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Brushing up on my math skills...

2006-07-21 04:38:00 by Jomni in Risk Management Quant
 
...Derivatives . I do not have a quantitative degree (I majored in Management Economics) and didn't pay much attention to my math and statistics classes in college. Yet I find financial markets (derivatives in particular) fascinating. And becoming knowledgeable in them actually gave me an edge in the industry Looking back, it seems that I chose...
 
Tags: derivatives, topics, plain vanilla derivatives, discuss topics, quantitative finance topics, financial derivatives, quantitative finance, papers, research papers
 
 
 
 
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Hedge Funds Semantics

2006-08-25 01:48:00 by Jomni in Risk Management Quant
 
...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 the word "hedge" we usually think of protection and...
 
Tags: hedge, hedge funds, hedge funds act, funds, conventional funds, assets result, assets, risky investments, conventional assets
 
 
 
 
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Losing Money When There is No Volatilty

2007-01-29 09:40:00 by Jomni in Risk Management Quant
 
...Derivatives -- particularly reverse convertible bonds A conventional convertible bond offers lower interest rates but gives the investors an option to call a company's stock. The bondholder is effectively the owner of the option and the issuer is the option writer. A reverse convertible bond gives investors higher interest rates but gives...
 
Tags: option prices increase, option, option buyer, option writer, investments valuation volatility, valuation, volatility, decrease option, volatility increases
 
 
 
 
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Running Government Finances Like a Bank

2006-08-08 08:56:00 by Jomni in Risk Management Quant
 
...derivatives markets will also be beneficial as investors are more willing to take and hedge risks. A developed capital market will also allow the government to issue longer-dated debt since there are willing investors Having a large public debt portfolio is not such as bad thing as it can be a catalyst for economic growth. The key here is...
 
Tags: public debt, public debt management, government, debt, public debt portfolio, government debt, financial, financial markets, issue
 
 
 
 
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Do you use Bloomberg for Risk Measurement?

2006-08-07 03:41:00 by Jomni in Risk Management Quant
 
...derivatives Reliable data for your risk management systems Market risk management in alignment with Basel Accord Algo Risk on Bloomberg - a pre-integrated, real time market risk solution Speakers Nestor A. Espenilla, Jr. - Deputy Governor, Bangko Sentral ng Pilipinas Seet Kok Leong - Head of Algo Risk (Asia Pacific), Algorithmics Jiten Bhanap...
 
Tags: bloomberg, bloomberg users, trust bloomberg, bloomberg seminar, bloomberg seminars, bloomberg functionalities, details, seminar details, seminar
 
 
 
 
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What can CISOs learn from the Societe Generale debacle

2008-02-19 09:17:17 by Khalid Kark in Security & Risk Management
 
...derivatives exchange, alerted Societe Generale in November 2007 about the positions taken by Jerome Kerviel. Not heeding these advance warnings and not understanding that they may have pointed to a much larger risk were clearly mistakes It could happen to the best of us. Societe Generale was a leader in derivatives and was considered by some...
 
Tags: security, formal security strategy, societe generale, security technology, external security challenges, implement security, access, security products, access users
 
 
 
 
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Is Jerome Kerviel Hacking?

2008-01-28 00:17:00 by Richard Bejtlich in TaoSecurity
 
...derivatives which do not need a downpayment, including forward contracts Because there was no downpayment, or margin, these trades were not subject to the same immediate checks as the real futures positions held in the first portfolio Since the real and fake trades balanced each other out, SocGen says its computers perceived "low residual...
 
Tags: computer, computer systems, fake, kerviel, fake trades, trades, low residual risk, risk, socit gnrale chairman
 
 
 
 
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Model Validation - Not Just for Quants

2006-12-26 05:10:00 by Jomni in Risk Management Quant
 
...derivatives model validation governance audit
 
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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An Option with a Negative Implied Volatility?

2006-08-14 06:27:00 by Jomni in Risk Management Quant
 
...derivatives options valuation volatility
 
Tags: negative, negative results, market, market parameters, volatility measure, model, subject matter, option, arbitrage opportunity