No, it is not that I just think about VaR of the Jungle - about placing a village in the jungle in a relative safe place and building the fences in a way that dangers inside are cleared out by, say. 99%.
I read the cover story about Thomas Heatherwick (creator of the Olympic cauldron, London bus,.. ? in the Oct-13 issue of the UK Edition of Wired.
And I think: design work and quant work and quant work has much in common.
The base line of design: things and even their configurations and interplay can become better! And this is also true for software products, platforms and systems. True for quant work. It is not so important where the innovation comes from - it is important where it goes to (Jean-Luc Godard).
A kind of a general procedure
Questions - "What happens when we modify features of a deal type?", "What if the theoretical price of a deal type is significantly different, when different modes are applied?", "How do different models and different solvers react to different market regimes?" "What do different VaR methodologies and VaR calculations tell us?", "How can we integrate exposure modeling into pricing as well as risk management?" ... finding questions guide us towards ideas.
Frog and Bird Views - iteratively zoom in and analyze the concrete pricing detail and zoom out and see results in the context of market behavior and risk profiles.
Elimination - don't forget to eliminate features and capabilities that will knowingly lead you to unclear outcome. If you have eliminated too much you will find a better way ...
Make - the concrete implementation is a a way to do practical analysis and verification. If you have great building blocks the final solution will be result of an evolutionary approach.
We at UnRisk want to provide quants building blocks and bank proof function complexes, callable from a declarative, financial programming language. Freeing quants from plumbing fundamental objects, functions and utilities. Enabling quant master builders to make their individual innovations swiftly.
Picture from sehfelder
