Shhh, the New VaR Universe is Coming

In a month, we will take our new VaR module, on top of UnRisk-Q 4.1, to quant developers in financial institutions.
As outlined in VaR of the Jungle it will calculate cubes of VaR that are possible inputs for an advanced risk management process.

What Do We Sell?

We know the Eager Sellers and Stony Buyers trap well. Innovations fail because customers irrationally overvalue the old and makers irrationally overvalue the new.
This is another challenge for me as marketer.

Scream From the Mountaintops What You Have Bought?

Recently, I have read that the new generation want to scream from the mountaintops what they have bought, and to the largest audience. I am afraid, this is not true for our business, and I think, this is not even true for the If-UnRisk-was-a ... products? 

Audrey II - Attraction and Risk

In the musical film The Little Shop Of Horrors Seymour, working in a flower shop, finds a very mysterious undefined plant (from another planet?), which he calls Audrey II. And this is where the fun and the trouble begins. Audrey II makes the flower shop a flourishing hot spot and Seymour something of a celebrity.

Cheat With Science: How To Suss Out a Lie

Just by chance, I read this article after I have written the previous post on "Cheating a Bit .. ".
WIRED Feb-11 Cheat With Science. So, the cheaters need to be able to lie and know about the theory that a person's brain works harder when they are dissembling .... and that this extra cognitive load has physical manifestations: one of them let them wear shades.
In addition, do not give indirect incentives and collect shades at the porter's desk.

Nearly Everybody Cheats A Little Bit,

when incentives point them in that direction - Dan Ariely in WIRED UK.
What we can learn from the experiments conducted by the professor of psychology and behavioral economy at Duke university: people are caught between the desires to make money and to remain honest in their profession and work. Direct payments seem to erect a higher barrier for cheating than indirect .... (double "correct" answers in the experiment).
How to minimize such conflicts in financial markets?

Planning for the Unexpected?

Yesterday, I got access to a quite new Blog, stirrisk, dedicated to contribute to risk management by original ideas and thinking . The post Business Planning for Turbulent Times refers to the book of that title and a special chapter that I read. 

Riding The Price Waves

"Invert, always invert" (to solve the problem) Jacobi said. If we take the price dynamic as the absolute, as the Blank Swan thesis suggests, everything else is inverting.

Blazing Business - Amazing Local Power

UnRisk-Q. Striving for the best performance we have achieved another quite remarkable result: the calibration of a Heston model, that requires approx. 1 Million single valuations (related to market data) took only 8 seconds - on an 8 core PC equipped with one Tesla 2050 GPU from NVIDIA  - its improved double precision support is indispensable for this task.

VaR of the Jungle - Don't let the Leopards and Mambas Inside

VaR is a widely used risk measure of the risk of loss on a specific portfolio of financial assets. VaR expressing risk as a single number has been criticized since it moved from trading desk into the public eye. Summarizing it gives false confidence, because it cannot express risk of rare events.
Even VaR supporters agree that it is easy to misunderstand, and dangerous when misunderstood.
Making VaR control the central concern of risk management it is more important to worry about what happens, when losses exceed VaR.

Bulls, Bears and Bots

WIRED, Jan-11, Algorithms Take Control Of Wall Street. Today Wall street is ruled by thousands of little algorithms, and they've created a new market - volatile, unpredictable, and impossible for humans to comprehend.  It's the machine market now, we juts trade in.