Some More Forward Risk Arbitrage
Submitted by Tyler Durden on 07/14/2009 - 09:03
VIX-VXV hits steepest levels in a long time. Short-term vol being driven down by dispersion traders (selling correlation), cyclical/seasonal pressures, and risk transfer. Then again all these synthetic risk measures are likely screwed up beyond belief.
$1.4 Billion In Commercial Real Estate Writedowns At Goldman Sachs
Submitted by Tyler Durden on 07/14/2009 - 08:43Developing story: from Goldman conference call.
US Sliding Into Socialism
Submitted by Tyler Durden on 07/14/2009 - 08:37Presumably this is news. Compliments of Jim DeMint and CNBC.
Dennis Kneale In Good Company
Submitted by Tyler Durden on 07/14/2009 - 08:14
Not sure if this is a compliment to Dennis, for front-running the intellectual titans over at Merrill Lynch, or to Merrill, for agreeing with DK.
Daily Highlights: 7.14.09
Submitted by Tyler Durden on 07/14/2009 - 08:10- EU launched a probe into a Belgian state subsidy.
- EU to take Austria to court for not demanding repayment of hidden subsidy linkedto bank sale.
- Geithner will aim to reassure Middle East investors.
- Retail sales for June up .6%; PPI up 1.8%, more than expected.
- Singapore’s economy grew 20% in the second quarter --first time in a year since
And Here Is Why VaR And Liquidity Risk Are Kinda A Big Deal
Submitted by Tyler Durden on 07/14/2009 - 08:01One of the least understood concepts on Wall Street - Value At Risk aka VaR. For a good practical example of what happens when it goes ballistic, see the Goldman Press Release. And for some observations on why VaR could be the latest black swan-in-waiting, as well as for a much more in depth overview of liquidity, especially as it pertains to lack of diversity, please read the attached presentation out of the Professional Risk Managers' International Association.
Goldman Blow Out Q2 Revenues On Principal Trading; VaR Hits New All Time Record: $245 MM Total VaR
Submitted by Tyler Durden on 07/14/2009 - 07:45
As if anyone expected less than one of the most ridiculous beats ever. Notable: VaR hits what looks like another record high at $245 million, higher by $5 million from the last March record. One can barely hold their breath to see the number of $100 MM+ trading days in the quarter.
The Modern Day Reverse Alchemists
Submitted by Tyler Durden on 07/14/2009 - 07:13From GATA's Adrian Douglas:
In the Middle Ages alchemists toiled in vain to transmute lead into gold. One wonders why they used such an expensive starting material, such as lead, when modern alchemists in the gold
world have succeeded in transmuting paper into gold. This article reveals the anatomy of a scam
that has been perpetrated on investors and goes a long way to explain and tie together
developments in the precious metals markets in recent years.
Loans Versus Bonds Relative Value: Week of July 2
Submitted by Tyler Durden on 07/14/2009 - 06:41
The TRW game of ping-pong continues. Otherwise, some insignificant tightening across the board.
Frontrunning: July 14
Submitted by Tyler Durden on 07/14/2009 - 06:18CDS market investigated by U.S. Justice Department (Bloomberg)
Geithner says global economy faces setbacks (Bloomberg)
Budget deficit tops $1 trillion for first time ever, set to hit $2 trillion this fall (Wells Fargo and WSJ)
German investor confidence falls (Bloomberg)
BlackRock earns at least $71 million for managing taxpayer money (Bloomberg)
Taleb On Literary Theory
Submitted by Tyler Durden on 07/14/2009 - 05:39The man who made the Black Swan a household item, provides some literary insight.
East Setauket Update: RenTec June Letter, Medallion Not Bleeding RIEF Dry, Jimbo Happy To Explain What Is Going On... To Fields Medal Recipients
Submitted by Tyler Durden on 07/14/2009 - 01:24Just when people were convinced that the ongoing SEC investigation up in Stony Brook may forever end the good old cash exuberant days, where quantum physicists and voice pattern recognitionists somehow generated billions in P&L, Jim comes out and surprises everyone with a RIEF performance of up 0.88% MTD (excluding today's trading, one imagines). Oh, and he seems to enjoy patronizing all non-quant RIEF investors.
A Random Walk Down What Is Most Definitely Not Wall Street
Submitted by Tyler Durden on 07/14/2009 - 00:53
When I did the first of my Random Walk series, I focused exclusively on the empty storefronts in Manhattan's Madison Avenue Gold Coast area. It was enlightening to many to see just how deep into the heart of the monster the CRE collapse had cut. However, unless you look at the commercial real estate apocalypse unraveling in Central and Eastern Europe you ain't seen nothing yet.
The Chinese Stock Bubble: Watch For "Critical Level Around July 17-27, 2009"
Submitted by Tyler Durden on 07/13/2009 - 23:14Expanding on Cornelius' early piece on China, here is an analysis out of some BNP quants who for one reason or another are convinced the end's in sight. For those who are forgot where they put their Ritalin, here is the punchline:
"By the very nature of the model, this result gives us two conclusions. Firstly, there exists a bubble in the Shanghai Composite Index. Secondly, it will reach a critical level around July 17-27, 2009. This will lead to a change in regime which may be a crash or a more gently bubble deflation. An extended version of this note, with a careful assessment of the confidence intervals and comparisons with the previous Chinese bubble ending in Oct. 2007, will be released soon."
The Predictability Of Irrationality
Submitted by Tyler Durden on 07/13/2009 - 22:52Another educational clip out of FORA TV, this time Dan Ariely, a professor of behavioral economics at Duke University, presents examples of cognitive illusions that help illustrate why humans make predictably irrational decisions - lately that would include purchasing stocks.
