Risk Management Quant
 
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Just How Vulnerable Is Asia To The Current US Sub-Prime Crisis?

2007-08-31 07:59:00 by Jomni in Risk Management Quant
 
If you ask Asian banks about their exposure to US Sub-Prime debt, they would probably say that the exposure is pretty small. In fact, Asian central banks also agree with this notion. Unlike some hedge funds with nearly 100% exposure to the sector, the percentage of exposure to US Sub-Prime trough CDO's are not significant enough to dent the...
 
Tags: banks, asian central banks, asian banks, exposure, crisis situation, sub-prime trough cdo, situation, risk management, blown crisis
 
 
 
 
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My QA = TA Post Sparked a Debate

2007-02-16 09:20:00 by Jomni in Risk Management Quant
 
I knew this was coming. Posting a link to my previous blog entry in a quants forum sparked a heated debate. See what very intelligent people has to say about the merits of quantitative analysis and technical analysis. Some even pointed out that TA has more realistic models than QA Link to the QA vs. TA thread Tags: quant technical analysis...
 
Tags: previous blog entry, link, quantitative analysis, realistic models, quants forum, technical analysis, intelligent people, tags, thread
 
 
 
 
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Quantitative Analysis = "Highly" Technical Analysis (?)

2007-02-07 09:34:00 by Jomni in Risk Management Quant
 
Branding Quantitative Analysis as "Technical Analysis" will probably bring in some violent reactions from quants . But I just want to point out the similarities that they share. In fact, it can be seen that Quantitative Analysis is a higher form of Technical Analysis Technical Analysis is commonly described as Charting . It is the study of...
 
Tags: technical, technical analysis, quantitative analysis, quantitative, technical indicators, indicators, survey results, results, reversal models
 
 
 
 
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Doomsday!?

2007-01-30 01:37:00 by Jomni in Risk Management Quant
 
We've been hearing about several doomsday scenarios . The most relevant one we're hearing nowadays is Climate Change . But there are also people who speak about Financial Disaster and sites like Financial Armageddon is an example. Their concerns are plausible and worth thinking about Tags: books capital markets finance risk management
 
Tags: financial armageddon, doomsday scenarios, financial disaster, sites, change, worth, nowadays, relevant, tags
 
 
 
 
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Losing Money When There is No Volatilty

2007-01-29 09:40:00 by Jomni in Risk Management Quant
 
It is common knowledge that there is more risk when there is more volatility. But it is also possible to lose (a lot of) money in the absence of volatility as well. This case was illustrated in a recent article published by Financial Engineering News . It was reported that Credit Suisse recently lost $120 million in Korean Derivatives --...
 
Tags: option prices increase, option, option buyer, option writer, investments valuation volatility, valuation, volatility, decrease option, volatility increases
 
 
 
 
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My Tip for CFA Candidates

2007-01-09 03:15:00 by Jomni in Risk Management Quant
 
This may be old but my quote was publised in the November 06 issue of CFA Advantage Hope you find it helpful and inspiring Tags: CFA
 
Tags: cfa, cfa advantage, hope, tags, issue, quote, helpful, november
 
 
 
 
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Making Risk Measures Agree with Accounting 100%

2006-12-26 05:27:00 by Jomni in Risk Management Quant
 
In my consulting experience, there are clients that use risk software to compliment financial reporting (accounting). Instead of being used solely by the risk department, even financial controllers use it. This is due to the current trend of making financial reporting reflective of the firm's economic value based on the risks it is taking ( IAS...
 
Tags: risk, risk software, software, risk measurement, values, exact market values, exact, exact cent, cent
 
 
 
 
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Model Validation - Not Just for Quants

2006-12-26 05:10:00 by Jomni in Risk Management Quant
 
In an article recently published in the ERisk Monthly Newsletter , it is stated that model validation is not a purely quantitative endeavor. Below is a quote from the article Model validation is often thought of as a rather technical and mathematical exercise. However, bank losses from model risk are often caused by poor governance of the...
 
Tags: model validation, bank, senior bank executives, compliance, regulatory compliance reasons, purely quantitative endeavor, bank losses, poor, article recently
 
 
 
 
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Quant Cartoons

2006-10-31 01:06:00 by Jomni in Risk Management Quant
 
This cartoon was sent to me by Financial Engineering News. Enjoy FENtoon Tags: financial engineering derivatives algorithms
 
Tags: financial, derivatives algorithms, fentoon, enjoy, cartoon, news, tags
 
 
 
 
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Hedge Funds Semantics

2006-08-25 01:48:00 by Jomni in Risk Management Quant
 
Hedge funds are very risky investments. They invest in derivatives, employ unconventional trading strategies, and are usually greatly leveraged... All for the pursuit of extraordinary profits. A lot of hedge funds have come and gone and the survival rate is not encouraging. So why are they called "hedge" funds in the first place When we hear...
 
Tags: hedge, hedge funds, hedge funds act, funds, conventional funds, assets result, assets, risky investments, conventional assets