Insights
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/ Risk Management
Managing Margin (Part I) – Five Key Challenges from a System-Wide View
Computing, optimizing and monitoring real-time margin requirements across a multitude of instruments and customer accounts is a Herculean task. In this article, TS Imagine discusses the key challenges in this arena and will dive deeper into the specifics of solving its challenges.
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/ Platform
ALTAIR PANOPTICON™ & IMAGINE – A Compelling Combination
Steven Harrison, President of TS Imagine, and Bruce Zulu, Director of Technical Support Services for the Business Intelligence division at Panopticon’s parent company, Altair, explain the collaboration and how it benefits clients.
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/ Risk Management
How a Stressful Election Could Stress Your Portfolios
Most market observers agree that the many uncertainties swirling around the US Presidential election are likely to generate volatility in the US equity market that could last well beyond November 3rd.
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/ Data / Data Quality
Thinking about Building a Volatility Surface? Think Again
At first glance, constructing a volatility surface looks like a straightforward exercise – a closer look reveals there is a great deal more to consider.
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/ Risk Management
The Lognormal Bridge
This note discusses the use of a “lognormal bridge” to estimate interest rate statistics and to calculate HVAR.
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/ Risk Management
Calculating Risk Under Market Uncertainty:
There is No Right Answer
When newcomers to the field of quantitative finance are assigned the task of writing up an analysis, they will often show numbers using five, six or even more digits to the right of the decimal point. This may be driven by the part of the brain that craves precision and exactness. Given the unstable nature of financial data, does that mean it is a fool’s errand to try to estimate risk?
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/ Risk Management
Risk Monitoring Through Turbulent Markets
Markets change frequently and often erratically, presenting risk managers, asset managers, and investors with enormous uncertainty. Given the market volatility in recent months, it is especially important to monitor real-time risks and to test a portfolio’s resilience under future possible market fluctuations.
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/ Quant
TS Imagine’s Response to Negative Oil Prices
It was a historic moment to be remembered when crude oil plunged into negative price territory on Monday 20th April 2020. TS Imagine’s Data, Technical, Development and Professional Services teams stood ready to assist users in ensuring they continued to correctly calculate risk metrics across commodity trading books. While negative prices are not a new thing in financial markets, it was the first time for crude oil to exhibit such behaviour. Standard pricing models (Black Scholes) for commodity future options are not designed to handle negative underlying prices. As such, TS Imagine applied an ‘early roll’ of the front month contract of May crude to the June expiry as the negative settle price was confirmed.
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/ Quant
Past Rolling Hills to Smoother Pastures
How to eliminate the distortion effect of rolling futures contracts on continuity time series returns.
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/ Quant
Imagining the Impact of a Hard Landing in China
As China confronts numerous internal and external challenges from slowing economic growth, disruption in Hong Kong and a volatile trade conflict with the United States, it may be prudent to assess and understand the risk a hard landing for the Chinese economy may pose to your portfolio.
