The Value of Data
What is the value of data? Who benefits from data? Can you construct a decent predictive model to manage risk if you have lousy data? Some enterprising souls have tried to sell their data back to the tech giants that collect and use big datasets. There are even some small companies such as CitizenMe and Datum that pay a user for taking a quiz or sending location data. “Data are far from becoming a standardized commodity whose value can readily be established through trades,” writes Diane Coyle, professor at University of Cambridge, in a report she tabled February 26, 2020, […]
More Leaves than Grapes?
Who says the market on old books is in a downward spiral? Luca Pacioli wrote the definitive treatise Summa de Arithmetica, Geometrisa, Proportioni et Proportionalita and published it in Venice in 1494. On June 12, 2019, Christie’s put up one copy for auction. (The starting price was one million USD; it eventually sold for 1.2 million USD.) Experts estimate 120 copies of this book still exist. An image of a typical page, reproduced here, shows its type font is somewhat less readable than the modern accounting textbook. Summa de Arithmetica was widely read and used at the time. It contains real-life examples, […]
Geopolitical Risk
What’s with Russia and cyber-hacking? How did it happen, and why? Geopolitical risk threatens the very fundamentals of market stability and the world order. The Global Association of Risk Professionals treated its members to a “big picture” risk topic during the webinar on November 1, 2017. Former senior US intelligence officer Jack Thomas Tomarchio, who is now a principal with the Agoge Group, LLC, described the current geopolitical risk due to Russian cyber-attacks. “Russia was declared to be responsible for leaks at the Democratic National Convention in 2016,” Tomarchio said. “The DNC is supposed to be neutral, but the leaks […]
“The Death of the Soul”
Do you long for the good old days? What, exactly, were “the good old days”? Depends on your time horizon. Today’s excerpt comes from page 11 of Economic Thought: A Brief History by Heinz D. Kurz, translated by Jeremiah Riemer (Columbia University Press, 2016). “According to Scholastic economic thought, the answer to the material hardship experienced by large segments of the [medieval European] population was not higher production and economic growth but self-restraint and the repression of needs. “The heart of Scholasticism was the doctrine concerning usury. A core argument was that money is sterile—it cannot “breed offspring.” Another argument […]
“Worse Than Silverfish”
Some authors go to great lengths to make their monographs up-to-the-moment. In this excerpt, the authors refer to a popular and critically acclaimed TV series. It’s a calculated risk. They use an obsession of the (fictional) characters—the money they are amassing—to tie into the very real phenomenon of hyperinflation. Today’s excerpt comes from page 103 of the book The Evolution of Money by David Orrell and Roman Chlupaty (Columbia University Press, 2016). “To visualize how hyperinflation can affect one’s personal savings, fans of the TV show Breaking Bad will recall the episode in season 5 in which it is shown […]
War, Kidnapping, Data Theft
War, kidnapping, and data theft: Is it some fiction pot-boiler that’s come over the transom? No, it’s the chapter on how the gross domestic product (GDP) came into being in Germany. Today’s excerpt comes from pages 117-8 of the book The Power of a Single Number: A Political History of GDP by Philipp Lepenies, translated by Jeremy Gaines (Columbia University Press, 2016). “[John Kenneth] Galbraith was surprised by the results of his calculations and surveys because they, for the first time, provided a clear picture of the Nazi economy. Because no set of tools comparable to gross national product calculation existed on […]
Platform of the Future
What will be the ideal modelling platform of future bankers? It will need to contain key functionalities in model execution, scenario management, and a “risk engine” that will deliver answers for multiple horizons at the loan level. Furthermore, it should implement the most advanced modelling suites, reduce the quants’ time to develop models, and contain simulation capabilities for stress testing and beyond. This bold vision of the future was presented by Martim Rocha, Advisory Business Solution Manager at SAS. He was the second of two presenters at the February 25, 2016, webinar offered by the Global Association of Risk Professionals […]
Three-Way Damage
Do you remember that cute VW video, “The Force”? The one where the little boy, dressed up as Darth Vader, can’t get a reaction from anyone or anything, even his dog, when he tries his super-powers on them? Then, Dad drives up in his VW Passat and the Vader-wannabe is, magically, able to get the lights to flash. The camera pans to parents looking out the window. Dad gives a conspiratorial grin as he clicks the remote control. On September 18, 2015, world markets were rocked by news that Volkswagen had knowingly falsified its emissions of toxic nitrogen oxides. The […]
Liquidity: A Change in Governance
Have you noticed that financial risk managers talk and think differently about liquidity risk, compared to pre-crisis days? The 2007-08 financial crisis was a watershed in the evolution of liquidity management, according to Nicolas Kunghehian, Director Solutions Specialist at Moody’s Analytics. He was the second of three presenters on liquidity risk compliance at a webinar on June 25, 2015, sponsored by the Global Association of Risk Professionals. “Before the crisis, there was only one team dedicated to monitoring and managing liquidity,” Kunghehian said. Liquidity risk was assumed to be small, and the Treasury department was chiefly fine-tuning the profit and […]
Europe: Is the worst over? Part II.
“Deleveraging takes a long time, and it is painful,” said Philippe Ithurbide, Global Head of Research, Analysis and Strategy at Amundi Asset Management. In the second part of his presentation to the CFA Society Toronto on November 19, 2013, he discussed solutions to European financial difficulties. Deleveraging must be helped along in order to shorten the time and reduce negative socioeconomic impacts. “Never in history have we seen the deleveraging of all the players at the same time.” “Banking credit is faltering everywhere in the euro zone,” said Ithurbide. Euro zone bank credit is still highly fragmented by nation, with […]