XenoNews - January 2009 Newsletter
News in Brief
Spotlight on RiskMinds 2008
Given the current state of affairs, Risk Minds 2008 was busier than anticipated, buoyed by a broad and heavyweight list of speakers and the desire to understand more about the issues and mistakes of the recent crisis.
Most risk managers share the view that data quality does count, and is critical to the assessment of risk, although some still fail to realise that the responsibility for reliable data is part of their remit rather than that of the IT department.
The key themes of the conference were as follows:
- Variable dependency/correlation and the problems it caused with diversification (in crashing markets, everything is highly correlated and risk is not diversified)
- Pricing model risk was a recurring theme given the failures in CDO valuation
- Academics think that finance theory should be expanded in the light of failure and not thrown away
- Regulatory capital requirements should be changed to encompass scenario analysis as well as VaR
For more-in depth coverage, see the Xenomorph blog postings.
Paineiras Investimentos accelerates trading with Xenomorph
Xenomorph is delighted that Paineiras Investimentos, a leading Brazil-based hedge fund, chose Xenomorph's data and analytics management system, TimeScape, to accelerate its trading and risk management processes. Manual, Excel-based, data management and validation processes were automated, thereby increasing the efficiency and speed of data analysis. The vector database capabilities of TimeScape enable more tick data to be analysed in less time and its flexible data model ensures complex data such as volatility surfaces can be handled with ease.
As Andre Portilho at Paineiras Investimentos commented:
"TimeScape allows us to run our trading operations far more efficiently - freeing up staff from time consuming data maintenance and allowing more time to be spent on formulating our trading ideas. We were impressed by the speed of implementation by Xenomorph - following successful evaluation of TimeScape, the system was in production within one month. TimeScape offers a multi-asset capability that covers the full range of our data management and support needs - an off-the-shelf system that has the flexibility and breadth to cope with our continuing need to innovate."
Beating the sub-prime blues
Over 100 people attended the Xenomorph Inc. party at the Classic Car Club, Manhattan, to socialise with peers and to enjoy an evening of cars, food and fashion.
Six 'Bond' paintings, created by our talented XSI Managing Director, Naj Alavi were won by:
- Gemma Craven (Daniel Craig)
- David Zukerman (Sean Connery)
- George Chen (Roger Moore)
- Camilla Pratt (George Lazenby)
- Simon Baltovic (Pierce Brosnan)
- Vincent Cammarata (Timothy Dalton)
Xenomorph in the News
Press coverage in late 2008 focused on gaining Paineiras Investimentos as a new client.
To read how Paineiras Investimentos is building statistical quantitative trading strategies into a deployment of TimeScape, Xenomorph's data and analytics management platform, before it uses the system to deploy a broader range of strategies, click here.
For those interested in Xenomorph's strategic partnership with Microsoft on HPC that will see the technology integrated with TimeScape see:
Xenomorph partners with Microsoft on HPC
Microsoft Windows High Performance Computing Server 2008 looks set to help financial firms scale new heights. Launched in September at the 2008 High Performance on Wall Street conference, the solution has already garnered significant attention across the industry.
XenoInsider
RiskMinds in particular sparked a furious flurry of blog posts. The following is a summary of topics covered since our last newsletter.
25 Jan 09 CEP in 2009
23 Jan 09 Underrated, Overrated
21 Jan 09 Challenging Fair Value
15 Jan 09 Happy Birthday Spreadsheet!
14 Jan 09 Financial Modeler's Manifesto...; Libor no more...
06 Jan 09 Originative Sin
05 Jan 09 Exceeding Expectations in 2009
11 Dec 08
Risk Minds - DB on reforming the financial markets
Risk Minds - insurers on the crisis, risk managers (and suicides....)
Risk Minds - model risk and variable dependency assumptions
Stress-testing consultation by the FSA
10 Dec 08
Risk Minds - VaR is not dead at Citi
Risk Minds - Tuesday panel debate
Risk Minds - Robert Merton
09 Dec 08
Risk Minds - From blame to bubble indices...
A couple of rants and a bit of humour
08 Dec 08 Rules of principle based regulation
27 Nov 08 Buffet to expire before his options?
25 Nov 08 MiFID market data deterioration
Share your views on the derivatives market
Having been called 'weapons of mass destruction', what happens next to derivatives? To find out, CityIQ, in association with Northern Trust, is carrying out a survey of the derivatives market and needs your views.
- How has your organisation been impacted?
- How will volumes change?
- What operational issues do you face?
- Where are the biggest risk areas?
To take part in the survey, simply follow this link:
http://www.surveyserver.net/?derivatives
In return for taking part you will receive a complimentary copy of the survey results and a complimentary invitation to the presentation of the findings.
The survey should take no more than ten minutes to complete and responses will remain confidential.
Closing date: Friday 30th January 2009.
Xenomorph Software Ltd
tel: +44 (0)20 7614 8600 | web: www.xenomorph.com | email: info@xenomorph.com