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Tag Archives: data

Research Summary: Prime Brokerage, Margin, Collateral and Data

This summary is based on research conducted between February and March 2021 with 20 banks looking at current trends and priorities for Prime Brokers in the Margin, Collateral and Data areas.

September 15, 2021
Data quality

Data Quality – Portfolio and Risk Data: Why It’s So Hard To Do It Right

If you have ever thought, “maybe we should collect and store our own data, so that we can have control over it,” or you think that all risk platforms are basically the same when it comes to data, we offer a look behind the scenes at what is involved in building and maintaining comprehensive datasets.

May 24, 2021

Round Table Summary: Prime Brokerage, Margin, Collateral and Data

Offering valuable insight into the priorities and challenges facing prime brokers, broker dealers and clearers, this report is a summary of the discussion during the Margin, Collateral and Data Round Table, sponsored by TS Imagine on Thursday 25th March 2021.

April 29, 2021

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.

January 19, 2021

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.

December 7, 2020

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.

May 8, 2020

Past Rolling Hills to Smoother Pastures

How to eliminate the distortion effect of rolling futures contracts on continuity time series returns.

April 27, 2020