We offer a tour d'horizon of the data management issues facing macroprudential supervisors. Traditional financial oversight has been very firm-centric, with strong respect for the boundaries of the firm. Even in this firm-oriented context, financial information has been expanding much faster...

We present a variation on literate programming (see Knuth: 1984, 1992) targeting multiple simultaneous readerships, both human (e.g., coders, testers, analysts, etc.) and compilers/interpreters (e.g., C , Python, Fortran, etc.). The technique exploits existing commenting syntax available in all...

This paper investigates the intradaily operational efficiency of the U. S. foreign exchange market by conducting computer simulation experiments with market structure (the numbers of market?makers, brokers and customers). The results indicate significant operational inefficiencies which can be...

We present a technique for selecting multidimensional shock scenarios for use in financial stress testing. The methodology systematically enforces internal consistency among the shock dimensions by sampling points of arbitrary severity from a plausible joint probability distribution. The...