A Pocketful of Experiences

it was a year of tough lessons and, as Dan Tudball writes in his Editor's Letter, Wilmott magazine Nov-09, getting back on the old horse for some ...

Not for us. In Disrupt or Reinvent Ourselves I wrote about our transformation to a know-how packages deliverer.

Looking back might be a luxury, but ....

This Days in UnRisk

• 05-Feb-09 UnRisk PRICING ENGINE went parallel
• 15-Feb-09 UnRisk FACTORY 1.3 released
• 08-Oct-09 Risky Horror Show in London
• 27-Oct-09 UnRisk PRICING ENGINE 4 parallel in Excel
• 08-Nov-09 UnRisk FACTORY 2 - 20+ computation kernels
• 25-Nov-09 UnRisk Academy launched.
• 26-Nov-09 New 15 days Methods & Model Risk Course
• 18-Dec-09 Methods & Model Risk Course starts at a bank

give a picture of our new policy.

Learned from closing the two-sided feed back loops with our customers:

Test deal-type-across-model-valuation scenarios. Risk profiles differ significantly, no explanation? Stay away.

Test valuation scenarios with increasing model complexity. Parameter sets begin to behave randomly. Is a simpler model enough? Does the fragility lie in the structure? Be very careful.

But there are many other things to test valuation effectiveness.

Easier said than done? Not if you know. We let our customers know.