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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.
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.
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).
Fixed Income: IR Hedging Matrix & Portfolio Analytics
TS Imagine’s interactive interest rate hedging tool, the IR Hedging Matrix, enables users to evaluate interest rate risks associated with any portfolio, book, or ledger, and returns the number of hedge contracts needed to hedge the interest rate risk.
Analyzing Exposures to Bitcoin in Real-Time
Recently, the price of bitcoin has reached a record high—increasing by more than 500% since early this year. Due to its decentralized nature and the popularity of block chain technology, there are those who see a bright future for cryptocurrency.
Dashboards: Power Within Reach
The sheer volume of data that Portfolio and Risk Managers must navigate throughout the day has grown tremendously as strategies have become more complex and the regulations more demanding. Every wasted click, sort, or search for the relevant data they need is a potential opportunity lost.
Election Follow-up: Probability-Weighting Forecasts
The result of the United States presidential election last week delivered more than just a surprising new Commander in Chief--the markets surprised, too. Initial reactions to the news that Donald Trump was the likely winner at approximately 1:00 EST shocked markets and crushed risk appetite – much as many had expected.
Trump vs Clinton: Election Scenario Analysis
Months after the UK’s vote to leave the EU (Brexit), prices in risk assets are still swaying from one Article 50 headline to the next. In the US, November 8 presents a similar risk management challenge to market participants because of the outcome of the long-awaited and heavily-contested US Presidential Election.
Business Intelligence Internship – Summer 2016
As part of our continuing effort to foster excellence in our product offerings, we host a demanding, ongoing internship program for college students. We’ve offered internships for more than a decade, but this season’s effort was different, as it focused on combining modern business intelligence tools with our own risk analytic platforms and APIs to develop financial dashboards and reporting tools for the investment community.
