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Sungard White Paper Extract - Credit Charging in Trading Book

Bilateral CVA Bi-lateral CVA is the CVA taking the net of the bank’s and counterparty’s CVA. Although there is not a clear consensus amongst practitioners, bi-lateral CVA is often used in place of the uni-lateral CVA measure described above. Some banks...

Published 02-24-2010 6:10 PM by Alan

Filed under: Sungard, Condition Expected Exposure, Wrong Way Risk

Grid Technology for Risk

Digipede Product Summary Grid and clustered computing allow for a problem to be solved by breaking it down into tasks that can be split up and executed simultaneous across multiple machines. All grid solutions follow the same sort of patterns. They have...

Published 02-19-2010 1:57 PM by Alan

Filed under: Digipede, Datasynapse, Risk Modelling, Server 2008 HPC, SoA

Economists economic with their integrity

The Political interference by Government extends to MPC alliance and the integrity challenged economists associated with it seems Lord Layard , Emeritus Professor of Economics, LSE; founder of the LSE Centre for Economic Performance Chris Allsopp , Reader...

Published 02-19-2010 12:31 PM by Alan

Filed under: Labour Government, MPC, Labours cronies

Valuation of C++ for performance Computing

The accepted standard language for pricing model analytics in a performance orientated environment has been historically C++. It has the raw performance characteristics required for trillions of points within scenario cubes but presents time to market...

Published 02-09-2010 6:24 PM by Alan

Filed under: c++ quant libraries, 32 bit, 64 bit, c#

Technical Notes on Fusion IO

The Solid State Drive Advantage Modern Solid State Drives (SSD) leverage decades of advancement in NAND flash technology to provide a very low latency, high performance, random access persisted data store. One of the most powerful whilst offering high...

Published 02-04-2010 9:56 AM by Alan

Filed under: fusion IO, Techical notes, EM RISK, Monte Carlo

Outsourcing Risk does not work

One of the really bad activities of Banks since the start of the 21st Century has been to outsource Risk Technology to external off shore companies. One of the very first I was involved with in 2001, those involved warned the Bank at the time that this...

Published 02-04-2010 8:57 AM by Alan

Filed under: Outsourcing Risk, Does not work

Peston Pants

http://fullmonte.com/blogs/comment/archive/2009/12/03/public-servants-on-20m-a-year.aspx So footballers are allowed to bleed their fans, to take advantage of clubs so that they are constantly in debt, the average premiership club scrapes the meerest of...

Published 12-03-2009 4:25 PM by Alan

Filed under: Gordon Brown, Robert Peston, Tony Blair, New Labour, Bigt Brother

Robert Peston "Credit Hunch"

http://www.bbc.co.uk/blogs/thereporters/robertpeston/ His constant liberal bias to the Labour party has no bounds, unable to allow himself to express the tangible link between the failure of the current Government to the failures in the economy, instead...

Published 12-02-2009 4:54 PM by Alan

Filed under: Credit Crunch, Credit Hunch, Robert Peston

Which Grid Fabric to use?

Grid and clustered computing allow for a problem to be solved by breaking it down into tasks that can be split up and executed simultaneous across multiple machines. All grid solutions follow the same sort of patterns. They have a Controller, which clients...

Published 11-22-2009 2:56 PM by Alan

Filed under: Digipede, Datasynapse, grid fabric, Windows Server 2008 HPC, .Net

If Goldman Sachs are a blood-sucking vampire squid what are Google?

I have been hearing in the liberal media about how terrible Goldman Sachs are and how akll Bankers who be hung, drawn and quartered. Personally I am more concerned how Google controls the internet and beyond essentially using the intellectual property...

Published 11-21-2009 5:09 PM by Alan

The Financial Services Authority will be able to void contracts signed by bankers and their employers after 1 January 2010 if it believes the pay structures encourage the individual to take too much risk.

It will simply not work and cannot be implemented, the FSA are not compotent enough and the systems created by Gordon Brown have been the real source of the deeper economic woes the UK have experienced in relation to our peers. From 10 years experience...

Published 11-20-2009 11:32 AM by Alan

Filed under: Labour Government, Gordon Brown

Lehman sues Barclays

"Reuters) – Lehman Brothers Holdings Inc (LEHMQ.PK) has filed a lawsuit against Barclays Capital Inc alleging the British bank took control of excess assets in collusion with Lehman executives when it bought its U.S. brokerage business a year ago...

Published 11-18-2009 7:57 PM by Alan

Filed under: Barclays, Lehmans, firesale

Banks starting to take Risk seriously

I have been in Risk since the dark days, Banks are now focusing on this area as they would a front office equivalent exercise rather than a back office one. With Risk Management happening at deal inception with the CVA operating model becoming more prevalent...

Published 11-12-2009 2:27 PM by Alan

Filed under: CVA, Credit Valuation Adjustment

Back again

Sorry for the absence, we needed to move to improve the service and this was much more painful than we anticipated. Nice to be back though, just going through some ideas for what I want to do in the future and how we want to take the service forward....

Published 11-12-2009 10:43 AM by Alan

Introduction Interacting with C or C++ Quant libraries from .Net

Introduction Interacting with C or C++ Quant libraries from .Net is often a major concern for managers of modern systems such as a CVA implantation. Whilst .Net provides offers many forms of interoperability, all too often they are employed in a fashion...

Published 09-10-2009 6:30 PM by Alan

Filed under: c++ quant libraries

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