Arbitrary conviscation is a good thing

OK, maybe that is a little provocative. But here’s the reasoning. Any effective special resolution regime for banks has to intervene early. That means sometimes seizing banks (particularly too big to fail banks) which are well capitalised and liquid because the supervisor thinks that it is better for the system to act now than to […]

Is it a bird? Is it a plane?

A frequent correspondent pointed me in the direction of the recent IATA air passenger and freight statistics. They give a useful counterpoint to the Baltic Dry Index. Freight first: You can probably guess what Passenger looks like, given BA’s results: My guess is that the freight index is a more useful guide to global trade […]

Tucking in

Bank of England’s Deputy Governor Paul Tucker gave a speech yesterday which FT alphaville picked up. He is surprised by something that doesn’t shock me in the least: …it would be good if regulators, internationally, required all banks regularly to turn over a meaningful share of their ’stock liquidity’ in the market on a reasonably […]

Too big to succeed

As I write this, Manchester United are on the verge of their champion’s league final with Barcelona. I’m cheering for Barca, but I have to admit that Man U are a success. They are one of Europe’s great teams, for now at least. Let’s compare them with RBS. If Man U screw up – say […]

Let’s get all of those worries about inflation in perspective

Hat tip the Guardian data blog. Update. Krugman’s take is here. The one line summary: does the big inflation scare make any sense? Basically, no.

The real expenses scandal

I get the sense that if I ever met George Monbiot, I’d dislike him. He often comes over as ignorant and opinionated. He’s angry a lot of the time too. But none of this makes him wrong. And in yesterday’s Guardian he was spectacularly right about PFI. PFI allows consortiums of banks, construction and service […]

The psychogeography of investment banking

I will ignore for a moment the fact that Epicurian Dealmaker does not make very accurate use of the term `psychogeography’ (see Mind Invaders for a reasonable if amusingly partial introduction), and answer his question. First he quotes Tolstoy, the important part being A Russian is self-assured just because he knows nothing and does not […]

The flight to simplicity

Rick Bookstaber has an interesting if flawed post on the neue sachlickeit in derivatives: Assume we get to the point of standardized swaps and derivatives instruments that are exchange traded and backed by a clearing corporation. These instruments will create a high hurdle for any non-standard OTC product a bank wants to put into the […]

Pounds per pixel

I had cause recently to muse on the rather variable cost of a pixel. It’s like this. Pentax has a new digital camera out. It’s called the K-7, it is apparently quite nice, and the body will cost roughly £1,200. It will produce images with 15 million pixels. This is fairly typical for a good […]

Rebuilding

There is a lot of comment around at the moment about how broken finance is: here, for instance, is a piece by Pablo Triana. And certainly there are many, many issues that we have no idea how to deal with in practice, including fat tails, autocorrelation, correlation smiles, and hidden systematic risks. These phenomena challenge […]

Anish Does Brighton

A few shots of the Anish Kapoor installations at the Brighton Festival.

Data audialisation

Via Alea, ten years worth of stock price as an audio file. Isn’t that nice? More details here.

Goat backed securities

And other goat derivatives. I’m not joking. The BBC is, though. (This link may not work if you are outside the UK – I’m not entirely sure, but my apologies if it doesn’t.)

Homonym corner

Many years ago, my research work was in concurrency theory. Therefore it was a bit of a surprise to find the Guardian asking Is concurrency to blame for spread of HIV in Africa? Fortunately it turns out to be a different sort of concurrency. It was a nasty moment, though. Any donations of strong spirits […]

Hoicked from the comments

In a comment on the non-classical cost benefit analysis post of a few days ago (a title, I think you will agree, of gigantic pretention), Dave said: I agree with your conclusions: that uncertainty and moral hazard can make CBA unreliable and sometimes it is better to rely on qualitative objectives. But I disagree with […]

80/20 derivatives

In the FT, Aline van Duyn comments on the Geithner derivatives reforms: In Mr Geithner’s vision, banks, investors and companies that use derivatives will have to register their activity. In this way, regulators will be able to see the whole picture of risk that has been built up in the financial system. These players in […]

The pain in Spain…

…as the FT says, will be felt mostly by the banksWhat is interesting about this is how vintage insensitive it is. In the US, there is a world of difference between the 2005s and the 2007s: in Spain, not so much. Update. Downgrades loom for the Spanish banks as an interest diversion test is tripped […]

Sound words on defence spending

Lewis Page writes sharply and well on defence procurement. He’s a sample: defence manufacture brings us a measly billion or two in exports each year – and our arms industry requires the great bulk of the £15Bn defence materiel budget in spending to win us this rather paltry amount of trade. Put that way, the […]

Non-classical Cost Benefit Analysis

Remember Schroedinger’s cat? Poor moggy is trapped in a box with a radio active isotope. The isotope decays randomly. Let’s say that there is half a chance of detecting a beta particle using a detector inside the box during some time interval. If the particle is detected, then poison gas is released and the cat […]

Monoline death watch, day 1000

(The fate of the monolines was sealed by the risk they wrote in 2005-2007, so day 1000 is if anything conservative – it takes insurers a long time to die thanks to their accounting and the pay as you go nature of the claims against them.) In a move so predictable it hardly raises a […]