Not one Higgs

The LHC is warming up. Sighting of the Higgs boson are confidently predicted. I don’t think so. Now, I studied physics in the 80s, so I have less understanding of modern particle physics than a cave man had of a bicycle – yes, physics does move that fast – but I can smell an epicycle […]

Book of the week

Amazon talks about the long tail of publishing. Well, um, here it is. Except beetles don’t have tails of course.

UK economy contracts…

… 0.6% in last three months of 2010 but Osbourne has not yet resigned. Surely this man must now be indisputably the worst chancellor in living memory? Update. As Jonathan Hopkin points out, any accusations of Osbourne’s problems being due to Labour extravagance can neatly be refuted by looking at the data. The government spent […]

Vexed Vix

FT alphaville asks Can you trust the Vix? The answer rather depends on what you mean by ‘trust’. ‘Can you trust the price of VIX futures to provide the markets’ best estimate of what realised S&P volatility will be?’ is a different and more difficult question to ‘Can you trust the the price of VIX […]

Animal muck

Am I the only one who finds the claim that Lehman described their collateral as goat poo unbelievable? Isn’t that just too nice, too inoffensive, too measured a term for a Lehman banker to use? ‘Camel shit’: believable; ‘goat poo’: not so much.

Tainting the barrel and other inappropriate metaphors

I mentioned to a colleague yesterday that game theory is a trap for clever people interested in finance. That is, it is fascinating, it seems useful, and it’s complicated and difficult. So, often, such people waste months (or even years) learning about it before discovering that actually, despite the fact that it ought to be […]

Word of the day

Agnotology. From this Wired article, via Crooked Timber (where I was reading an excellent account of the goings on in Wisconsin. Go Dems go.)

Season appropriate scene

Collateral calls and other dilemmas

William Cohen has done a nice piece of journalism for the New York Times on Goldman’s collateral calls vs. AIG. Unfortunately it is mixed in with a good deal of opinion, unjustified assertion, and spin. Let’s try to separate out the pieces. The trades concerned was protection on various ABS written by AIG to Goldman. […]

Caja ha ha?

A reader whose knowledge of Spain and Spanish banking is much greater than mine commented regarding the previous post: [There is ] a clash of cultures – specifically those of international capital and Spanish regional banking. The conflict comes into play in the way that equity-for-debt real estate would be dealt with. In the Spanish […]

Dynamically wrong?

The Economist discusses the changing reputation of the Spanish regulatory system. Spain has a system of dynamic provisioning which required their banks to put money aside for expected losses before they started to be incurred. In many ways this is the poster child for new style banking book reserving. But did it serve Spanish banks […]

Floored CoCo

From today’s Credit Suisse Coco annoucement (they call them BCNs or buffer capital notes): The BCNs will be converted into Credit Suisse Group ordinary shares if the Group’s reported Basel III common equity Tier 1 ratio falls below 7%. The conversion price will be the higher of a floor price of USD 20 / CHF […]

Polymorphic currency

When I first learned to program, in the era of Fortran IV, types were important. Something was either a character or an integer, a real number or a matrix. It was what it was, and that was that*. Pascal was even more Victorian about keeping different things different. Years later the wonders of polymorpic languages […]

Belgian Wisdom

Offered with no further comment: (Here’s [a slightly more in focus] one in red.) Update. A reader whose google juju is better than mine points me to this page with the rather satisfying completion to the phrase: Be your own gypsy; abandon all rules and directions.

How many CCPs do we need?

Let’s take a rather crudely argued but nevertheless interesting post on Unreasonable Response, and tease out a few threads. Now, the noises about moving to exchanges seem to be dying, let unreason rule, and let’s suggest something off the wall: Move everything to a single exchange! Is this a good idea? Well, kinda. If you […]

Resolving a CCP

Trick question of the day: how do you bail out a CCP? It’s a trick question because the answer, in some jurisdictions at least, is that you can’t. Some CCPs are banks, so they can be resolved using the bank regime. But many aren’t, and often there is no special mechanism for central banks to […]


The FT (sorry, locating the link on the site is beyond me) has an interesting story in today’s funds management section on benchmarks. Basically the thesis is that cap weighted indices inflate the share of dubious companies in bubbles and hence encourage investors to buy into the boom, and a contribution-to-GDP weighted index avoids these […]

Is it over? Part 3

Look at all those non-recourse states:

Is it over? Part 2

Another updated graph: Does that mean that it is over?

Is it over? Part 1

Apologies for the back of posts recently – I have been feeling seriously under the weather. Before getting back to current material, I think it is worth seeing how some of our favourite material from the depths of the crisis has evolved. Zero Hedge has done a great job in extracting informative graphs from the […]