标记档案: 计算

摘要 — 创贸易的人生

与我们已经来到了我们的交易周期讨论结束. 我们谈到了交易前的活动,如对定价模型的定量工作, 其验证由一个独立的团队. 在每笔交易, 我们的销售和信用检查活动. 一旦交易开始, 它经历了中东办事处初步审定工作, 其次是常规处理由大量团队, 如限制监测和报告市场风险管理, 估值检查和准备金的计算产品控制, 与对冲平衡和风险管理交易部门. 在贸易的寿命终止期, 这是后台团队活跃在定居点和报告.

Trade lifecycle summary

正如我们所看到, 大多数活动, 尤其是在成立之初,并达到贸易的终止, 交易平台在调解的过程和输送从一个业务部门的交易,以在未来至关重要的作用. 但这些不同的业务部门都有自己固定的工作范例工作, 他们对什么是贸易视角或者他们的工作包括可以从另一个完全不同的. 由于交易平台的削减多个团队, 它必须满足这些不同的观点, 这是这个系列的开始下一个帖子的最后一节.

终止

交易的最后一个生命周期事件, 当然, 其终止. 它可以被触发的各种原因. 不管是什么原因可能是, 当交易被终止, 它要求定居点和文件档案由后台. 此外, 它可能会引发公众披露 (在聚合形式) 财务, 激励调整人力资源.

贸易终止和它触发工作流的常见原因如下图描绘.

Trade termination

  • 贸易成熟度: 当一个行业或一个选项达到成熟, 它被终止, 这是交易终止的最平静的方式.
  • 认购权证: 如果银行或者其交易对手行使选项, 它被终止. 锻炼可以交易的生命周期中发生的任何时间, 或只在特定日期, 这取决于产品的条款表描述涉及.
  • 违规屏障: 障碍期权 (或者敲入和基因敲除的选项) 可能违反预先定义的壁垒,可能会产生终止定居点或新行业.
  • 目标触发器: 积累朝向目标的仪器 (如范围或应计目标可赎回远期) 当达到目标可能会终止.
  • 贸易更替: 更替的特殊过程,其中交易对手的变化. 实际上, 原来对方销售的商品或选择另一个. 当发生更替, 原来的交易被终止,一个新的开始与特色.

验证和处理

一旦交易被计入交易平台数据库, 它触发的验证和日常处理的整个合唱. 验证过程是在接待处和交易部门的控制单元中台之间往复舞, 通过交易平台所有导. 该交易员可能会插入一个行业在实验基础上. 一旦他们确信这是一个可行的交易, 他们推到一个确认状态, 这将是回升,由财政部控制单元. 如果交易者决定丢弃以商品, 交易结束了在一堆垃圾 (但从来没有永久删除). 该控制单元通常工作在一个四眼, 双重验证方式. 他们验证了行业的投入, 和控制范围,如允许对特定产品的交易数量. 如果交易通过他们的测试, 他们将其状态设置为有效的状态, 这将触发检查的第二级. 如果交易失败,无论是水平, 他们推回的状态,使交易者要么修改它或抛弃它.

Trade validation

一旦交易被充分验证, 加工环节开始. 它涉及多个团队和多角度, 如何从贸易应确定什么样的基本信息单位应当认定开始.

Daily Processing

如该图所示以上, 常规处理发生在各个业务部门.

  • 交易部监控行业的对冲和再平衡, 监控损益 (盈/亏), 和住在危险范围之内. 资深交易员熬过这个常规处理蒸馏水从初级者的信息,并采取适当行动.
  • 中部办公室在常规进程中至关重要的作用. 他们监视的目标和阻隔违反, 利率定价和认购权证, 现金流, 和产卵等现金交易. 它们产生 (与交易平台的帮助) 适当的会计触发器回到办公室采取行动, 为了进行结算, 交易确认, 文件归档等.
  • 产品控制是另一个事业部嵌入式中部办公室内的主动监控在P / L,每天, 以根据敏感性和市场走势解释他们的行动, 提供的交易活动的盈利能力的独立计算. 它们的储量计算送入财务和人力资源管理部门,影响交易者的激励和补偿.
  • 市场风险管理也有用来进行日常监控交易限制员工成群 (如notionals, 增量相当于等。) 以及VaR的计算, 压力测试,风险价值. 在大多数银行, 他们也处理符合监管部门报告,并提供简洁,可操作的情报给上层管理谁决定交易策略.

正如我们将要看到的, 每个业务部门的不同,特别是针对需要一个独特的投影 (我们称之为透视) 从交易平台的交易信息. 这个要求是,使设计和实现如此具有挑战性的事情之一.

贸易成立

贸易成立之初事件可以分为两类. 前贸易活动是那些要发生的首次贸易被黄牌警告之前. 在每笔交易开始活动是具体到每一个行业的那些.

Pre-trade activities

前贸易活动都与入职和批准新产品. 正如我们所看到, 内部交易平台被设计为灵活和响应. 原则, 应采取什么时间去一个新产品要上登上. 我曾在上次系统, 例如, 目的是要在短短的几分钟内部署新的产品理念. 但这种系统的设计者往往会忘记人, 参与这过程相关和控制元件. 随着滑动上面示, 一个新产品的想法或新的定价模式源自模型定量的工作,或在接待办公室structurer. 但它得到附近的任何地方生产系统之前,, 定价模型需要被验证, 通常由 分析团队 在中台风险管理组. 一旦通过验证, 该产品经过了一个曲折的批准过程可能需要数周或数月, 然后正式部署过程, 这可能又需要数周或数月. 当该过程完成, 该产品可用于买卖的交易平台.

一经面世, 该产品可以被实例化作为贸易. 每笔交易实例经过自己的验证和审批程序. 该交易请求可能来自销售或结构化团队接待处. 他们也将准备术语表和其他法律文件. 一旦这些任务完成, 贸易,计入交易平台.

Per-trade process

这些开始事件中的第二滑动上面所描述. 其中在审批过程中的关键步骤是信贷控制. 正如我们前面所描述, 该 信贷风险管理 团队使用多种工具来评估风险. 有了他们的认可, 并与产品的市场价格交易的认识, 在交易平台上可用的产品成为行业数据库. 而lifecycling有趣的开始.

创贸易的人生

With the last post, we have reached the end of the second section on the static structure of the bank involved in trading activities. But a trade by itself is a dynamic entity. In this third section, we will look at the evolution of a trade, and see how it flows back and forth between the various business units we described in the last section. We will make the this section and the next into a new series of posts because the first series (上 如何做了银行工作?) has become a bit too long.

Back Office and Finance

As with most dynamic entities, trades also have the three lifecycle stages of inception, existence and termination. What we need to understand clearly is what the processes are around these general stages. What are the business units involved at each of these stages? What do they do? And how do they do it?

Trade lifecycle

We will see that from our perspective, the lifecycle interactions are all mediated by the trading platform. It is not so much because everything is contained within the trading platform, but because we are interested only in that limited set of processes that are. In some sense, the last section was about the physical, spatial description of the bank, and this section is going to be on the temporal evolution and dynamics of how things work on that structure.

摘要 – 世行结构

We have now completed our discussion on the general structure of a typical investment bank trading arm. We went through the Front-Middle-Back Office divisions and the functional and business units contained within. Note that we looked only at those units that have a bearing on trading and quantitative development activities. Note also that this structure is fluid and may be implemented with different names and hierarchies in different banks depending on their corporate strategies and focus. We presented the trading platform as the enabler or backdrop of most of these activities of the global treasury (where exotics trading activities take place) and the associated business units (that handle various aspects of the trade workflow) mainly because we are looking at the whole thing from the quantitative development perspective.

Back Office and Finance

From this perspective, you see the trading platform as the most important tool (or collection of tools) in the bank. It mediates almost all the interactions among the various business units. 此外, as we shall see in future posts, the trading platform defines the trade workflow and lifecycle management. 因此,, it will also become important for the quantitative developers to understand how these business units view trades and the trade booking and management process. Their trade perspectives will have to influence the design of the trading platform.

回到办公室, 金融等

从定量和定量发展的角度, 回到办公室是一个遥远的实体. 其作用是在交易周期至关重要, 我们将在后面看到, 但他们的宽客和开发商的影响范围之外.

Back Office and Finance

回到办公室本身的关注,主要有贸易结算和会计. 在时机成熟时, 每笔交易产生一个结算触发通常与所出售交易或结算平台的帮助, 这将有所回升,并采取行动的后台专业人士. 他们还照顾现金和抵押品管理.

融资功能是密切相关的后台运营. 其中一台主机的会计相关操作, 他们有一个非常重要的任务,, 这是产生年报. 这些报告得到公开审查,并确定从股价表现花红一切, 薪酬水平等. 财务专业人士可能需要定量和分析帮助某些任务. 在我以前的角色之一, 有人问我估计的员工股票期权的公平市场价值 (员工持股计划) 在会计年度报告的宗旨,为他们.

定价职工持股的过程是相似的 (虽然有点不是更复杂) 正常的看涨期权的定价. 除其他事项外, 你需要标的股票的波动性,以计算价格. 我用的是标准的指数加权移动平均法较前两年,自公布股票价格估计能左右来计算,因为这是我所接触到的数据. 在那之前, 有一些企业的行动,股票代码名称发生了变化 (或不存在, 我不记得哪). 在任何情况下, 我知道,在此日期之前增加更多的数据的影响,肯定是因为该指数递减权重可以忽略不计; 它会少得多,在报价的价格四位小数的四舍五入误差, 例如. 但是,谁被要求看一下计算的会计很不高兴. 她来找我,她的规则手册,并介绍我到页面 57, 段 2, 这是指定的地方,我应该用十年时间的指数加权移动平均计算. 我试过, 只, 向她解释,我不能. 她不停地说, “是啊, 但页面 57, 2 ....” 我接着解释为什么它没有真正使任何区别. 她说,, “是啊, 但页面 57, 2 ....”

会计和金融专业人士可以是这样. 他们可以是一个有点 “技术” 这些事情. 回想起来, 我想我是太天真. 我可以只用了一系列的零背填充缺失的8年数据 (毕竟, 如果该股票价格没有报价, 它是零), 和重做我的员工持股计划的估值, 这会给员工持股计划价格相同我刚才计算, 但这次同时满足财务和金融工程师.

IT and other support

一个团队的定量开发商紧密合作,为信息技术. 他们被控犯有IT基础设施, 安全, 联网, 采购, 许可及其他一切相关计算. 事实上, 定量发展, 正如我前面描绘它, IT和纯数学工作之间的中间层. 因此,它有可能为定量开发人员发现自己在IT层次结构下, 虽然它不工作,他们的优势. 信息技术是成本中心, 像所有其他的中后台职能, 而连接到交易前台单位利润中心. 利润发电机得到补偿远远比别人更好, 它是更好地与它们相关联的不是IT.

价格和估值

Marking trades to market requires up-to-date market data. There are two types of market data required for pricing — one is the live spot rates, volatilities, interest rates etc. This type of data is collectively called rates. The second type is the kind that goes into defining the products being traded, or the characteristics of the rates. These include definitions of interest rate pillars, bond coupon dates and rates etc. This second type is considered static data.

Valuation and Product Control

The rates management team is in charge of the first type data. They ensure that the live data providers are consistent with each other and that the data itself is accurate. They do this by applying various automated tests and limits to the incoming rates to flag any suspicious movement or inconsistency. Once approved by the team, the data gets consumed by the trading platform. The rates management is a critical role, and the market data is often stored and served in dedicated databases and services. Because of the technicalities involved, this team works closely with the information technology professionals.

The static data is typically managed by a separate team independent of rates management. They go by various names, Treasury Control being one of them. They set up traded products and rates pillars and so on. In some banks, they may also be responsible for trade input data validation.

Two other important functions of Middle Office are valuation and product controls. These functions are pretty far removed from quantitative development and trading platform. These teams ensure that the trade valuations and P/L movements are consistent with market movements. Valuation Control takes a close look at pricing and P/L mostly at trade level while Product Control worries about P/L explanation typically at portfolio level. Since we have the Greeks (rates of change of product prices with respect to market quantities and time), we can compute and predict the change in the prices (or P/L movements) using Taylor series expansion. If the independently computed prices (using actual market rates) are at odds with the predicted ones, it points to an internal inconsistency and should trigger a detailed investigation.

Product Control may also help Finance and Human Resource with valuation reserves process, which estimates the level of exaggeration in the profit expectations of ebullient traders. Since traders’ compensation is tied to the profit they generate, this process of assigning reserves against profit is essential in ensuring equitable performance rewards.

市场风险管理及分析

如果你在市场上起到, 你运行它可能会移动对你的风险. 这种风险, 当然, 市场风险,我们有一个中台团队来管理它. 市场风险管理 (MRM) 确保数量和种类的交易产品的风险限额按照高级管理层所规定的风险偏好设定. 它还确保, 通过定期处理和监测, 这些限制粘附到.

MRM

什么是监控是风险措施,如希腊和风险价值 (风险价值). 希腊人是一个证券的价格相对于各种市场变量的第一和第二阶导数,如底层的价格, 利率, 波动以及像到期时间​​贸易的具体实体. 风险价值是一个统计终点衡量的市场不利变​​动的情况下在给定的置信水平估计损失金额, 并运用历史市场走势在过去一年左右的一般计算. 这些风险的措施汇总, 切片并以各种方式切割成可以很容易地监视它们, 并报告给高级管理人员, 风险控制委员会, 交易柜台等. 该MRM团队还负责向监管机构汇报, 无论是在定期合规报告的形式,以及在应对激烈的市场举动即席报表.

宽客可以发现在分析团队嵌入MRM机会. 该团队负责定价模型验证, 这是确保部署在交易系统的数学模型和其他估值引擎是适当和正确实施的过程. 还有的是,MRM分析定量分析师所做的工作和他们的前厅柜台部分之间的重叠显著 (其中我们叫做定价或模型定量分析师). 该分析团队也需要在一般的MRM或风险管理所需的任何其他数量型工具护理. 这些工具可能包括未来的潜在风险 (PFE) 信用风险管理, 资产和负债流动性建模 (AML) 等.

信用风险管理

Risk management is a critical function of Middle Office. Credit risk is the risk that somebody who owes you money may not be able or willing to honor their obligation. 换句话说, they may default on their credit obligation. This risk is managed in a bank using a variety of statistical tools.

Middle Office

When a bank issues you a credit card, it takes on credit risk that you may not pay up. You pay an insanely high interest rate on your outstanding balance precisely because of this credit risk. The risk is not secured. A mortgage or an auto loan, 另一方面, is secured by the equity of your property, and you pay a significantly lower interest because of the collateral.

The Middle Office team of Credit Risk Management (CRM) operates using the same two paradigms. Much the same way as you have a credit limit on your credit card or line of credit, each counterparty that the bank trades with has a certain credit limit based on their credit rating as published by credit rating agencies such as Moody’s or Standard & Poor. The problem with this mode of managing credit risk is that the bank has no way of knowing how much credit is loaded against a counterparty’s rating in other banks. Nor does it have a means of finding out how many credit cards you have. In Singapore, the regulatory authority, MAS, tries to minimize the risk of people going bust be requiring that their credit limit be twice their monthly salary. Bt they may get as many credit cards as they want from different banks against the same limit, effectively nullifying the good intention behind the requirement.

This overloading against credit rating is avoided when the risk is managed using collaterals. Much like you cannot take two mortgage loans on the same property (not without adequate equity, any way), counterparties in trading also cannot use the same collateral for multiple trades. Banks and counterparties typically use bonds as collaterals and physically exchange them during secured transactions.

Before the Front Office trader can enter into a trading agreement with a counterparty, they will need to get approval from the credit controllers who will assess exposures and check them against predefined limits. The exposure assessment uses techniques such as potential future exposure (PFE) based on a large number of simulations of potential future markets.

In addition to the risk of counterparties defaulting during the life time of a trade, CRM professionals worry about the potential for default during the delay in settlement — after the maturity of a trade (where the bank is in the money) and its settlement. This risk is aptly called the settlement risk.