MiFID II & Research — non-traditional data & mining for alpha.

Whitepaper on P&L Attribution now available for download

P&L Attribution — Judging the weathermen

“The storm starts, when the drops start dropping
When the drops stop dropping then the storm starts stopping.”
― Dr. Seuss, Oh Say Can You Say?

The Volcker metric known as inventory aging… and thoughts of Whisky

Inventory Aging is a rather innocuous looking member of the band of (now) seven metrics that, under the Volcker rule, banking entities with significant trading assets and liabilities are required to calculate…

Product (Risk, Model, and Data) Classifications… an analogical tale of whisky.

Classifying Derivatives (or herding cats onto a carousel)

It is always easy to find fault with a classification. There are a hundred ways of arranging any set of objects, and something may almost always be said against the best, and in favour of the worst of them. But the merits of a…

Senate committee hearing on JPM loss — possible industry implications on derivatives infrastructure

The contract before the chicken and the egg

To the perennial question “Which comes first; the music or the words”? Ira Gershwin responded, “What usually comes first is the contract”.

And so it is with financial instruments like derivatives, which after all are contracts —…