My partners at Siag in Madrid are in a development process, at the finalisation of a Software product launch, for a new product called 'Price Manager', I get to see early screen shots, now and again, just glimpses of the future as it waits to be rolled out, growling like all good cyborgs do!

BBC SPINS KING

Dataset name: Balance Sheet Items; Frequency: Monthly; Reference area: Euro area (changing composition); Adjustment

indicator: Working day and seasonally adjusted; BS reference sector breakdown: MFIs, central government and post office

giro institutions; Balance sheet item: Monetary aggregate M3; Original maturity: Not applicable; Data type: Index of

This is actually patently obvious to anyone who considers it for more than a moment, it does need to be written down, articulated, specified through layers of abstraction as a constantly twittering software engineer in my timeline is currently obsessing about.

QUOTE: The changes to the market risk framework will increase average trading book capital requirements by two to three times their current levels

BIS PAPER: http://www.bis.org/publ/bcbs163.pdf?noframes=1 Analysis of the trading book quantitative impact study October 2009

DISCUSSION: http://www.analyticbridge.com/profiles/blogs/basel-committee-trading-book

Financial Instruments: Replacement of IAS 39

It would be great if you could take the time to complete this anonymous online survey which as been put together by Moore, Carter & Associates.

I think the survey, "Giving voice to the risk management profession", is very well crafted, and once the findings are published, they may have a bearing on people's assessment of the causes of the financial crisis - and perhaps even help shape future reforms. The survey's validity will be strengthened based on the number of people who complete it. To participate press where it says "click here" towards the bottom of the forwarded message.

If you can think of anyone else who might have a view on why risk managers failed to avert the banking and financial crisis, please feel free to forward it to them for completion?

P.S.: if you're interested in reading some of my latest ramblings please click here

SURVEY LINK: https://www.surveymonkey.com/s.aspx?sm=KhXi3kzuHnCeSW_2b958VbUw_3d_3d 

We already posted a reference to a presentation by the CFO of UBS at the Bank of America/Merrill Lynch (BASML) banking conference last week. I was alerted to the availability of the RBS one (by Simon Hester) on Finextra here (who BTW slightly over-read or speed-read the presentation in my view, talking about a 6billion sterling technology budget) however the Hester presentation is of real interest, there are some frank confessionals and we see the costs of the APS beautifully elucidated.

some useful pointers:

Organised by the European Commission
DG Internal Market and Services
Friday, 25 September 2009, Brussels

The European Research Consortium for Informatics and Mathematics (ERCIM)

Working Group on

Computing & Statistics

Second Workshop

Limassol, Cyprus, 29-31 October 2009

Its only a matter of time but this is a stake in the back of these vampires!

Dataset name Financial market data - yield curve
Frequency Business
Reference area Euro area (changing composition)
Currency Euro
Financial market provider ECB
Financial market instrument Government bond, nominal, all triple A issuer companies
Financial market provider identifier Svensson model, continuous compounding, yield error minimisation
Financial market data type Yield curve spot rate, spread between the 10-year and 3-month maturity

THIS IS A WEBCAST FOR WHICH YOU HAVE TO COMPLETE A VERY SIMPLE REGISTRATION, ITS THE FIRST WEBINAR WHICH JOHN HULL HAS EVER DONE (AS HE TELLS YOU)

I HAVE TO SAY IT IS EXCELLENT, SO JUST HAVE YOUR SANDWICH OR A CUP OF COFFEE (OR A GLASS OF WINE) AND HAVE A LISTEN, IT REALLY IS EXCELLENT

Agenda, June 2009 from Oxera

"Bringing Back Best Practices in Risk Management: Banks' Three Lines of Defense".

Cette étude s’inscrit dans le cadre d’un programme de travail développé à la Banque de France.

The Formula That Killed Wall Street - The Gaussian Copula - Wired - Felix Salmon (Updated) The reference of this post is an article is from Wired magazine, it's by Felix Salmon, who you might know from Seeking Alpha, the article is interesting in its depth (it has none!).

The article is being commented on LinkedIn this morning but it reflects a zero level understanding of the Gaussian Copula (the subject of the article), which then maybe reflects why "the wizards of wall street" got it so drastically wrong, its nothing to do with the technique, its just that they did not understand 1) what it is for and 2) how it does what it is for. Certainly the WIRED article reflects no understanding of either in a parable about a kindergarten (says all that is necessary, really).

Lloyds Banking Group raised 6.75 billion US dollars last week in 2 and 3 year money of government guaraunteed liqudity last week. You may have noticed that Microsoft also raised 3.75 billion dollars in its first ever issuance on the debt capital markets last week, too; a sum which it immediately promised it was not going to use to buy SAP!! As Piper Jaffray comment in their Debt Capital Markets Update: "The high-yield primary market continues its strong run, with new-issue volume for the second quarter to date nearly twice that of the first quarter of 2009, at $23 billion versus $13 billion. In May alone, more than $11.8 billion has been priced to date, with a $3 billion backlog."