doctorate at Oxford in quantum gravity, and then
qualified as a Fellow of the Faculty of Actuaries.
 
He can be reached at 44 20 7678 3965 or geoff.chaplin@uk.abnamro.com
 
 
DATE:			 	Wednesday May 30, 2001
 
TIME:				10:30 am
 
PLACE:				MC5158
 
Coffee and cookies will be available after the talk in MC6123
 
Nandanee Basdeo
Statistics and Actuarial Science
University of Waterloo
Waterloo Ontario
Canada N2L 3G1
Phone -  888-4567 X5025

Hamilton: McMaster University

2001-05-31 (Thursday 13:45)

McMASTER UNIVERSITY
CLINICAL EPIDEMIOLOGY & BIOSTATISTICS ROUNDS
 
Here are a few highlights of the upcoming Rounds Presentation for this week:
 
May 31st, 2001 - 1:45 to 2:45 pm - HSC-4E20
 
Dr. Jean-Paul Collet, MD, PhD, Associate Professor, McGill University
Associate Director of Medical Research, Lady Davis Institute
Director, Randomized Clinical Trials Unit, Jewish General Hospital
 
Title: "Web integrated support system for clinical research"
 
Abstract:
Background:  Accurate and timely documentation of data is vital to the
successful completion of clinical and epidemiologic research.  Similarly, a
clear and comprehensive approach to data management is a salient aspect of
quality control in research.  We developed a web-site data entry and
management program to optimize research quality.
 
System:  Data collection documents are prepared for web-site compatibility.
 Oracle Database is then set up to check errors.  The system is also
programmed for double data entry.  Error sheets for corrections are edited
and designed for electronic transmission. The activity of each site
(recruitment, missing visits, forms or data) is automatically updated and
transmitted to the site; a study summary is also available for all
investigators. The system may be used for planning follow-up visits and
rapid detection of problems (alert).   It is fully compatible with SAS,
Excel and other software.   The whole system is operated with strict safety
procedures: encrypted data, back-up procedures, electronic lock, etc.
 
Results:  The web-site data management program has been used for conducting
several multicenter RCTs and pharmacoepidemiology studies.   Investigators
found that this system facilitates the following research tasks: i)
immediate monitoring of data quality, ii) verification of adherence to
protocol, iii) monitoring of compliance with randomization, and iv)
promoting timely communication with study site coordinators.  Net benefits
are: improving data quality, quick access to a clean database and
facilitation of field monitoring.
 
Conclusions:  Web-site data management provides investigators with an
efficient, innovative and advantageous alternative to traditional data
management methods used in research.  
 
"This event is an accredited group learning activity as defined by the
Maintenance of Certification Program of The Royal College of Physicians and
Surgeons Canada"
 

Waterloo: University of Waterloo

2001-05-31 (Thursday 15:30)

UNIVERSITY OF WATERLOO
Department of Statistics and Actuarial Science
 
SPEAKER:		Dr. Samuel Wong
			University of Science and Technology,
			Hong Kong
 
 
TOPIC:			"Generalized Continuous Threshold Autoregression
			and Hinging Hyperplanes "
 
ABSTRACT
 
The continuous threshold autoregression (CTAR) is a piecewise linear
autoregressive model which is continuous everywhere. While CTAR restricts
the threshold boundaries to be perpendicular to the axis of the delayed
variable Xt-d, the generalized continuous threshold autoregression (GCTAR)
provides flexibility to the threshold boundaries such that they can be
oblique to the natural axes of the lagged variables. A close relative of
GCTAR in machine learning area is hinging hyperplane which is equipped with
fast estimation algorithm. In this article, a trust-region variant of the
algorithm is found to be efficient for the conditional least squares
estimation of GCTAR. The asymptotic normality of the estimates are obtained
via empirical process theory. Simulated data are used for illustration.
Also, GCTAR is applied to the quarterly unemployment rates and US Real GNP.
The results obtained are quite different from those of CTAR.
 
 
DATE:			 	Thursday May 31, 2001
 
TIME:				3:30 pm
 
PLACE:				MC5158
 
Coffee and cookies will be available after the talk in MC6123
 
Nandanee Basdeo
Statistics and Actuarial Science
University of Waterloo
Waterloo Ontario
Canada N2L 3G1
Phone -  888-4567 X5025
 

Toronto: SORA

2001-06-06 (Wednesday 14:00)

Financial Statistics/Marketing Seminar

Speaker:	Dr Alison Burnham Risk Analyst, GE Capital Mortgage Insurance
Topic:	Mortgage Risk Management
Date:	Wednesday June 6, 2001
Time:	2:00 - 4:30 p.m.
Location:	Royal Bank Training Centre 20 King Street West 10th Floor, Leadership Room Toronto Take the King Subway exit on the north-west side of King and Yonge. For those who drive, please don't park on any main streets (King, Yonge, Bay or Adelaide); cars will be towed away from 3:00 to 6:00 p.m.

Hamilton: McMaster University

2001-06-18 (Monday 11:00)

McMASTER UNIVERSITY STATISTICS SEMINAR

Week of June 18-22, 2001

SPEAKER:	Cliff Spiegelman Texas Transportation Institute and Department of Statistics, Texas A&M University
TITLE:	"Variable selection and a simple alternative to PLS in chemical calibrations"
DAY:	Monday, June 18, 2001
TIME:	11:00 a.m.
PLACE:	BSB-108

SUMMARY

We present some recent results in wavelength selection and calibration. The selection methods that we use work in real time and are 100's of times faster than the popular genetic algorithms. Our methods produce comparable results. We also show that, contrary to claims in the chemical literature, there is no clear choice, typically, between direct or inverse calibration when some calibration ingredients are unknown. Finally, we present our parallel calibration method. It is the simplest modern calibration method, from all points of view, and the highly effective for spectral calibrations.

Joint work with Marina Vannucci, Jerome Bennett, Mike McShane Gerry Coté, Sang-Joon Lee, and Frits Ruymgaart.

Toronto: SORA

2001-09-27 (Thursday 14:00)

Financial Statistics/Marketing Seminar

Speaker:	Naeem Siddiqi Business Solution Specialist - Risk, SAS Canada
Topic:	Smoke, Mirrors and Reject Inference
Date:	Thursday September 27, 2001
Time:	2:00 - 4:00 p.m.
Location:	SAS Canada Executive Briefing Centre BCE Place - Bay-Wellington Tower, 22nd Floor 181 Bay Street Toronto Union Station Subway. For those who drive, please don't park on any main streets (King, Yonge, Bay or Adelaide); cars will be towed away from 3:00 to 6:00 p.m.

To announce your seminar on this page, please e-mail a notice to Peter Macdonald (pdmmac@mcmaster.ca).

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