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. […]
Contingent Capital: The Case for COERCs. Part 2.
“Many people have misgivings about [contingent convertible bonds] because they just don’t know how to value them,” said George Pennacchi, Professor of Finance at University of Illinois. He was the second speaker at the November 29, 2012 GARP webinar on the subject of Call Option Enhanced Reverse Convertible (COERC) bonds. Click here to go to Part 1. Pennacchi, along with Theo Vermaelen and Christian Wolff, co-authored a recent paper proposing a new type of cocobond. [Contingent convertible bonds, or “cocobonds,” are bonds that convert into equity when the market value of capital falls below a trigger level.] “The paper provides a […]
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 […]
Tree Bagger & Tree Booster: MatLab for Data-Driven Fitting
Let’s say you want to create a predictive model without assuming an analytical form to the model. How would you go about it? On August 14, 2012, Richard Willey, Technical Marketing Manager at MathWorks, demonstrated via webinar how input data could be fit using machine-learning approaches. The emphasis here is data-driven, as opposed to model-driven, fitting. “A limitation of regression techniques is that the user must specify a functional form,” said Willey, and the choice of that model is usually based on the domain model. Typically the data points are fit with high-order polynomials or Fourier series. Or, the user might run the data […]
“We Need to Fix the Plumbing”
Allan Grody is a man with a mission. The fall-out from the financial meltdown has shone a light on many things that need fixing within the financial system, and of these, Grody is focusing on one especially leaky, corroded pipe. Grody, president of Financial Intergroup, was addressing a GARP (Global Association of Risk Professionals) audience as the third of three panelists on “Modernizing Financial Risk Management: The Changing Technology Paradigm” on May 22, 2012. Early in his presentation, Grody showed a complex summation diagram. Titled “Need to Fix the Plumbing,” it was a kind of map, one that deserves a place […]
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, […]