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Thu Dec 4

• Model Release Primer
• Let's be smart about patching databases | Zero Day | ZDNet.com
• Synthetic CDOs, Ratings, And Super Senior Tranches: Part 1 " Derivative Dribble
• Brad Setser: Follow the Money " Blog Archive " China is starting to sound like a normal creditor country
• What's a Super-Senior Tranche? - Finance Blog - Felix Salmon - Market Movers - Portfolio.com: Although the bank used CDS in the process which ended up with these super-senior tranches, it's not the CDS themselves which blew up. Remember that the bank had a lot of CDOs on its books, and CDS helped protect the bank from a lot of the losses of those CDOs. Just not all of them. And if you underwrite hundreds of billions of dollars' worth of CDOs, the "unfunded " portion of those CDOs can become enormous on an absolute level. CDS, like any derivative, are a zero-sum game: they don't cause losses themselves. The super-senior losses come from the subprime mortgages not the CDS. But without the technology of CDS, banks would never have been able to retain those exposures while thinking that they had divested themselves of all the risk. No regulation of CDS would've solved the problem, which had nothing to do with CDS, and evrythg to do with banks' risk models. The CDS worked. The investors w higher-risk tranches of the synth CDOs have been wiped out - banks have taken all their money.
• Bronte Capital: The bull in the china shop: Press reports indicate that Geithner wants her gone. Geithner is no political hack wanting to get rid of the Republican. He just wants to get rid of the dangerous and irresponsible bull in the china shop. Some press indications are that Sheila Bair will be hard to remove. She is a statutory appointment after all ? and her position will survive a change in government. And if she puts up a fight she will be even more destabilising. A change in administration is the perfect opportunity for Sheila to resign. Then she can do it without disgrace. But my contention is that every day Sheila is in the position is another day added to the end of the financial crisis. She, more than anyone, makes it clear that intermediate funding in banks is insecure ? and fixing that perception is the first and most important thing needed to make this crisis go away.
• Financial Foresight | Next Generation Compliance Reporting | Insurance |: As the need to identify and prioritize material compliance risks becomes increasingly critical to audit committees, senior management and rating agency discussions, insurance companies are moving from rules-based to risk-based compliance programs in an effort to more effectively measure and monitor the significant risks across the organization. ?The migration from rules-based to risk-based compliance programs is about providing risk intelligence, not just data,? says Rebecca C. Amoroso, vice chairman and U.S. Insurance Industry Group leader with Deloitte LLP. ?The more effective programs can proactively identify the points of greatest exposure. To align compliance reporting with areas of significant risk, insurance companies need to employ a ?next generation? approach for data gathering, synthesis, metrics and reporting.? ( Deloitte LLP)
• FT.com / Markets - Algorithmic trades heighten volatility: Such ?aggressive? algorithms that are based on the most up-to-date price data ? often for just the previous hour or day on a particular stock ? have replaced models using longer term valuation methods and historical data going back 10 years or more. Sudden recent moves in prices can therefore prompt computer-based traders to quickly move into or out of a particular market. This is fuelling the sudden swings in direction and heightened volatility that have become the norm in the US equity markets in recent times. The CBOE?s Vix index of market volatility, known as Wall Street?s ?fear gauge?, hit highs of close to 90 in October and has since fallen back to about 60 but still indicates heightened levels of distress. In the past, a large proportion of algorithmic trading was accomplished using a simple model know as the Volume Weighted Average Price algorithm that uses historical data to calculate the average price at which a stock trades over a particular time period.
• Los 'superordenado res' de sobremesa, un escenario muy real | elmundo.es: Incluso las simulaciones financieras se ven aceleradas dramáticamente , hasta 149 veces, según la Universidad de Oxford. ¿Contribuirá este avance a frenar la crisis financiera mundial? Quién sabe.

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