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 […]
Risk-Adjusted Performance Measurement. Part 2: Everything But the Kitchen Sink
The risk measures, both ex post and ex ante, that formed the hands-on component of the one-day workshop on risk-adjusted performance measurement at the CFA Society Toronto offices, are covered in greater detail by the book Practical Portfolio Performance Measurement & Attribution. The author (and workshop leader), Carl Bacon, gave the workshop participants a whirlwind tour on September 17, 2012. This continues a recap of the highlights begun in Part 1 of this posting. Simple risk measures are “stand-alone” for a given portfolio (e.g., variability and Sharpe Ratio), or they are calculated in conjunction with another benchmark or portfolio (e.g., […]
Risk-Adjusted Performance Measurement. Part 1: Mind the Expectations
“The guiding principles for risk control,” said Carl Bacon, CIPM, Chairman of Statpro, and former Director of Risk Control and Performance at F&C Investment Management Ltd, “are integration and confidence in data.” Bacon was in Toronto on September 17, 2012 to deliver a one-day workshop on risk-adjusted performance measurement to about a dozen members of the CFA Society Toronto as part of the Society’s continuing education program. He is the author of Practical Portfolio Performance Measurement & Attribution, which went into its second edition in 2008. Performance measurement is the calculation of portfolio return for purposes of comparison against a […]
“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, […]
Joost Driessen Discusses Liquidity Effects in Bonds
Put away the crossword and the sudoku: it’s the “credit spread puzzle” that’s occupying some leading financial minds. On May 3, 2012, Prof. Joost Driessen of Tilburg University spoke to a Global Association of Risk Professionals (GARP) webinar audience about recent work done by his research group to solve this puzzle. The term “credit spread puzzle” refers to the fact that credit spreads are much higher than can be justified by historical default losses. A typical example Driessen cited was a long-term AA bond that had an expected default loss of 0.06% yet whose average credit spread, calculated using real-life data, was 1.18%. More […]