The next time you notice something being done in Excel where you work, take a moment to question whether it’s the right tool for the job, or whether you or someone in your organisation is a tool for allowing its use. No, not my words, but from the FT’s consistently excellent Alphaville blog. The point [...] Read more
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There’s a bit of a furore going on at the moment: it turns out that a controversial paper in the debate about the after-effects of the financial crisis had some peculiarities in its data analysis. Rortybomb has a great description, and the FT’s Alphaville and Tyler Cowen have interesting comments. In summary, back in 2010 [...] Read more
Tags: Excel, modelling, reproducibility, spreadsheet errors
An article in the FT’s recent special report on Finance and Insurance started from the premise that VaR models were a significant factor in landing banks with huge losses in the wake of the collapse of the US housing market, and went on to discuss how new models are being developed to overcome some of [...] Read more
Tags: modelling problems, VaR
Ok, it’s a bit trite, but human behaviour is really important, and a good understanding of human behaviour is a goal for people in many different fields. Marketing, education and social policy all seek to influence our behaviour in different ways and for different purposes — that’s surely what the whole Nudge thing is all [...] Read more
Tags: causality, confidence, modelling, psychology
Well, some of it, anyway. There’s been quite a lot of coverage in on the web recently about Benford’s law and the Greek debt crisis. As I’m sure you remember, Benford’s law says that in lists of numbers from many real life sources of data, the leading digit isn’t uniformly distributed. In fact, around 30% [...] Read more
Tags: Benford's law, fraud, Greece, modelling, stochastic modelling, testing
A good piece in The Register about the difference between arbitrage and speculation, and how it can all go horribly wrong.
Tags: arbitrage, speculation
An interesting (if slightly tongue in cheek) piece in The Register about rogue traders. IT competence is an important transferable skill!
Tags: back office, rogue trader, trust
A very interesting column from the FT’s Andrew Hill today, arguing that risk controls and processes on their own aren’t enough. “The $2.3bn trading scandal at UBS … makes me wonder whether corporate boards have fully appreciated the risks of relying on risk managers.” “Companies that put all their trust in risk controls – human [...] Read more
Tags: redundancy