Risk Data Aggregation & Risk Reporting. Part 2
“Not everything that can be counted counts,” said Mike Donovan, VP, Strategic Risk Analytics & Credit Portfolio Management at Canadian Imperial Bank of Commerce (CIBC). He was the second speaker to address the September 19, 2013 evening meeting of the Toronto chapter of GARP regarding the set of Principles for Effective Risk Data Aggregation & Risk Reporting released by the Basel Committee in January 2013. CIBC, like other Canadian banks, is adapting to the heightened risk management data requirements and building the foundation for future sustainable growth. Donovan used the opening quote by Einstein to remind the audience that big […]
Risk Data Aggregation & Risk Reporting. Part 1
During the throes of the last financial crisis, banks and regulators alike “struggled” to get good quality information. “The infrastructure was not there,” said James Dennison, CFA, Managing Director, Operational Risk Division, Office of the Superintendent of Financial Institutions (OSFI). To enhance banks’ risk management infrastructure, the Basel Committee on Banking Supervision (BCBS) released a set of Principles for Effective Risk Data Aggregation & Risk Reporting in January 2013. Dennison was first to speak on the evening of September 19, 2013 at the Toronto chapter meeting of the Global Association of Risk Professionals (GARP). It was convened at First Canadian Place to allow […]
Graph Analytics: A New Approach to Risk Management
According to the World Economic Forum, “personal data is becoming a new economic asset class, a valuable resource for the 21st century that will touch all aspects of society.” The New York Times likens big data to a resource like crude oil. What, then will extract the useful component from the raw data? What reaction vessel will synthesize new things from the raw data? Cray, the supercomputer company, has a spin-off data manipulation company, Yarcdata, that specializes in graph analytics. Graph analytics refers to models of complex networks of data in a graphical representation of nodes and edges. “Analysis of […]
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 […]
Basel III and Beyond: Part 2. Real-Time Counterparty Risk
“Implementing the CVA is a journey with great expectations,” said James Zante, Product Manager for Integrated Market and Credit Risk at IBM Risk Analytics. He was the second of two speakers on the topic of counterparty risk assessment. He presented a real-life case to a GARP webinar audience on June 27, 2013. CVA refers to a new capital charge, the credit valuation adjustment brought in as part of the Basel III regulations. The CVA plays an important role in the optimization of credit capital, said Zante. At one extreme, the trades cleared through the clearinghouse may be considered “risk free,” […]
Hollywood Math
To showcase its mathematics software, a firm usually works through idealized examples from its client base. Sometimes, the firm will consider a real-life problem. The firm seldom turns to the silver screen for inspiration—yet that was the hook that drew in a webinar audience on June 19, 2013. Jonny Zivku, Product Manager at Maplesoft, provided an entertaining tour of Maple software (version 17), as applied to math problems encountered in the movies. Zivku quickly moved from a discussion of the basic math problem (13 X 7 = 28) encountered by Abbott and Costello in the 1941 classic In the Navy […]
Stress Testing: Part 2. The Next Generation
There are five key considerations for the “next generation” of financial stress testing, said Tom Kimner, Head of Americas Risk Practice & Global Risk Products at SAS. He was addressing a webinar audience on May 7, 2013 as the second speaker in a panel organized by the Global Association of Risk Professionals (GARP). Modern stress testing must be measured against the key considerations of performance, efficiency, completeness, transparency, and compliance. The goal of turning stress testing into an “early warning system seemed futuristic only a few years ago,” admitted Kimner at the outset of his talk. He contrasted the world […]
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 […]
MATLAB for Excel Users: “Discoverability”
When looking for good data analysis tools, many financial professionals turn first to MS Excel which displays numeric data, contains advanced functions, and can be programmed with Visual Basic. A growing number of professionals are turning to MATLAB which has strengths complementary to ordinary spreadsheets. At a webinar on January 15, 2013, Adam Filion, application engineer at MathWorks, showed approximately three hundred audience members how easily features of MATLAB software adapt themselves to rapid analysis of large datasets. In Excel functions, the input is specified as a cell location and the math is hidden. In MATLAB, the interface has a […]
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 […]