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 […]
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. […]
Develop & Deploy Financial Models
“Focus on modelling, not programming,” urged Ameya Deoras, senior applications engineer at MathWorks. He was speaking during a webinar on December 3, 2012 about the use of MATLAB in the construction of financial models. Deoras’ talk covered four examples to varying depth during the hour. The first example, the calculation of the efficient frontier for large-cap stocks, allowed him to show the easy data importation from an ODBC-compliant database. Each step of the way he showed how the input could be visualized with a single click. If the data exist in a relational database (think tables and fields such as […]
Basel III Burden. Part 2: The Devil is in the Data
The second speaker at the October 18, 2012 GARP webinar was Peyman Mestchian, Managing Partner, Chartis Research. The Basel III “journey” will have three main impacts in financial institutions, he said: (1) Improved capital management. Mestchian believes banks will figure out how to adapt “without sacrificing their efficiency”; (2) Greater integration of risk, compliance, and finance functions. There will be overlapping responsibilities for Basel III, between front office, finance & treasury, and risk & compliance departments; and (3) Implementation of enterprise-wide risk management systems. Under Basel III, “capital optimization has a much higher profile,” Mestchian said. “Due to short timelines, […]
Automated Trading with MATLAB
Stuart Kozola, product manager for computational finance at MathWorks, demonstrated examples of trading systems using MATLAB during a webinar on August 21, 2012. In the first half he discussed how to develop an automated trading decision engine. This meant identifying a successful trading rule, extending the trading rule set, and automating the trading rule selection. In the second half of the webinar he showed implementation of the automated trading, with a caveat that these would require testing prior to integration and execution in the real-life scenario. The worked problem involved Brent oil futures. The first challenge was to identify profitable […]