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Category Archives: Insights

Angle of Coincidence

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.

February 8, 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, Imagine discusses the key challenges in this arena and will dive deeper into the specifics of solving its challenges.

December 7, 2020
Altair and Imagine Software

ALTAIR PANOPTICON™ & IMAGINE – A Compelling Combination

Steven Harrison, President of Imagine Software, and Bruce Zulu, Director of Technical Support Services for the Business Intelligence division at Panopticon’s parent company, Altair, explain the collaboration and how it benefits clients.

November 9, 2020

How a Stressful Election Could Stress Your Portfolios

Most market observers agree that the many uncertainties swirling around the US Presidential election are likely to generate volatility in the US equity market that could last well beyond November 3rd.

October 16, 2020
Thinking about building a volatility surface? Think again.

Thinking about Building a Volatility Surface? Think Again

At first glance, constructing a volatility surface looks like a straightforward exercise – a closer look reveals there is a great deal more to consider.

September 14, 2020
The lognormal bridge

The Lognormal Bridge

This note discusses the use of a “lognormal bridge” to estimate interest rate statistics and to calculate HVAR.

July 20, 2020
Calculating Risk

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?

July 13, 2020
Volatility Ahead

Risk Monitoring Through Turbulent Markets

Markets change frequently and often erratically, presenting risk managers, asset managers, and investors with enormous uncertainty. Given the market volatility in recent months, it is especially important to monitor real-time risks and to test a portfolio’s resilience under future possible market fluctuations.

June 15, 2020

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. 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, 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

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