In Do I Remember? I summarized remarkable experiences of 2012 of which our event celebrating 11years of UnRisk were one of the most insightful.
6-Nov-12, for a couple of intense hours, we brought together favorite speakers to share their stories, inspiration and innovation. It was a phenomenal mix. At the event I thought: "There is no one here I do not want to meet". Yet we do not want to limit the impact of the talks to the delegates in the room. The slides are available here and curated videos will be made available soon.
But I want to include a flavor of the event in a summary:
The speakers covered most of the things that are driven by regulatory and business requirements. Financial institutions must take leading positions in technology, implementing new sophisticated features, automated analytics solutions, transparency, on-demand usage, improving understandability and insight, being wide accessible, ...
Because they represented different market participants - seller, buyer, consultant, service organization, risk manager/controller, technology provider, researcher - it became so clear:
The mathematical-finance difference matters, multi-model-multi-mehod approaches are indispensable, single instruments might become less complex but as part of "smart" portfolios they may get more complexity (to be materialized as price), gain insight by portfolio across scenario analytics needs enormous throughput, agile user interfaces empower new ways of explaining financial concepts, ... this all will be supported by new computing muscles, inherently parallel algorithms, cloud computing, advances web services, apps, non-traditional data types, domain specific programming and smart mobile devices. Technology will become an enabler, but we need to utilize it intelligently.
I feel privileged to have been part of an event which bought together fantastic speakers and engaged delegates ... We have done many of the new requirements, but we will do more ...
founder of MathConsult, UnRisk makers, rector of the University of Vienna
explained what the simulation, control and risk management of complex technical systems, like blast furnaces, combustion engines, .. and structured financial deals have in common and why cross-sectoral mathematics benefits from cross-pollination. He highlighted optimized numerical schemes and the correct treatment of inverse problems in Industrial Mathematics.
This will become even more important if thinking of the new challenges when incorporating CVA/DVA bilateral and model risk into the, say, interest rate derivatives pricing.
senior financial engineer and researcher at Raiffeisen Upper Austria, Linz
examined what impact the new market regimes had on deal types. He suggested for interest rate contracts: reducing complexity to the max
Why? He emphasized the model (class) dependence and sustainable model risk. What is the use of complex models and "exotic" data, if the extra information gets lost in the model-or-method jungle?
The worst kind of pricer is the one that gives false comport on its accuracy an robustness. In a market regime with negative interest rates or strange implied volatilities Vanilla instruments become the structured products and you need to remember the normally distributed short rate models - UnRisk's multi-model pricing becomes a must.
Then he gave an outlook into the additional challenges of CVA/DVA and beyond treatment in pricing ...
head of risk management at Raiffeisen Capital Management, Vienna
emphasized on the HPC and massive data management requirements when risk analysis across a vast variety of risk factors relies on full valuations. RCM's integrated market risk analysis system utilizes a grid with 48 computational kernels of UnRisk and provides an enormous throughput.
GUILLERMO ALFARO BAU
partner director of Solventis, Barcelona
called his talk UnRisk Ole and presented the synchronization of regulatory requirements in Spain, Solventis' services and UnRisk utilization. Why they have decided to build a SaaS atop UnRisk for their broad customer base and how they stretch and expand it by the webUnRisk development tools avoiding the tight-integation trap.
CEO of Axicorda, London
emphasized on those future requirements: adaptivity of data structures, meaningful analytics, flexible architectures (against tightly coupled complex systems again), dynamic business logic and agile presentation for smart transparency for on-demand risk and hedging analytics. Axicorda builds such a SaaS for their bank, hedge fund manger and hedge fund investor customers. They receive newUnRisk core components ....
Senior consultant at Deloitte Financial Advisory, Vienna
presented ARC a SaaS atop UnRisk for risk management and reporting, taking care of client's back office needs combining Deloitte's deep knowledge in analytics, risk management and data management and UnRisk's technologies.
Advisory Innovations, Credit Suisse Private Banking, Zurich
explained on the example of their Portfolio Composer how important it is to find new ways to explain complex financial concepts to non experts. He pointed out that one challenge lies in the implementation of higher mathematics on smart devices (with limited resources). The second is the design and scripting of an intuitive front-end that explains financial concepts to clients. The set up of the profiles, knowledge&experience, preferences, structures .. is so easy and the dynamic visualization of the portfolio compositions is so insightful .. (and we calculate a lot behind - and this is possible because our mathematical solutions usually need to run in time constraints ... ). The demo was really impressive ...
clustered our success factors in three classes: a solid mathematical foundation, a flexible high performance software architecture and transparency plus service-orietation - in detail they are 11.