Monday, 28 September 2009

Moving on

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This blog should be redirected automatically to the new location, blog.rivast.com . If you are not sent there automatically, please click t...
Monday, 21 September 2009

Bring a problem parties - speed therapy

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Sometimes, when you are talking to someone, you come on an idea that makes so much sense you are surprised that it has not been thought of b...
1 comment:
Saturday, 19 September 2009

A manifesto

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I suspect that some, perhaps a preponderance, of my readers are not of my political persuasion. So you might well disagree with the followin...
2 comments:
Thursday, 17 September 2009

Keynesian traps and flooding the building

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A frequent correspondent sent me a link to Phillip's Economic Computer , a wonderful analogue device designed to illustrate the flow of ...
1 comment:
Thursday, 10 September 2009

One of the many reasons I am depressed

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Barry Ritholtz writes : I believe the brain trust behind the Obama White House has made a huge tactical error. As Rahm Emmanuel likes to say...
1 comment:
Monday, 7 September 2009

Adair dares, and other unlikely tales, updated

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The headline, of course, should have been British bank watchdog states the blatantly bleeding obvious , but I suppose that is a little more ...
Thursday, 3 September 2009

HRbots and the false comfort of quantification

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One of my favourite cartoon characters is the evil HR director Catbert, from the Dilbert series. Catbert epitomises the Machiavellian intr...
6 comments:
Monday, 31 August 2009

Oh I do love to be beside the sea side

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Willem Buiter took a month off from his FT blog, and I think I am going to follow that lead, so expect something in September. Meanwhile, h...
2 comments:
Thursday, 13 August 2009

This collateral smells a bit off

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From Bloomberg : The vaults of Credito Emiliano SpA hold the pungent gold prized by gourmands around the world -- 17,000 tons of parmesan ch...
2 comments:
Wednesday, 12 August 2009

Excess Liquidity

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Ian Campbell, on breakingviews.com, has a nice statement of a view I have had for a while. in their anti-deflationary fervour, central bank...
Tuesday, 11 August 2009

Monoline Death Watch

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Felix Salmon discusses some recent JPM research on MBIA: in a note issued this morning they said that MBIA’s tangible book value is actuall...
Monday, 10 August 2009

Reasons to stay flat?

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From Morgan Stanley. I find this a reasonable one slide account of where the equity markets are, but that's just a personal take.
Friday, 7 August 2009

Controlling complex systems

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From an entirely different context , a rather useful metaphor for what happens when you get the rules of the system right: attempts at self-...

Inefficient Units of Currency

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By Joseph Streckert, from the Canadian literary magazine McSweeney's : Children Millstones Imaginary euros* Copies of Now That's Wha...
Thursday, 6 August 2009

The notable glibness with which the writer throws off chains of causation

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I have nothing to say, really, I just wanted to repeat a lovely phrase from the comments to the post before last . Things here will be slow...
1 comment:
Wednesday, 5 August 2009

Creativity

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A lovely rant from Jenny Diski on the LRB blog : ... I’m left wondering what the word ‘creative’ means to people who can overcome difficulty...
Tuesday, 4 August 2009

Deprogramming Obama

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A nice slant from Salon: the president is a prisoner of the cult of neoliberalism .
2 comments:

Don't judge me

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Paul Krugman has a post entitled Rewarding bad actors . He takes the view that two situations - the profits from high frequency trading at...
Monday, 3 August 2009

Come backs

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Just don't do it. That's surely the lesson we learn from sporting comebacks. Lance could only manage third in the TdF - a creditab...
Saturday, 1 August 2009

Discrete, discreet trading

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One of the things I was concerned with many moons ago is the difference between the types of behaviours you can get in discrete and continuo...
Friday, 31 July 2009

Fact as fiction, and other storytelling techiques

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One good way of telling the truth obliquely is to pretend that it is fiction. This was an established technique for ex-spys to spill the be...
Thursday, 30 July 2009

Sovereign credit quality and foreign currency borrowing

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Ambrose Evans-Pritchard in the Telegraph has an article about Iceland. He notes that the Icelandic krona has fallen by half against the eu...
Wednesday, 29 July 2009

Moooo

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In an article reminiscent of Cows accused of spending a lot of time in fields , Floyd Norris writes in the NYT : Politicians Accused of Medd...
Tuesday, 28 July 2009

Corporate default rates by year and industry

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The details are below: click for a larger picture.
4 comments:
Monday, 27 July 2009

Instability and the cover rule

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In the old days of equity derivatives, one of the main instruments was the covered warrant . This was a call option (usually - put warrants...
2 comments:
Sunday, 26 July 2009

This cancer

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For once not the banks. Rather I am picking up an interesting article via Infectious Greed on properties of the Honda Accord through time...
Saturday, 25 July 2009

Introducing Algo

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Given that I used to be a computer scientist, my knowledge of algorithmic trading, aka high frequency trading, is shamefully slight. Partly...
Friday, 24 July 2009

Cry havoc and let slip the dogs of war accounting

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OK, the revised version is perhaps a touch less catchy. Bloomberg reports : The FASB says it may expand the use of fair-market values on co...
Thursday, 23 July 2009

Robust finance

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John Kay in the FT comments on a theme that is central to this blog: Any engineer will tell you of the importance of making complex systems...
Wednesday, 22 July 2009

72%?

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From Bloomberg : Morgan Stanley set aside 72 percent of its second-quarter revenue for compensation and benefits, more than Goldman Sachs Gr...

39 Steps

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No, not a (really rather good) novel by the 1st Baron Tweedsmuir , but rather the steps to revise IAS 39. For those of you who have not bee...
Tuesday, 21 July 2009

The modifier on innovation

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There has been a fair amount of discussion recently about financial innovation. Willem Buiter has suggested that new financial products sh...
Monday, 20 July 2009

A small town in Switzerland, part 3

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Glorious, glorious, glorious is the day: yet more Basel. Here's a key passage from BCBS158: Factors that are deemed relevant for pricin...
Sunday, 19 July 2009

When a technology dies...

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...you sometimes get a decent monument. Here are the sound mirrors at Denge, Dungeness.
3 comments:
Saturday, 18 July 2009

Well that went well I think

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From Wells Fargo via Creditflux : In their latest research report, Wells Fargo (formerly Wachovia) analysts calculate that 360 CDO of ABS ha...
Friday, 17 July 2009

A small town in Switzerland, part 2

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The review of the changes to Basel 2 now moves to the credit risk rules. There isn't much that is new here either: some tweaking of the...
1 comment:

Is Goldman just a credit punt?

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The Big Picture suggests that it might be, and provides this initially compelling illustration (which I have edited slightly to make it less...
Thursday, 16 July 2009

A small town in Switzerland, part 1

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First the simple part. The new revisions to the Basel capital accord include Incremental Risk in the Trading Book . I have already comment...
Wednesday, 15 July 2009

The world's least favourite airline

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I'm still digesting the proposed changes to IAS 39 and to Basel 2 (you wait two years for major accounting and regulatory change then tw...
Tuesday, 14 July 2009

Goldman humour

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From John Kemp via Felix Salmon :
Monday, 13 July 2009

Taking out the leverage

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The FT has an article today on re-equitisation . The basic idea is that some assets can be structured in such a way as to generate a bond-l...
Sunday, 12 July 2009

Do loan mods reduce delinquency rates?

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If you get into trouble on a mortgage, and you are American, and you are offered a loan modification, it is unlikely to help much. The foll...
Saturday, 11 July 2009

Shape of regulation summary

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Friday, 10 July 2009

Understanding ABS

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The Atlantic has an interesting if over-simplistic article on the role of securitisation in the crunch. I agree with this last paragraph to...
2 comments:
Thursday, 9 July 2009

AAA to A3 check, 2/3 A3 to AAA mate

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Sorry, I couldn't resist the bastard cross of chess and bond ratings. Let me explain. Once upon a time there was a leveraged loan CDO ...
Wednesday, 8 July 2009

Growth vs. Stability

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I have a conjecture. Like most conjectures in finance, it isn't susceptible to proof. Indeed, were people to act as if it were true, i...
Tuesday, 7 July 2009

FSA gets medium rare

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Medium rare being of course far from tough. From the Times : The City regulator said some fines could treble in size as it seeks to address...
Monday, 6 July 2009

Titled Coffee

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This blog was named partly in honour of a system that does actually work well, coffee in Italy. It's good, it's cheap, it enhances ...

Counter-cyclical capital

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I flatter myself that I was one of the first bloggers (although far from the first academic) to comment on the need for anti-cyclical capita...
2 comments:
Sunday, 5 July 2009

Meritocractic mistakes

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Paul Kedrosky has a fascinating post on Infectious Greed about the Peter Principle. The principle says, of course, that people climb in an ...
2 comments:

Just privatise them?

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Ken's right . Can we now, please, at least five years too late, renationalise the railways. After the National Express disaster, it is...
2 comments:
Saturday, 4 July 2009

Skin in the game

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The most important factor in determining whether a residential mortgage will default is whether the home owner has skin in the game, accordi...
Friday, 3 July 2009

Shotguns and blowups

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From Mark Gilbert on Bloomberg: If the aftermath of the credit crunch is a financial landscape featuring fewer banks, each even bigger than ...
Thursday, 2 July 2009

Reality and perception in equity markets

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The hard part about making market calls is not coming to a view on fundamental value. While that's difficult, it is still easier than t...
Wednesday, 1 July 2009

The Axiom of Choice and Other Fallacies

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The full Axiom of Choice states that given any set of mutually disjoint nonempty sets, there exists at least one set that contains exactly ...
2 comments:

Fixing monopolies

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The monopolies and mergers commission has proved utterly ineffective in dealing with the large supermarkets. Tesco, in particular, plays fa...
Tuesday, 30 June 2009

20%

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No, not my standard broker's commission, but the average level of credit enhancement in CMBS before 2003. FT alphaville, commenting on ...
Monday, 29 June 2009

Physics envy, History envy

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Physics is in some ways the geekiest science. It's fundamental, it has hard maths in it, and it has had enormous success at explaining ...
3 comments:
Sunday, 28 June 2009

Most expensive cities for residential property

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Via Infectious Greed , an interesting list of the top 10 cities globally by average residential sale price: Hong Kong is a special case, bei...

Restructuring and bankruptcy

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The Economics of Contempt has a nice historical summary: the first major restructuring that I can remember being significantly hindered by ...
2 comments:
Saturday, 27 June 2009

Seriously antiquated

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FED, OCC, OTS, FHFA, CFTC, SEC, FDIC, NAIC, ... It seems that Obama and co. do not have the balls to sort out the alphabetic mess that is US...
Friday, 26 June 2009

The types of instability

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Money market funds were one of the more minor vectors of the crunch. Since they did not want to break the buck, and as they had rather limi...
Thursday, 25 June 2009

Timing

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Is it a good time to start an old-fashioned bank?

Honour

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Martin Wolf, quoting Mervyn King, writes in the FT : 'My word is my bond' are old words: 'My word is my CDO-squared' will ne...
Wednesday, 24 June 2009

The loneliness of the long distance regulator

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Lord Turner, a decent, thoughtful regulator, told the Treasury select committee yesterday that there should instead be a "tax on size...
1 comment:
Tuesday, 23 June 2009

Post of the day

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How can you not like something that begins ' Emerging Markets and derivatives are like alcohol and barbiturates: each on its own has att...

Before the bust: AIG's early collateral postings

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AIG's collateral postings after the rescue are well known - essentially the firm was saved so that it could continue to fulfil its oblig...
1 comment:
Monday, 22 June 2009

Cash up front please

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The Telegraph reports an idea of Paul Tucker's: making the banks pay to clean up their own mess: The banking industry could be told in ...

Each way bet

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One of the nice things about Foyle bookshop - despite its Waterstoneisation - is that the staff selections are still charmingly eclectic. L...
Sunday, 21 June 2009

Chop the tail off a 911 or something...

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Please accept my apologies for the scarcity of postings - I have been in Berlin. There will be more soon but meanwhile, here's a tip fr...
Saturday, 20 June 2009

A nice graphic on large bankruptcies

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(Click for a larger version.)
Wednesday, 17 June 2009

5% is not much

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The Obama administration is proposing that originators should retain a 5% stake in securitisations . This is not enough. 20% or 25% would ...
6 comments:
Tuesday, 16 June 2009

The Amherst Trade

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This is a geeky post about the CDS market. The newswires have been buzzing recently with news of a 'daring' CDS trade by Amherst Ho...
3 comments: