Trading Book Capital: A Revised Framework
The proposed changes to trading book capital requirements are “a regulatory trade-off among the objectives of simplicity, risk sensitivity, and comparability,” said Mark Levonian, Managing Director and Global Head at Promontory Financial Group, and the first of two speakers at a webinar sponsored by the Global Association of Risk Professionals held February 11, 2014. Levonian acted as “tour guide” for the Basel Committee’s recently proposed changes to the trading book capital requirements. Highlights of the changes are: the revised standardized approach, more rigorous testing, and replacement of the value at risk (VaR) measurement with expected shortfall. “The perception from the […]
ETFs: Liquidity, Trading & Portfolio Implementation Strategies
When the CFA Society Toronto decides to hold an ETFs seminar in Toronto’s Hockey Hall of Fame, such as it did on the balmy evening of Sept 13, 2012, there is a competition for attention. The venue is full of items of interest to the die-hard fan, such as the shower sandals used by Alexander Ovechkin during the 2011 All-Star game. The lesser fan might stand there, equally transfixed, wondering what the secondary market for used shower sandals could be, even those of Alexander Ovechkin. The ETFs seminar had panel discussions covering three areas: market making, liquidity and trading; utilizing […]
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 […]