Quant Chalkboard: Data, Models & Concepts
“People are more likely to believe something that comes as data,” said Joe Pimbley, Principal, Maxwell Consulting, “but you shouldn’t necessarily believe the data.” Pimbley, a lead investigator for the examiner appointed by the Lehman Brothers bankruptcy court, addressed financial risk management professionals at a GARP webinar on August 6, 2013. [Ed. Note Click here to read Joe Pimbley – “Why Lehman Brothers Failed When It Did” on Stories.Finance.] Pimbley said that model builders must always look at data with the eyes of a skeptic. With a PhD in physics he is conversant with models devised to predict the “real world” and […]
Financial Shenanigans: Forensic Accounting in Practice
There are ample opportunities for financial shenanigans in North American companies, according to Howard Schilit, founder of Schilit Forensics LLC and author of the classic Financial Shenanigans: How to Detect Accounting Gimmicks & Fraud in Financial Reports, first published in 1993 and now in its third edition. He led a mid-day seminar on characteristics of poor accounting practices at the CFA Society Toronto downtown offices on May 30, 2013. “Financial shenanigans are not necessarily illegal,” explained Schilit, but they are practices that “are not nice to perpetrate on someone” and could, if unchecked, slip into criminality. Given the extensive subject […]
Global Challenges in Chemicals & Energy: Standardizing & Accelerating R&D
“The iPhone of experimental chemistry” standardizes and simplifies experimental chemistry in a paradigm-shifting manner, according to Michael Schneider, SVP of Chemspeed Technologies, and the holder and author of more than 30 publications and patents. He was delivering a presentation on March 19, 2013, through a webinar organized by Chemical & Engineering News (C&EN). “The iPhone of experimental chemistry” is based on a sleek desk-sized compartment that apportions chemicals in ”1-2-5” money analogously staggered (but in mmoles instead of cents) , ready-to-apply formats. It dramatically simplifies the experimental work in a multitude of “applications” in traditional experimental lab work and/or as […]
Analytical Tools to Gain Insight and Speed Up Numerical Analysis
“Symbolic computing can be a practical part of the solution to your problem,” said Deepak Ramaswamy, technical marketing manager at Mathworks. On January 8, 2013 he showed about three hundred participants via webinar how they could switch between analytical tools in a Notebook app to numerical analysis of the same problem in the MATLAB interface. He stepped his way through one “classic” and two “real-life” problems: the damped oscillator model; fuel consumption of a rocket-powered car; and kinematics of a double-jointed robot arm. The three problems can be written as systems of Ordinary Differential Equations (ODEs) and this was the […]
Mining Microeconomics Using MATLAB
Modelling the economics of an iron ore mine “is a complex task that can be made more reliable,” said David Willingham to a webinar audience on December 5, 2012. Willingham, an application engineer at Mathworks, was demonstrating how a typical mine’s economics could be modelled using MATLAB and then embedded within an Excel spreadsheet. Developing a mine involves significant capital expenditures and long time frames. Willingham aimed to take the audience through a good model that would take into account the microeconomics of a particular mining company, integrated with the macroeconomic environment, such as interest rates and iron ore prices. […]
Managing Risk Beyond Asset Class Diversification
“The ‘new normal’ in asset allocation must be forward-looking and driven by macroeconomics, said Sébastien Page, Global Head of Client Analytics, Executive Vice-President at PIMCO. He was addressing a CFA Society Toronto luncheon on October 15, 2012 in Toronto’s historic National Club. Traditionally, asset allocation focussed on diversifying according to asset class. In the ‘new normal,’ Page recommends diversifying across risk factors. “Think of asset class as simply a container of risk factors,” he suggested. He gave another metaphor in line with the luncheon crowd. “Think of risk factors as components like proteins, carbohydrates, and fats. An asset class would […]
Real-Time Risk Analytics, SAS Style
“Analysts in capital markets get pummeled with vast quantities of information,” said Jeff Hasmann, “sometimes receiving as many as twenty newsfeeds per day. How are they to make sense of it all?” Hasmann was the first of three panelists speaking at the Global Association of Risk Professionals (GARP) webinar, “Modernizing Financial Risk Management: The Changing Technology Paradigm” on May 22, 2012. There is a push to modernize financial risk management from both above and below. Besides handling information overload, Hasmann noted there are several reasons to modernize: evolving regulations, improvements in efficiency to be gained, and needs for standardization. Hasmann, […]