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cordura21


Total Posts: 234
Joined: Aug 2009
 
Posted: 2018-06-25 14:26
Hey guys.
What is the chance that they were doing an overseas strategy, with a risk offset in Europe?
What other cause can you think about?
A bad VaR model has too be too bad to be off by that magnitude.
Cheers, Cord

Vespertilio homo est cientificus

chiral3
Founding Member

Total Posts: 5060
Joined: Mar 2004
 
Posted: 2018-06-25 20:22
My guess is their US numbers move around a bunch. They have a big exotics book. The actual breach is unknown; it could have been a wildly different multiple for that day. That being said, the place is a shitshow. I can’t imagine how the news coming out gets any better, at least for the US business. Being on the buyside I am personally tired of having to perform reviews. Last year the legal issues were rather contained and accounted for. It just doesn’t seem to end, though.

Nonius is Satoshi Nakamoto. 物の哀れ

NeroTulip


Total Posts: 1013
Joined: May 2004
 
Posted: 2018-06-26 10:35
It's turtles all the way down to Pandora's box, every day, at DB!

"Earth: some bacteria and basic life forms, no sign of intelligent life" (Message from a type III civilization probe sent to the solar system circa 2016)

cordura21


Total Posts: 234
Joined: Aug 2009
 
Posted: 2018-06-26 14:58
"Being on the buyside I am personally tired of having to perform reviews"

It's difficult and makes you lose you focus. But if you decide to do it, can you really pull out a useful analysis and reach any valid conclusion? With what info?

Vespertilio homo est cientificus

day1pnl


Total Posts: 41
Joined: Jun 2017
 
Posted: 2018-07-05 22:37
>My guess is their US numbers move around a bunch. They have a big exotics book

In Europe they only do vanilla up to kind of light exotics is my impression.. So legacy I guess? But even if it's legacy, a 10y trade initiated 2008 is matured by now.

Not trying to question correctness of your statement, but coming from a credit world I'm curious as to how the book can still be "that big" - is it long dated rates stuff from back in the day?
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