Tag Archives: geld

Beëindiging

Die laaste lewensiklus geval van 'n handelsmerk is, natuurlik, die beëindiging. Dit kan veroorsaak word vir 'n verskeidenheid van redes. Wat ook al die rede mag wees, wanneer 'n transaksie beëindig, dit vra vir nedersettings en dokumentasie argief deur Back Office. Daarbenewens, dit mag openbare onthullings sneller (in 'n kollektiewe vorm) deur Finansies, en aansporing aanpassings deur Human Resources.

Die algemene redes vir die handel beëindiging en die workflow dit snellers word uitgebeeld in die figuur hieronder.

Trade termination

  • Handel volwassenheid: Wanneer 'n bedryf of 'n opsie volwassenheid bereik, dit word beëindig, wat is die mees rustig af van die handel beëindiging.
  • Opsie Oefeninge: As die bank of sy teenparty 'n opsie uitoefen, dit word beëindig. Oefeninge kan enige tyd plaasvind gedurende die leeftyd van 'n vakbond, of net op spesifieke datums, afhangende van die termsheet beskrywing van die produk betrokke.
  • Versperring oortreding: Versperring opsies (of klop-in en klop-out opsies) kan die pre-gedefinieerde hindernisse verbreek en kan beëindig raak genereer nedersettings of nuwe ambagte.
  • Doel Triggers: Instrumente wat ophoop in die rigting van 'n teiken (soos reeks toevallings of teiken verlossing voorspelers) beëindig kan raak wanneer die teiken bereik.
  • Handel Novasie: Vernuwing is die spesiale proses waardeur die handel teenparty veranderinge. In effek, die oorspronklike teenparty verkoop die bedryf of die opsie om 'n ander een. Wanneer 'n vernuwing gebeur, die oorspronklike handel beëindig en 'n nuwe een begin met 'n spesiale eienskappe.

Validering en Processing

Sodra 'n handelsmerk is bespreek in die handel platform databasis, dit veroorsaak 'n hele koor van validering en daaglikse verwerking. Die verifikasie proses is 'n heen-en-weer dans tussen die handel lessenaars in Front Office en die beheer-eenhede in die Midde-Office, al bemiddel deur die handel platform. Die handelaars kan 'n handel plaas op 'n eksperimentele basis. Sodra hulle is daarvan oortuig dat dit 'n lewensvatbare handel, hulle stoot dit tot 'n bevestigde staat, wat opgetel word deur die tesourie beheer-eenheid. As die handelaars besluit om die handel te gooi, die handel beland in die asblik paal (maar nooit permanent geskrap). Die beheer-eenheid werk gewoonlik in 'n vier-oog, dubbel bekragtiging af. Hulle bevestig die handel insette, en beheer perke soos die aantal ambagte toegelaat om vir 'n spesifieke produk. As die handel gaan hul toetse, hulle het die status van 'n bekragtig staat, wat snellers 'n tweede vlak van kontrole. As die handel versuim óf vlak, hulle terug gestoot in 'n toestand wat toelaat dat die handelaars om óf dit wysig of verwerp dit.

Trade validation

Sodra die handel is ten volle bekragtig, die verwerking deel begin. Dit behels verskeie spanne en veelvuldige perspektiewe, vanaf hoe om 'n handel, moet geïdentifiseer word wat die basiese inligting eenheid wat geïdentifiseer moet word.

Daily Processing

Soos getoon in die bostaande figuur, gereelde verwerking plaasvind in verskeie sake-eenhede.

  • Trading Banke monitor ambagte vir verskansing en herbalansering, monitering wins en verlies (P / L), en bly binne die perke risiko. Die senior handelaars kry gedistilleerde inligting uit die junior kinders deur middel van hierdie gereelde verwerking en gepaste optrede.
  • Midde Office speel 'n belangrike rol in 'n gereelde proses. Hulle monitor die teiken en versperring oortredings, koers bevestiging en opsie oefeninge, kontantskepping, en paai ander kontant ambagte. Hulle genereer (met die hulp van die handel platform) toepaslike rekeningkundige snellers vir Back Office op te tree, om nedersettings te voer, handel bevestiging, dokumentasie argief ens.
  • Produk beheer is 'n ander sake-eenheid ingesluit in die middel kantoor wat aktief monitor die P / L op 'n daaglikse basis, met die oog op verduideliking van hul bewegings, gebaseer op die sensitiwiteit en die mark bewegings, die verskaffing van 'n onafhanklike berekening van die winsgewendheid van die handel aktiwiteit. Hul berekening van reserwes voer in die finansiële en menslike hulpbronne-departemente en raak handelaar aansporings en vergoeding.
  • Market Risk Management het ook die hordes van die personeel wat die daaglikse monitering van handel grense uit te voer (soos notionals, delta-ekwivalente ens) sowel as VaR berekening, Stres VaR toetse. In die meeste banke, Hulle het ook hanteer nakoming verslagdoening aan die regulerende owerhede en bondige en aksie intelligensie na die boonste bestuur wat die handel strategieë besluit.

Soos ons binnekort sal sien, die verskillende en spesifieke fokus van elke sake-eenheid vereis 'n unieke projeksie (wat ons sal 'n perspektief noem) van die handel inligting uit die handel platform. Hierdie vereiste is een van die dinge wat die ontwerp en implementering so uitdagend.

Kapitalisme vs. Korporatisme

Tydens 'n onlangse gesprek met hom, hierdie kliënt van my die woord gebruik “korporatistiese” sy land te beskryf (Verenigde State van A). Hy het gesê as twintig jaar gelede, Hulle was 'n kapitalistiese land, nie 'n korporatistiese een. Nou, dit is 'n soort van fyn onderskeid wat ek wil graag om te praat oor. Vir my, dit was 'n verrassende en insiggewend onderskeid, een wat skoon ontleed en klaar die ekonomiese verwarring van ons tyd. En ek het om daaroor te skryf.

Almal weet wat die kapitalisme is. Dit is die mark-gedrewe, private eienaarskap-sentriese ekonomiese stelsel waar selfsugtige motiewe bring kollektiewe geluk, volgens Adam Smith. Hierdie manier van lewe is aanvaar as die “goeie” stelsel, en staan ​​in skrille kontras met die kollektiewe, gemeenskap besit ekonomiese stelsel met begrippe van robuuste sosiale herverdeling van rykdom — kommunisme of sosialisme. Alhoewel laasgenoemde klink soos 'n beter en meer morele ideale, ten minste in beginsel, dit nooit gedoen het nie die pan uit die manier.

Korporatisme is nie so goed bekend as die kapitalisme. Ten minste, Ek het nie geweet dat so 'n woord bestaan. Maar die oomblik toe ek dit hoor, Ek kon raai wat dit beteken. Dit dui op die eindproduk van ongebreidelde kapitalisme, een met geen regering beheer, of selfs morele hangups. In my mening, dit gebeur op hierdie manier — Sodra jy het 'n private eienaarskap, sommige mense ryker as die res. Daar is niks verkeerd met wat; in die feit dat, dit is 'n wiskundige sekerheid. Maar dan, geld gee daardie gelukkige ouens meer krag, en toegang tot maniere waarop hulle kan meer geld maak. Byvoorbeeld, hulle kan die politieke stelsel beïnvloed, en deur dit die fiskale en belasting beleid. Ook, private eienaarskap kan saam gepoel word om ekonomiese organismes wat hulself kan onderhou te vorm. Hierdie organismes is, natuurlik, korporatiewe liggame. Hulle oefen krag deur middel van hul kollektiewe welvaart tot 'n selfs groter mate as die goeie ou kapitaliste.

'N Vreemde ding gebeur wanneer kapitaliste (eenvoudige ryk mense, dit is) kry die kantlyn deur korporasies. Die geld en mag te raak geskei in 'n vreemde manier. Die raadslede en CEOs wat die korporatiewe liggame beheer eindig wielding krag, in plaas van die eienaars. Hulle is toevertrou met die taak van die bewaking en die groei van die hoofstad. Hulle vind roman strategieë om dit te doen, soos die neem voordeel van belasting skuiwergate en belasting paradijzen, en betrokke te raak in onsmaaklike sakepraktyke (soos die vermenging van enige damn wit poeier met baba kos, byvoorbeeld). So lank as hulle daarin slaag om hul mandaat van die groei van die hoofstad, dit lyk asof hulle om hulself te onthef van die morele implikasies van hul optrede. Vir hul dienste, hulle betaal hulself mooi belonings. Let daarop dat die corporatists (die operateurs) betaal hulself; dit is nie asof die kapitaliste (die eienaars) betaal hulle, Waarin lê die skeiding van mag en geld.

Wanneer jy bring in die finansiële stelsel wie se primêre funksie is kapitaal bestuur, die skeiding van mag, geld en moraliteit neem op 'n nuwe dimensie. So banke, met geen intrinsieke ekonomiese waarde van hul eie, draai uit tot wees te groot om te misluk, en die stelsel herrangskik self in so 'n manier dat selfs wanneer hulle nie misluk, dit is die mense verste verwyder van krag en geld is die mense wat betaal vir dit. Die hoë-vlieënde bankiers en senior bestuurders kry goue valskerms, want hulle het beide krag en geld. Die trickle-down ekonomie in die vooruitsig gestel in suiwer kapitalisme ('n optimistiese visie om te begin met) trickles slegs deur kanale getrek deur die korporatiewe heersers.

Hierdie onregverdige trickles het ons nie pla (die middelklas) vir 'n lang tyd, want hulle is nie almal kabbelen weg van ons. Nou dat hulle het begin om te, ons begin om op en protes sit. Ek het simpatie met my Amerikaanse kliënt. Nou dat die corporatists is na ons klein trickles, ons haat korporatisme.

Handel Inception

Die ontstaan ​​gebeure van 'n bedryf kan in twee kategorieë geklassifiseer word. Die pre-handel aktiwiteite is dié wat moet plaasvind, selfs voor die eerste handel is bespreek. Die per-handel ontstaan ​​aktiwiteite is die mense wat spesifiek op elke handel.

Pre-trade activities

Die pre-handel aktiwiteite is verwant aan 'n nuwe produk op die weiering en goedkeuring. Soos ons gesien het, in-huis handel platforms is ontwerp om rats en reageer wees. In beginsel, dit moet bietjie tyd neem om 'n nuwe produk te wees op-boord. Die laaste stelsel het ek gewerk aan, byvoorbeeld, is ontwerp om 'n nuwe produk idee om te sit in 'n kwessie van minute. Maar die argitekte van sulke stelsels is geneig om die menslike te vergeet, proses-verwante en beheer elemente wat betrokke is by dit. As die skyfie hierbo illustreer, 'n nuwe produk idee of 'n nuwe prysmodel is afkomstig van die werk van 'n model of 'n quant structurer in Front Office. Maar voordat dit op enige plek naby 'n produksie-stelsel, die prys model moet bekragtig word, tipies deur die analytics span in die Midde-Office risikobestuur groep. Sodra bekragtig, die produk gaan deur 'n kronkelende goedkeuring proses wat weke of maande neem, en dan 'n formele verbintenis proses, wat weer weke of maande neem. Wanneer die proses voltooi is, Die produk is beskikbaar vir die handel in die handel platform.

Sodra beskikbaar, die produk kan aangehaal word as 'n bedryf. Elke handel byvoorbeeld gaan deur sy eie validering en goedkeuring-proses. Die vakbond versoek mag ontstaan ​​uit die verkope of strukturering span in Front Office. Hulle sal ook voorberei om die term vel en ander regsdokumente. Sodra hierdie take voltooi, 'n handelsmerk is bespreek in die handel platform.

Per-trade process

Hierdie ontstaan ​​gebeure uitgebeeld in die tweede skyfie bo. Een van die belangrike stappe in die goedkeuring-proses is die kredietbeheer. Soos ons vroeër beskryf, die krediet risikobestuur span maak gebruik van 'n verskeidenheid van gereedskap om die risiko's te evalueer. Met hul goedkeuring, en met die handelaars begrip van die mark prys van die produk, 'n produk beskikbaar in die handel platform word 'n handel in die databasis. En die lifecycling pret begin.

Lewe van 'n Handel

Met die laaste plasing,,en,ons het die einde van die tweede afdeling bereik oor die statiese struktuur van die bank wat betrokke is by handelsaktiwiteite,,en,Maar 'n handel op sigself is 'n dinamiese entiteit,,en,In hierdie derde afdeling,,en,ons sal kyk na die evolusie van 'n handel,,en,en kyk hoe dit heen en weer vloei tussen die verskillende sake-eenhede wat ons in die laaste afdeling beskryf het,,en,Ons sal hierdie afdeling en die volgende in 'n nuwe reeks poste maak, want die eerste reeks,,en,het 'n bietjie te lank geword,,en,Handel lewensiklus,,en,Soos met die meeste dinamiese entiteite,,en,ambagte het ook die drie lewensiklus stadiums van aanvang,,en,bestaan ​​en beëindiging,,en,Wat ons duidelik moet verstaan, is wat die prosesse rondom hierdie algemene stadiums is,,en,Wat is die sake-eenhede by elk van hierdie stadiums betrokke,,en,Wat doen hulle,,en,En hoe doen hulle dit,,en, 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 (op Hoe kan 'n Bank Werk?) 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

Ons sal dit vanuit ons perspektief sien,,en,Die lewensiklus-interaksies word almal bemiddel deur die handelsplatform,,en,Dit is nie so baie nie, want alles is binne die handelsplatform,,en,maar omdat ons net belangstel in die beperkte stel prosesse wat is,,en,In een of ander sin,,en,Die laaste gedeelte was oor die fisiese,,en,ruimtelike beskrywing van die bank,,en,en hierdie gedeelte gaan oor die temporale evolusie en dinamika van hoe dinge op daardie struktuur werk,,en, 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.

Opsomming – Structure of a Bank

Ons het nou ons gesprek oor die algemene struktuur van 'n tipiese beleggingsbank handel arm. Ons het deur die Front-Midde-Back Office afdelings en die funksionele en sake-eenhede wat binne. Let daarop dat ons net kyk na die eenhede wat 'n invloed het op die handel en kwantitatiewe ontwikkeling aktiwiteite. Let ook op dat hierdie struktuur is vloeistof en geïmplementeer kan word met verskillende name en hiërargieë in verskillende banke, afhangende van hul korporatiewe strategieë en fokus. Ons het die verhandelingsplatform as die enabler of agtergrond van die meeste van hierdie aktiwiteite van die globale tesourie (waar eksotiese handelsaktiwiteite plaasvind) en die gepaardgaande sake-eenhede (wat verskeie aspekte van die handel workflow te hanteer) hoofsaaklik omdat ons is op soek na die hele ding van die kwantitatiewe ontwikkelingsperspektief.

Back Office and Finance

From this perspective, sien jy die verhandelingsplatform as die belangrikste instrument (of versameling van gereedskap) in die bank. Dit bemiddel byna al die interaksies tussen die verskillende sake-eenhede. Verder, soos ons sal sien in die toekoms poste, die verhandelingsplatform definieer die handel workflow en bestuur lewensiklus. Daarom, Dit sal ook belangrik wees vir die kwantitatiewe ontwikkelaars om te verstaan ​​hoe hierdie sake-eenhede te besigtig ambagte en die handel bespreking en bestuursproses. Hulle handel perspektiewe sal die ontwerp van die verhandelingsplatform beïnvloed.

Agterkantoor, Finansies et al

From the quant and quantitative development perspective, Back Office is a distant entity. Their role is vital in the trade lifecycle, as we shall see later, but they are outside the sphere of influence of the quants and developers.

Back Office and Finance

Back Office concerns itself mainly with trade settlements and accounting. Upon maturity, each trade generates a settlement trigger usually with the help of a vended trading or settlement platform, which will be picked up and acted upon by the Back Office professionals. They also take care of cash and collateral management.

Finance functions are closely related to Back Office operations. Among a host of accounting related operations, they have one critically important task, which is to produce annual reports. These reports get publicly scrutinized and determine everything from the stock price to performance bonuses, salary levels etc. Finance professionals may require quant and analytic help for certain tasks. In one of my previous roles, I was asked to estimate the fair market value of the employee stock options (ESOP) for the purpose of accounting for them in the annual reports.

The process of pricing ESOP is similar to (although a bit more complicated than) normal call option pricing. Among other things, you need the volatility of the underlying stock in order to calculate the price. I used the standard exponentially weighted moving average method to estimate it from the published stock prices over the previous two years or so to compute it because that was all the data I had access to. Before that time, there was some corporate action and stock ticker name had changed (or did not exist, I don’t remember which). In elk geval, I knew that the impact of adding more data prior to that date would be negligible because of the exponentially diminishing weights; it would be much less that the round off error in quoting the price to four decimal places, byvoorbeeld. But the accountant who was asked to look at the computation was upset. She came to me with her rulebook and referred me to page 57, paragraph 2, where it was specified that I was supposed to use ten years for the EWMA computation. Ek het probeer om, slegs, to explain to her that I couldn’t. She kept saying, “Ja, but page 57, para 2….” I went on to explain why it didn’t really make any difference. Sy het gesê, “Ja, but page 57, para 2….”

Accountants and Finance professionals can be that way. They can be a bit “technical” about such things. In hindsight, I guess I was being naive. I could have just used a series of zeros to back-populate the missing eight years of data (na al, if the ticker price was not quoted, it is zero), and redone my ESOP valuation, which would have given an ESOP price identical to what I computed earlier, but this time satisfying both Finance and the quants.

IT and other support

A team which quantitative developers work closely with is Information Technology. They are charged with the IT infrastructure, security, networking, procurement, licensing and everything else related to computing. In werklikheid, quantitative development is, as I portrayed it earlier, a middle layer between IT and pure mathematical work. So it is possible for quantitative developers to find themselves under the IT hierarchy, although it doesn’t work to their advantage. Information Technology is a cost center, as are all other Middle and Back Office functions, while Front Office units connected to trading are profit centers. Profit generators get compensated far better than others, and it is better to be associated with them than IT.

Tariewe en Waardasie

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 traderscompensation is tied to the profit they generate, this process of assigning reserves against profit is essential in ensuring equitable performance rewards.

Mark Risikobestuur en Analytics

If you play in the market, you run the risk that it may move against you. This risk is, natuurlik, market risk and we have a Middle Office team to manage it. Market Risk Management (MRM) ensures that the risk limits on the volumes and types of products traded are set in accordance with the risk appetite prescribed by the senior management. It also ensures, through regular processing and monitoring, that these limits are adhered to.

MRM

What is monitored are risk measures such as the Greeks and Value at Risk (VaR). The Greeks are the first and second order derivatives of the price of a security with respect to various market variables such as the price of the underlying, interest rates, volatility as well as trade specific entities like the time to maturity. The VaR is a statistical end point measure estimating the amount of loss at a given confidence level in the case of an adverse market movements, and is typically computed using the historical market movements over the past year or so. These risk measures are aggregated, sliced and diced in various ways to make it easy to monitor them, and reported to senior management, risk control committees, trading desks etc. The MRM team is also responsible for reporting to regulatory agencies, both in the form of regular compliance reports as well as ad hoc reports in response to drastic market moves.

Quants can find opportunities in the Analytics team embedded within MRM. This team is in charge of pricing model validation, which is the process of ensuring that the mathematical models deployed in trading systems and other valuations engines are both appropriate and correctly implemented. There is a significant overlap between the work that MRM analytics quants do and their Front Office counter parts (whom we called pricing or model quants). The Analytics team also takes care of any other quantitative tools needed in MRM or risk management in general. Such tools could include potential future exposures (PFE) for credit risk management, liquidity modelling for Assets and Liability (AML) ens.

Credit Risk Management

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. Met ander woorde, 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, Aan die ander kant, 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.