Charlie Rose - A conversation with Timothy Geithner, U.S. Treasury Secretary
In this interview he made a lot of sense. His enunciation of principles is coherent; however the actual tools to effect those principles, while not entirely unacceptable are not always the most effective I would think of.
"Ars sine scientia nihil est"
For example, when he is talking about doing the private public partnership to unclog tarp assets . They are going to lend money to private investors so that the can go and buy tarp assets. The contention I have repeatedly made is: why would this be better than setting up a market making operation on those assets traded at a refined level of granularity?
Showing posts with label risk management. Show all posts
Showing posts with label risk management. Show all posts
Thursday, March 12, 2009
Monday, March 9, 2009
Mathematical Model and the Mortgage Mess - NYTimes.com
Mathematical Model and the Mortgage Mess - NYTimes.com
Yes, BICs 4 Derivatives Volume I : Theory
chapter IX pp 203-232, showed that this was faulty and proposed the coherent alternative. When will you wake up people? when?
I cry a river over this. I cry a river over this....
As I have described at length in other writings(See this or this ), this crisis was a failure of the existing mathematical modeling framework at describing the real world dynamics of underlyings. Therefore the corresponding hedging and risk management strategies failed to represent reality and this fact becomes most obvious at times of crisis. One of the reasons for this development is the over-representation of former physicist at the highest levels of "quantdom" who have forced the adoption of a framework coming from another world. But "It ain't physics". It just ain't.
And I cry a river over this. I just cry a river over this....
Yes, BICs 4 Derivatives Volume I : Theory
chapter IX pp 203-232, showed that this was faulty and proposed the coherent alternative. When will you wake up people? when?I cry a river over this. I cry a river over this....
As I have described at length in other writings(See this or this ), this crisis was a failure of the existing mathematical modeling framework at describing the real world dynamics of underlyings. Therefore the corresponding hedging and risk management strategies failed to represent reality and this fact becomes most obvious at times of crisis. One of the reasons for this development is the over-representation of former physicist at the highest levels of "quantdom" who have forced the adoption of a framework coming from another world. But "It ain't physics". It just ain't.
And I cry a river over this. I just cry a river over this....
They Tried to Outsmart Wall Street - NYTimes.com
They Tried to Outsmart Wall Street - NYTimes.com
The newsy or useful point the article is trying to make kind of eludes me. From the front page snapshot, I thought there would be some statistic showing demand for quants has shot up with the crisis other than the discrete opinion of a quant professor who has a conflicted interest in selling his academic curriculum to prospective students. The reporter apparently just opened his quant rolodex and got a number of known quants say something that would make them look good and prop their books. Unlike what the title "They Tried to Outsmart Wall Street" would suggest, it does not try to hold any of those accountable.
How about BICs Sir, how about BICs, it actually would help...
I cry a river over this...
As I have described at length in other writings(See this or this ), and keep on saying, this crisis was a failure of the existing mathematical modeling framework at describing the real world dynamics of underlyings. Therefore the corresponding hedging and risk management strategies failed to represent reality and this fact becomes most obvious at times of crisis. One of the reasons for this development is the over-representation of former physicist at the highest levels of "quantdom" who have forced the adoption of a framework coming from another world. But "It ain't physics". It just ain't.
And I cry a river over this. I just cry a river over this....
The newsy or useful point the article is trying to make kind of eludes me. From the front page snapshot, I thought there would be some statistic showing demand for quants has shot up with the crisis other than the discrete opinion of a quant professor who has a conflicted interest in selling his academic curriculum to prospective students. The reporter apparently just opened his quant rolodex and got a number of known quants say something that would make them look good and prop their books. Unlike what the title "They Tried to Outsmart Wall Street" would suggest, it does not try to hold any of those accountable.
How about BICs Sir, how about BICs, it actually would help...
I cry a river over this...
As I have described at length in other writings(See this or this ), and keep on saying, this crisis was a failure of the existing mathematical modeling framework at describing the real world dynamics of underlyings. Therefore the corresponding hedging and risk management strategies failed to represent reality and this fact becomes most obvious at times of crisis. One of the reasons for this development is the over-representation of former physicist at the highest levels of "quantdom" who have forced the adoption of a framework coming from another world. But "It ain't physics". It just ain't.
And I cry a river over this. I just cry a river over this....
Friday, March 6, 2009
Op-Ed Columnist - The Big Dither - NYTimes.com
Op-Ed Columnist - The Big Dither - NYTimes.com
This article shows how even the "best and the brightest" seem not to see that the best approach to address this issue is as I describe in my article with the government becoming a market maker on TARP's illiquid asset. Nationalization in my view is not the answer, nor is some of the establishment of some of the private/ public funds. This structures merely add transactions cost and may only tangentially address the core issue
This article shows how even the "best and the brightest" seem not to see that the best approach to address this issue is as I describe in my article with the government becoming a market maker on TARP's illiquid asset. Nationalization in my view is not the answer, nor is some of the establishment of some of the private/ public funds. This structures merely add transactions cost and may only tangentially address the core issue
Monday, March 2, 2009
BICs Trivia
Introduction to BICs Exchange Systems
In this post, I just added a presentation that hopefully more clearly stresses the relevance and applicability of BICs as a sorely needed risk management tool
Sunday, February 22, 2009
Introduction to BICs
I am making my first post with an introduction to BICs that I have posted on my knol at:http://knol.google.com/k/phil-kongtcheu/introduction-to-basis-instruments/
More about me also at: http://knol.google.com/k/phil-kongtcheu/-/24v2kgtuvzk2v/0#
This article provides a definition for the concept of Basis Instrument Contracts (BICs) and explains why such a concept is needed and useful in Finance, Economics and Mathematics. It explains how BICs are practical and represent both a prophylactic and a therapeutic structural tool for a crisis such as the 2008 crisis. BICs help mitigate market volatility and facilitate more robust risk management.
More about me also at: http://knol.google.com/k/phil-kongtcheu/-/24v2kgtuvzk2v/0#
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