trading (17)

Boris: Hello ladies and gentlemen and welcome to our meeting. We are speaking today with Richard Moss who is a Product Manager at AxiomSL. As we move from VAR to expected shortfall regulation coupled with the focus on liquidity, I thought of sharing a perspective on one of the hottest regulations around the corner - the Fundamental Review of the Trading Book (FRTB).

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You can watch a video recording of the interview here https://www.youtube.com/watch?v=BVcJleqmIbU&t=2s

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This has resulted

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As the FRTB implementation race begins, it is crucial that banks now get a thorough understanding of the structure of trading desks, refine operating models and the front office and transform the market risk infrastructure effectively in order to meet the so called ‘FRTB standard’. With less that 18 months to go, banks are under pressure to develop high quality and consistent projects that will minimise the risk of capital charges and ensure integrity across the front office, risk and finance de

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Benefits of the Covered Call

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Benefits of the covered call include generation of income without added market risk. The comparison between the covered call and simply owning shares of stock demonstrates that added covered call income discounts the basis in stock, thus reducing market risk.

There are two criticisms of the covered call. First, if the underlying price declines below the discounted basis in stock (stock reduced by option premium), the overall position loses. However, if you own shares prior to opening the covered

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The top 5 trading experts on the West Coast

8028227079?profile=originalThe 5 trading experts featured in this publication were selected based on experience, thought leadership, nominations from industry peers, and their storied success within the finance industry.

Download the report to hear their answers to the following questions:

  • What is something unique or interesting about yourself?
  • What is an accomplishment you are most proud of within the financial world?
  • What is an accomplishment you are most proud of outside of the financial world?
  • What makes your firm’s tradin
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The energy market is becoming increasingly competitive and volatile. The key to maintaining a competitive advantage is to develop effective hedging strategies and minimize risk exposure. With the new regulations introduced by the Dodd Frank Act, energy companies have seen a big change in their approach to hedging and they are on the look-out for establishing effective hedging strategies to value their assets and optimize their revenue.

Stephen Wemple, Vice President, Regulatory Affairs, Con Ediso

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This week’s DIY project – quant trading

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Quantopian, 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.

 

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.

 

Found

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As domestic and international trade continue to grow, companies are starting to consider the benefits of alternative sources of trade financing, according to David Hu, Managing Partner, IIG Trade Finance LLC.

 

“The cost of capital for banks, the traditional providers of trade finance, has increased tremendously. They also have other issues, such as the setting of LIBOR, which is being questioned right now. With the increasingly tighter capital requirements of Basel III, banks will have to tighten

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Is traditional portfolio management dead?

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.

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.

Some of the themes that emerged were around the construction of alpha-generating

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by Kiki Pentheroudaki 

We have discussed the historic development of automated trading and how regulators are pushing high-frequency traders to become market makers. We now want to look at further ways to regulate automated trading under MiFID II.

The impact of high frequency trading (HFT) flow on markets will also see continued attention from market participants and regulators alike. In 2012, significant regulatory attention focused on HFT, such as provisions in the European Parliament's version

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MiFID II – Trade Automation, Part 1

by Kiki Pentheroudaki

MiFID II is intended to regulate the use of automated trading to ensure a level-playing field for all market participants. In a two-part overview we will provide you with insight into how regulators are thinking. Part one focuses on the history of automated trading and MiFID’s proposals around market-making for high-frequency traders.

Automated or algorithmic trading is used by a wide range of market participants. Profits from high-speed trading in American stocks were ca. $1

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Big Data…Big Deal?

With the recent introduction of recording for voice and SMS on mobile phones for trading activities in the UK, many technologists were raising the issue of “Big Data” as additional voice recording requirements contribute to the growing repository of data being held by their firms to meet with regulator requirements. Although regulators around the globe are driving for greater visibility and a more comprehensive record of past trading activities, this additional data can also serve a purpose in o

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Despite the current economic turmoil, we have recently witnessed a frenetic race for ultra low latency, privileging speed over costs. But now the reality of these decisions is catching up and trading institutions are finding that the fastest is not always the strongest – much like the hare and the tortoise.

Being lean and controlling costs is a new priority for banks, focusing on their core business. We are seeing major changes in strategy, with organisations moving away from the extremely risky

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Managing a profitable balance sheet is more challenging than ever. With Basel III and the more immediate Dodd-Frank regulation on the horizon, a tool such as FTP is vital to ensure an effective centrally managed liquidity strategy. Post-crisis, whilst the economic situation is improving, allocating sufficient liquidity costs quickly and efficiently to the correct business-line is paramount.

Karin Bergeron is a trader on the CVA desk at Scotiabank. She is responsible for pricing and hedging CVA as

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Interview with Julie Vishnyakov, Vice President, Co-Head of Market Risk at Constellation EnergyMs. Vishnyakov answered a series of questions written by marcus evans before the upcoming 4th Annual Risk Management in Energy Trading Conference, November 8-9 in Houston, TX. All responses represent the view of the Ms. Vishnyakov and not necessarily those of Constellation Energy. (Note that the responses have been approved by Constellation Energy.)What has made creating an integrated risk management s
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UBS has remained oddly silent since its brief press release announcing a $2 billion loss from unauthorized trades in London. The announcement chopped some $5 billion from the bank’s market cap, and neither CEO Oswald Grübel nor any other senior executive has addressed the matter.

It’s instructive to compare UBS’s public response to that of other banks involved in similar situations.

When Jérôme Kerviel’s trades racked up losses of $7.2 billion for Société Générale, its CEO, Daniel Bouton, faced th

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A presentation has been released by Causal Capital on how to calculate counterparty risk exposure in a bank.

The approach taken in this presentation is to look at how each department contributes to the overall framework for dimensioning Counterparty Risk measures at both a contractual and aggregated level.

The presentation can be downloaded by following this link.

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A couple of weeks back I was approached by a HFT magazine editor and he asked me whether I would be interested to write down some of my experiences in HFT. As I am not directly participating in the midst of HFT at this point, I had to give it quite some consideration. Why would I do this? Placing myself in a vulnerable and visible position is not my first nature. Still I strongly believe in taking away the mystique or even – allow me – hysteria regarding this type of Capital Markets business. I

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