Insights
Quant
Limitations of HVaR:
When the Future No Longer Looks Like the Past
HVaR assumes that present market dynamics are captured in past behavior so what should we do when the world changes? Since Russia's invasion of Ukraine, commodity markets have entered new trading patterns and Lance Smith, TS Imagine Chief Strategy Officer explains some of the tools that can be used to help HVaR without disturbing other risk factors.
Zeal Asset Management selects TS Imagine for real-time portfolio and risk management for quantitative investment strategy
TS Imagine, a leader in trading, portfolio and risk management solutions for capital markets, has been selected by Zeal Asset Management, as the platform to run their quantitative investment strategy.
Managing Margin (Part 3) – The Importance of Transparency
Broker-dealers understand the importance of producing accurate margin calculations for their clients’ accounts, but they need to know more than just how much margin each client must post; they need to know why the margin system came up with a given result.
The Angle of Coincidence
In times of stress in the markets, not only does volatility increase for individual assets, cross-asset correlations can increase dramatically as well. This results in a “double whammy” for a typical portfolio because the portfolio’s volatility increases due to both effects.
Managing Margin (Part 2) – Drowning in Data, Sinking in the Support Effort
Those responsible for maintaining a margin system often feel that they are drowning in data management issues. In part two of this series we discuss ways to make margin calculations far more efficient and meet the firm’s need for answers in real-time.
WEBINAR: AIMA APAC Fund Manager Briefing
In this session, we will explore the topic of Hedge Fund compliance and explain how hedge fund managers can ensure complete compliance with regulations while achieving full optimization of their portfolios.
Managing Margin (Part I) – Five Key Challenges from a System-Wide View
Computing, optimizing and monitoring real-time margin requirements across a multitude of instruments and customer accounts is a Herculean task. In this article, TS Imagine discusses the key challenges in this arena and will dive deeper into the specifics of solving its challenges.
US Fintech Adds Structured Products to Asset Class Coverage
Global cloud-based portfolio, risk and margin solutions provider TS Imagine has announced the expansion of its asset class offering to structured product issuers and traders.
TS Imagine Expands Asset-Class Coverage and Delivers Cloud-Based Solution for Structured Products
New models and workflows support structured products combined with cost and operational efficiencies of TS Imagine’s cloud-based solution.
The Lognormal Bridge
This note discusses the use of a “lognormal bridge” to estimate interest rate statistics and to calculate HVAR.
Calculating Risk Under Market Uncertainty:
There is No Right Answer
When newcomers to the field of quantitative finance are assigned the task of writing up an analysis, they will often show numbers using five, six or even more digits to the right of the decimal point. This may be driven by the part of the brain that craves precision and exactness. Given the unstable nature of financial data, does that mean it is a fool’s errand to try to estimate risk?
TS Imagine’s Response to Negative Oil Prices
It was a historic moment to be remembered when crude oil plunged into negative price territory on Monday 20th April 2020. TS Imagine’s Data, Technical, Development and Professional Services teams stood ready to assist users in ensuring they continued to correctly calculate risk metrics across commodity trading books. While negative prices are not a new thing in financial markets, it was the first time for crude oil to exhibit such behaviour. Standard pricing models (Black Scholes) for commodity future options are not designed to handle negative underlying prices. As such, TS Imagine applied an ‘early roll’ of the front month contract of May crude to the June expiry as the negative settle price was confirmed.
Past Rolling Hills to Smoother Pastures
How to eliminate the distortion effect of rolling futures contracts on continuity time series returns.
Hedgeweek voted TS Imagine as the “Best Risk Management Software Firm”
The readers of Hedgeweek voted TS Imagine as the “Best Risk Management Software Firm” for the second consecutive year at the 8th annual awards ceremony held in New York City.
Imagining the Impact of a Hard Landing in China
As China confronts numerous internal and external challenges from slowing economic growth, disruption in Hong Kong and a volatile trade conflict with the United States, it may be prudent to assess and understand the risk a hard landing for the Chinese economy may pose to your portfolio.
FIA 2019 Expo in Chicago – Booth 1008
TS Imagine is exhibiting at the 35th FIA Expo. Our team will be demonstrating the Real-Time Risk & Compliance (RRC) solution, our Margin Engine that enables users to computer their own margin – and a host of advanced risk management tools. Build an app with us in booth 1008.
TS Imagine Wins Asia Risk Award for Best Buy-Side Market Risk Management Product
The Asia Risk awards are the longest-running and most prestigious awards for firms and individuals involved in Asia's derivatives markets and in risk management.
Pricing Rainbow Options
Responding to growing client interest, this post highlights the use of TS Imagine’s Monte Carlo Generator to price multi-asset best-of/worst-of options (aka Rainbow Options).
TS Imagine Wins for Best Portfolio Analytics System in 2019 Bobsguide Awards
TS Imagine took top honors for “Best Portfolio Analytics System” in the Bobsguide Technology Awards 2019.
TS Imagine Wins WatersTech Sell-Side Award for Best Analytics
Data is the new oil, according to Waters Technology, and the lifeblood of any sell-side firm. "Enter TS Imagine, which wins this year's Sell-Side Technology Award in the analytics category for it's Real-Time Risk & Compliance (RRC) product, " writes James Rundle on waterstechnology.com.
TS Imagine Wins for Best Sell-Side Analytics Product
TS Imagine took top honors for “Best-Sell Side Analytics Product” in the Waters Technology Sell-Side Awards, announced in London on April 11, 2019.
TS Imagine Best Risk Management Software Developer
Acquisition International magazine announced TS Imagine’s win for “Best Risk Management Software Developer” in the 2019 Hedge Fund Awards.
HFJ Winner: Best Real-Time Portfolio, Risk and Regulatory Solutions Award
TS Imagine has again captured the “Best Real-Time Portfolio, Risk and Regulatory Solutions Award” from The Hedge Fund Journal.
TS Imagine Captures Two Trailblazer Honors in the 2018 US Technology Elite Awards
TS Imagine Captures Two Trailblazer Honors in the 2018 US Technology Elite Awards and was named as Best Risk & Regulatory Solutions Platform of the Year 2018 and Best Institutional Portfolio Management firm by US Business News.
(VIDEO) TS Imagine’s Real-Time Risk & Compliance (RRC) Solution
What if you could actively manage risk on hundreds of thousands of positions, thousands of accounts, and millions of trades per day in real-time?
