quant - Blog - Global Risk Community2024-03-28T13:27:01Zhttps://globalriskcommunity.com/profiles/blogs/feed/tag/quantThis week’s DIY project – quant tradinghttps://globalriskcommunity.com/profiles/blogs/this-week-s-diy-project-quant-trading2013-08-15T17:56:52.000Z2013-08-15T17:56:52.000ZLaura Lupohttps://globalriskcommunity.com/members/LauraLupo<div><div style="text-align:center;"><p><img src="http://blogs.terrapinn.com/total-trading/files/2013/07/hammer_thumb.jpg" height="200" vspace="20" alt="hammer_thumb.jpg" /></p></div><p><a href="https://www.quantopian.com/" target="_blank"><b>Quantopian</b></a>, a start-up from Boston, wants to help ambitious traders disprove what many people have accepted for quite a while now – that while an individuals may get lucky from time to time, they cannot beat the market over a long period of time.</p><p> </p><p>The company provides a service that allows individual traders to write their own trading algorithms and use them however they like. In this way, more individual traders could get involved in algorithmic trading without the help of a larger entity.</p><p> </p><p>Founder John Fawcett discussed the project, saying “I wanted to create a platform for people to develop trading strategy. Professional quants are secretive about their work. I really wanted to make it more accessible. I build software that would let investors analyze all the different kinds of data out there to analyze companies and industries. I thought everybody should be using this approach.”</p><p> </p><p>At the moment, Quantopian offers back-testing for free, however this is costly for the company. While this is currently part of the service Fawcett wants to continue offering for free, the company may eventually find it needs the revenue. Moral of the story being: take advantage of using it for free while you can!</p><p> </p><p><a href="http://www.forbes.com/sites/petercohan/2013/07/01/quantopian-wants-to-turn-stock-trading-algorithmic/" target="_blank"><b>Read the original article here</b></a> ></p><p> </p><p>Interested in quant trading and investing? Check out <a href="http://www.terrapinn.com/2013/quant-invest-canada?utm_source=GlobalRiskCommunity&utm_medium=blog&utm_campaign=GR" target="_blank"><b>Quant Invest Canada</b></a>, taking place this October in Toronto.</p><p> </p></div>‘xVA’s’ have found their way in to pricing and valuationhttps://globalriskcommunity.com/profiles/blogs/xva-s-have-found-their-way-in-to-pricing-and-valuation2013-04-17T09:30:00.000Z2013-04-17T09:30:00.000ZTom Riesackhttps://globalriskcommunity.com/members/TomRiesack<div><p>A common theme emerged on the first day at the Global Derivatives Trading and Risk Management Conference. CVA, DVA and FVA (but also a number of other components) have found their way into pricing and valuation models of financial institutions after the financial crisis of 2008.</p><p>After a macro-economic assessment by David Nowakowski of Roubini Global Econmics, which drew a somewhat grim picture with especially China being in slow-down, famed John Hull took up the stage to speak about the implications of the Funding Value Adjustment (FVA).</p><p>FVA can be defined as the difference between valuing a portfolio of uncollateralized transactions using the assumed "risk-free" rate (which is typically the OIS rate or LIBOR) and valuing it using the bank's actual (!)average funding cost.</p><p>Hull made it clear that the theoretical funding of a bank will mostly be divergent from the actual funding requirement. This makes it quite difficult for banks to incorporate FVA into their pricing and still find a common ground with their counterparty to actually close the deal.</p><p>In the following panel discussion JesperAndreasen, Global Head of Quantiative Research at Danske Bank and two-time Quant of the Year, stated the financial crisis has propelled financial institutions to incorporate credit and funding risk into their pricing and valuations models.</p><p>Andrew Green from Lloyds Banking Group then gave a detailed introduction into the new pricing paradigm after the crisis and the new components that flow into pricing compared to before the crisis.</p><p><a href="{{#staticFileLink}}8028222866,original{{/staticFileLink}}"><img width="500" src="{{#staticFileLink}}8028222866,original{{/staticFileLink}}" class="align-full" alt="8028222866?profile=original" /></a></p><p>It shows the rising complexity of but also interdependence between pricing components. Subsequent presenters, who were delving deep into the construction of applicable models and their various components, proved this as models and even the derivation of model components has grown more and more complex over recent years.</p><p>The role of the quant will grow more important to financial institutions trading derivatives to ensure that pricing and subsequent valuation will be nearer to the truth. But we should not forget two things.</p><p>Firstly, all modelling will always be an approximation of the reality. As such, it seems sensible for market participants to find equilibrium of ever-more detailed models verses the effort one has to invest into creating them.</p><p>And secondly, and in my mind more importantly, smaller buy-side clients need to be taken on an educational journey to give them the ability to understand the more complex math behind today’s derivatives pricing. This would go a long way to foster and maintain good client relationships.</p><p>Also see original post here: <a target="_blank" href="http://theotcspace.com/2013/04/17/xvas-have-found-their-way-in-to-pricing-and-valuation">http://theotcspace.com/2013/04/17/xvas-have-found-their-way-in-to-pricing-and-valuation</a>/</p></div>Is traditional portfolio management dead?https://globalriskcommunity.com/profiles/blogs/is-traditional-portfolio-management-dead2013-04-15T17:08:25.000Z2013-04-15T17:08:25.000ZTom Riesackhttps://globalriskcommunity.com/members/TomRiesack<div><p>When listening to the presenters on the “Portfolio Optimisation & Quantitative Investment Summit” at the Global Derivatives Trading and Risk Management event in Amsterdam one could draw such a conclusion.</p><p>Another is: “Do not worry!”, because, not least due to the 2008 crisis, risk management models and portfolio construction models have evolved and still allow for a decent return when managed thoroughly and correctly.</p><p>Some of the themes that emerged were around the construction of alpha-generating portfolio strategies as well as using measures like convexity, volatility but also liquidity risk to intelligently make investment decisions.</p><p>All speakers agreed that finding the right portfolio strategy has become vastly more complicated as regulations are ever encroaching on portfolio managers. Quantitative strategies are looking at sound measurements and – more importantly – sound data sets to incorporate the market and regulatory changes.</p><p>One example was the news-flow based investment strategies J.P. Morgan Cazenove is employing. Language recognition algorithms are being used to deduct possible patterns how stock prices react to certain meaningful news flow.</p><p>Another example was the incorporation of volatility considerations into one’s decision process. One point in case is understanding tail risks and using that knowledge to hedge one's portfolio strategy although this gets complicated due to the fact that some tails are "unknown unknowns".</p><p>Diversification has also taken a new turn as more interconnectedness in the market makes risk-free portfolio diversification virtually impossible.</p><p>Overall (and somewhat against the headline of this blog entry), the 50-odd participants of the summit left in high spirits as speakers outlined the various ways that are still available to generate alpha. But as this involves a different set of risks that have to be taken the question remains: will risk-averse investors stay the course and go on this new route of investing.</p></div>Practical Asset and Liability Management Workshop, 15 - 16 May 2012, Londonhttps://globalriskcommunity.com/profiles/blogs/practical-asset-and-liability-management-workshop-15-16-may-20122012-05-10T13:22:27.000Z2012-05-10T13:22:27.000ZRaunak Guhahttps://globalriskcommunity.com/members/RaunakGuha<div><p>Receive a complimentary free copy of the widely regarded book " <a href="http://us.macmillan.com/assetandliabilitymanagementhandbook/GautamMitra">A Handbook on Asset Liability Management</a> " <br /> - Edited by Professor G. Mitra</p><p><strong>Key speakers include:</strong></p><p><strong>INSURANCE - Teemu Pennanen,</strong> King’s College London, ex-Managing Director at QSA Quantitative Solvency Analysts Ltd. He has extensive experience of consulting and providing solution to the insurance industry.</p><p><strong>PENSION - Michael Dempster</strong> (Cambridge Systems Associate), consultant to a number of global financial institutions and governments.</p><p><strong>BANKING - Moorad Choudhry</strong> Treasurer, Corporate Banking Division at The Royal Bank of Scotland</p><p></p><p><span style="font-family:Arial, 'sans-serif';"> </span><strong><span style="font-size:10pt;font-family:Arial, 'sans-serif';">Who should attend?</span></strong></p><p></p><ul type="disc"><li class="MsoNormal"><span style="font-size:10pt;font-family:Arial, 'sans-serif';">Fund Managers</span></li><li class="MsoNormal"><span style="font-size:10pt;font-family:Arial, 'sans-serif';">Quants</span></li><li class="MsoNormal"><span style="font-size:10pt;font-family:Arial, 'sans-serif';">Prop Traders</span></li></ul><p></p><p><span style="font-size:10pt;font-family:Arial, 'sans-serif';"> <strong><span style="font-family:Arial, 'sans-serif';">Course Highlights</span></strong></span></p><p></p><ul type="disc"><li class="MsoNormal"><span style="font-size:10pt;font-family:Arial, 'sans-serif';">Stochastic Optimisation for asset allocation</span></li><li class="MsoNormal"><span style="font-size:10pt;font-family:Arial, 'sans-serif';">Key risk factors</span></li><li class="MsoNormal"><span style="font-size:10pt;font-family:Arial, 'sans-serif';">Asset Price Dynamics</span></li><li class="MsoNormal"><span style="font-size:10pt;font-family:Arial, 'sans-serif';">Application of models to Pension, Insurance and Banking <br /></span></li><li class="MsoNormal"><span style="font-size:10pt;font-family:Arial, 'sans-serif';">Liability Modeling</span></li></ul><p> </p><p><strong>What do you get?</strong></p><table border="0" cellspacing="0" width="678"><tbody><tr><td width="150"><p></p></td><td width="524"><p> </p><p> A copy of <b>“A handbook on Asset Liability Management” - edited by Prof G Mitra</b>, one of the speakers</p><ul><li>Learn about cutting edge solutions to risk management in ALM</li><li>Techniques and tips on how to productively apply ALM strategies to wealth management.</li><li>Learning through real life case studies</li></ul><p> </p></td></tr></tbody></table><p> </p><p><span class="font-size-3">To view details of the event, please <a href="http://www.optirisk-systems.com/events/practical-asset-liability-management.asp">click here</a>.</span></p><p><span class="font-size-3">To book a place at this highly regarded two day workshop <a href="https://vault1.secured-url.com/optirisk/reg.php?Title=Practical%20ALM">click here</a>.</span></p><p></p><p><span style="font-family:Arial, 'sans-serif';"> </span><strong><span style="font-size:10pt;font-family:Arial, 'sans-serif';">Who should attend?</span></strong></p><ul type="disc"><li class="MsoNormal"><span style="font-size:10pt;font-family:Arial, 'sans-serif';">Fund Managers</span></li><li class="MsoNormal"><span style="font-size:10pt;font-family:Arial, 'sans-serif';">Quants</span></li><li class="MsoNormal"><span style="font-size:10pt;font-family:Arial, 'sans-serif';">Prop Traders</span></li></ul><p><span style="font-size:10pt;font-family:Arial, 'sans-serif';"> <strong><span style="font-family:Arial, 'sans-serif';">Course Highlights</span></strong></span></p><ul type="disc"><li class="MsoNormal"><span style="font-size:10pt;font-family:Arial, 'sans-serif';">Stochastic Optimisation for asset allocation</span></li><li class="MsoNormal"><span style="font-size:10pt;font-family:Arial, 'sans-serif';">Key risk factors</span></li><li class="MsoNormal"><span style="font-size:10pt;font-family:Arial, 'sans-serif';">Asset Price Dynamics</span></li><li class="MsoNormal"><span style="font-size:10pt;font-family:Arial, 'sans-serif';">Application of models to Pension, Insurance and Banking</span></li></ul><p><span style="font-size:10pt;font-family:Arial, 'sans-serif';">Liability Modeling</span></p></div>