Category: Finance
VAR Calculations using MapReduce Patterns
A great set of articles explaining VAR and how to compute using MapReduce
http://blog.octo.com/en/using-hadoop-for-value-at-risk-calculation-part-1/
Show me the (Bitcoin) money!!!
Distributed Near Caches in Coherence
Near caches for Cohrerence provide some useful solutions but do take some knowledge on setting them up correctly.
https://blogs.oracle.com/OracleCoherence/entry/oracle_coherence_near_cache_best
The 80s were the best
Eclipse Tips
Collateral Management and EMIR, DFA Regulation
This is where the focus will be for the next 12 months.
Collateral Management is the task of reducing credit risk. A good paper to indicate the challenge faced by institutions is provided by Foxeye Consultants report, “Benefit from one of the biggest opportunities in 2013: Collateral Management”.
A summary by Sungard – “Are Your Collateral Management and Hypothecation Methods Ready for Prime Time?”
Regulation for EMIR is now required – be ready for 2014, the EMIR timetable is out.
Finally, differences between DFA and EMIR Regulatory Requirements.
Building a realtime betting website
NOw thats what can be done with good developers, good technology and 4 months,
Builder Patterns and Coherence Pivot Tables
A quick way of handling reduced methods in your classes.
Avoid too many Parameters using the Builder Patter
They way they can be used is within pivot tables within Coherence.
A developers life
Some humourous views on a developers life… enjoy
Metamaterials and Cloaking – Cool Stuff
Realizing the world’s first 3D cloak of invisibility, engineering professor Andrea Alú explains how the discovery of metamaterials is pushing technology beyond conventional limits, producing vastly new opportunities beyond what nature can offer.
This emerging technology offers extensive applications in bioscience, energy, defense and plenty more we can only imagine from here.
12 months of work to reach this goal – DTCC FX Regulatory – 28th Feb 2012
So 12 months of work and it comes down to this date – to keep a bank in business. Reporting FX trades in realtime to maintan Dodd Frank Act.
2013-02-27 23:59:03,322 363566054 [clearingControlEventExecutor-1] INFO org.perf4j.TimingLogger log - start[1362009542481] time[841] tag[PERF:ClearingControlEventPollingAdapter.doWork(clearing_dtcc_equity)] message[Sent MQ controlevents DTF_DISP_READY successcount=2/2 Count=2 Duration=841(ms) Rate=2.378/sec DurationOne=0.42 sec]
2013-02-28 00:00:36,575 363659307 [clearingControlEventExecutor-1] INFO org.perf4j.TimingLogger log - start[1362009633292] time[3283] tag[PERF:ClearingControlEventPollingAdapter.doWork(clearing_dtcc_fx)] message[Sent MQ controlevents DTF_DISP_READY successcount=122/122 Count=122 Duration=3283(ms) Rate=37.161/sec DurationOne=0.027 sec]
It is one of many major milestones that the FX market place requires as many instituitions realise technology is the key to deliver business agility and success.
JP Morgan CIO Report – Big Whales Is Beached
Taken from ZeroHedge a great summary of the CIO office trade that put a dent in the banks profit for 2012.
In its own words from the Q1 2012 10-Q filing: “the increase in average VaR was primarily driven by an increase in CIO VaRand a decrease in diversification benefit across the Firm.” And furthermore: “CIO VaR averaged $129 million for the three months ended March 31, 2012, compared with $60 million for the comparable 2011 period. The increase in CIO average VaR was due to changes in the synthetic credit portfolio held by CIO as part of its management of structural and other risks arising from the Firm’s on-going business activities.” Keep the bolded sentence in mind, because as it turns out it is nothing but a euphemism for, drumroll,epic, amateur Excel error!
How do we know this? We know it courtesy of JPMorgan itself, which in the very last page of its JPM task force report had this to say on the topic of JPM’s VaR:
… a decision was made to stop using the Basel II.5 model and not to rely on it for purposes of reporting CIO VaR in the Firm’s first-quarter Form 10-Q. Following that decision, further errors were discovered in the Basel II.5 model, including, most significantly, an operational error in the calculation of the relative changes in hazard rates and correlation estimates.Specifically, after subtracting the old rate from the new rate, the spreadsheet divided by their sum instead of their average, as the modeler had intended. This error likely had the effect of muting volatility by a factor of two and of lowering the VaR…. It also remains unclear when this error was introduced in the calculation.
In other words, the doubling in JPM’s VaR was due to nothing but the discovery that for years, someone had been using a grossly incorrect formula in their excel, and as a result misreporting the entire firm VaR by a factor of nearly 50%! So much for the official JPM explanation in its 10-Q filing that somewhat conveniently missed to mention that, oops, we made a rookie, first year analyst error. As for how long this error was on the books, one can venture a guess: many years?
And if this glaringly amateur error was present in America’s largest bank by assets, and one which proudly boasts a “fortress balance sheet”, an error which just so happens feeds into countless other input cells driven by the firm’s VaR calculation, leading to capital allocation, trading, and overall executive decisions many of which have a direct impact on the firm’s exposure to $72 trillion in over the counter derivatives, what can one say about the thousands of other banks, which are not as closely “supervised” by the Federal Reserve as JPMorgan is (supposedly).
Or how about Europe’s far more troubled banks?
Is there really any wonder why after reading humiliating reports like this one that nobody, and certainly not the banks themselves, trust any other banks, and why the Fed, contrary to false rumors of a recovery, is forced to inject some $85 billion in bank cash every month, most of it going to offshore banks as we previously reported?
In addition to the CIO trade – see how it could have impacted the Lehmans demise back in 2008 – is very interesting reading from ZeroHedge
Grid computing HPC trends 2012/2013
A good summary on HPC trends and ideas.
I need more power Scotty – Performance in the JVM
A series of good articles about the JVM and getting the most out of it from the people who know how to monitor
- Become a Java GC Expert
- Understanding Java Garbage Collection
- How to Monitor Java Garbage Collection
- How to Tune Java Garbage Collection
- MaxClients in Apache and its effect on Tomcat during Full GC
- The Principles of Java Application Performance Tuning
More specifically for Oracle Coherence some special jvm settings are required:
Kernow – Best XML Schema Valiadation Tool I found
A well learned colleague of mine has written what I think the best xml schema validator that just f…g works.
Sage of Omaha Annual Letter 2010
Warren Buffett’s Shareholder letter for 2010
A history of finance since the 1970s is best summed up by his insightful letters.
Don’t buy until you see the whites of their eyes
Same useful articles on PEG evaluation and picking winners for the future
Slice and Dice my Data please – RealTime Aggregration
Why build all the data structures yourself and respond to client requests to slice and dice data when this can do it for you – ActivePivot
Here is a great summary of the product from an independent source
FB+GS=OS – Internet Bubble (part deux)?
Here we go again, remember the internet bubble of the 1990s and its spectacular pop…. well it looks like a few are taking the first blow of the next one – we had the credit housing bubble of 2000-2010 – so is 2010-2020 going to be the internet bubble part deux?
Goldman and Facebook
Goldman Pitch
Goldman get out clause
LinkedIn and the rest..
What Facebook can learn from Google IPO
So whose next, twitter?
BTW for the record I am not the only one who thinks this.
Update: 10Jan2011
This is how it all began TheFacebook.com T+5days, an interesting quote from Mr.Z:
“I’m not going to sell anybody’s e-mail address,” he said. “At one point I thought about making the website so that you could upload a resume too, and for a fee companies could search for Harvard job applicants. But I don’t want to touch that. It would make everything more serious and less fun.”
Well it surely is still fun, lets see how long that lasts once it is out in the public landscape.
And here is a useful graphic – something for all those herds on the street.
Update: 12Jan2011
Coming soon to an inbox near you – me@fb.com
“At their annual meeting in Atlanta, Farm Bureau officials on Tuesday said the organization earned $8.5 million by selling a couple of domain names but is barred from identifying the buyer.”
Finance Books of the Year – 2010
Drowning In Oil: BP & The Reckless Pursuit Of Profit
‘Dealings’ – The Work Of A Wall Street Legend
All the Devils Are Here: The Hidden History of the Financial Crisis
Bought and Paid For – The Unholy Alliance Between Obama & Wall St
Banktown – The Rise and Struggles of Charlotte’s Big Banks
King Of Capital: The Remarkable Rise, Fall, and Rise Again of Steve Schwarzman & Blackstone
The Last of the Imperious Rich – Lehman Brothers, 1844-2008
‘Confidence Game: How a Hedge Fund Manager Called Wall Street’s Bluff’
‘The Rise and Fall Of Bear Stearns’
Goldman Sachs – ‘When Money Was In Fashion’
13 Bankers – The Wall Street Takeover & The Next Financial Meltdown