The First Global Financial Crisis of the 21st Century
Andrew Felton and Carmen M. Reinhart have edited a collection of articles relating to the current global financial crisis.
News Articles
TTA presents FPGA at QMF 2008
On 17th December 2008, TTA presented to the Quantitative Methods in Finance conference on the topic of using Field Programmable Gate Arrays (FPGAs) to accelerate Value at Risk (VaR) calculations. The presentation was a combined effort of TTA, nabCapital and MathRidge who are working together on a proof of concept for commodity VaR applications.
TTA will offer its Mark-to-Futures Forward Curve (MtFFC) via the d-cyphaTrade website
In collaboration with d-cyphaTrade, TTA will offer its half hourly MtFFC via a subscription service on the d-cyphaTrade website. The MtFFC uses futures data supplied by d-cyphaTrade and incorporates all the necessary features of the spot market such as seasonality, peak-offpeak relationship and observable abrupt price changes. Unlike OTC products, futures are credit-free and market traded, so all prices are completely disentangled from the transaction counterparties. Exponential growth in futures trading volumes provides additional reliability to MtFFC-underpinned forecasting.
More detailed information will be made available on this web site soon. In the interim, please contact us.
Three “Failures” in Financial Markets
“Statistics are like a bikini. What they reveal is suggestive, but what they conceal is vital” – Aaron Levenstein
On the 29 of March 1900 at the Sorbonne in Paris a young Ph.D. student was defending his doctoral dissertation titled “The Theory of Speculation”. It was a mathematical treatment of the observed fluctuations of French government bonds and their options. The main conclusions of the study were that:
- there are no discernible trends in the market
- the market has absolutely no memory of what it has done in the past
- the difference of the logged returns are normally distributed
To this date these results still stand as the null hypothesis of modern finance and economics.
A Non-Quant Guide to Constant Maturity Swaps
A Constant Maturity Swap (CMS) is a floating/floating interest rate swap. In many ways, it is similar to a Basis Swap, in which you agree to pay a notional floating rate based on one reference rate (for example, quarterly BBSW) while receiving a floating rate with a different frequency (for example, semi-annual BBSW). While it is possible to have a cross-currency CMS, we’ll keep it simple here and consider only domestic swaps.
Observing the Risk
A Brief Look at Energy Risk Management
I recently had the good fortune to work on an especially challenging and interesting client engagement in the field of Energy Risk Management. Our client was an electricity retailer, not the largest in the state, but not the smallest either. The challenges that this client faced appear to be shared amongst the majority, if not all, of the energy retailers in New South Wales. With Full Retail Contestability (FRC) now in place, and the Enron memories (and lawsuits) still fresh in everyone’s mind, Energy Risk Management is increasingly being placed in the spotlight. With such a high political profile and large financial stakes, electricity supply and sales must be insulated from disasters arising from poor risk management. Any problems with systems, methodologies and/or procedures had to be identified and plans put in place to address such problems.
