Art of Scalability, The: Scalable Web Architecture, Processes, and Organizations for the Modern Enterprise Paperback – Illustrated, June 3 2015

April 3, 2021

I like to spend 30 minutes to look into more about the book. What I can learn quickly from others on this book. 

The Comprehensive, Proven Approach to IT Scalability–Updated with New Strategies, Technologies, and Case Studies

 

In The Art of Scalability, Second Edition, leading scalability consultants Martin L. Abbott and Michael T. Fisher cover everything you need to know to smoothly scale products and services for any requirement. This extensively revised edition reflects new technologies, strategies, and lessons, as well as new case studies from the authors’ pioneering consulting practice, AKF Partners.

 

Writing for technical and nontechnical decision-makers, Abbott and Fisher cover everything that impacts scalability, including architecture, process, people, organization, and technology. Their insights and recommendations reflect more than thirty years of experience at companies ranging from eBay to Visa, and Salesforce.com to Apple.

 

You’ll find updated strategies for structuring organizations to maximize agility and scalability, as well as new insights into the cloud (IaaS/PaaS) transition, NoSQL, DevOps, business metrics, and more. Using this guide’s tools and advice, you can systematically clear away obstacles to scalability–and achieve unprecedented IT and business performance.

 

Coverage includes

• Why scalability problems start with organizations and people, not technology, and what to do about it

• Actionable lessons from real successes and failures

• Staffing, structuring, and leading the agile, scalable organization

• Scaling processes for hyper-growth environments

• Architecting scalability: proprietary models for clarifying needs and making choices–including 15 key success principles

• Emerging technologies and challenges: data cost, datacenter planning, cloud evolution, and customer-aligned monitoring

• Measuring availability, capacity, load, and performance

Microservices Patterns by Chris Richardson

April 3, 2021

Here is the link. 

I like to take time to learn from Chris Richardson. There are 29 videos. I like to watch one by one, and also take notes. I think that it is important to learn some patterns and also the concepts related to Microservices. 

Too soon to say if there's an Archegos 'contagion': Author Rickards

 April 3, 2021

Here is the link. 

CNBC's Dom Chu talks about the potential ripple effect of the Archegos fallout with Jim Rickards, author of “The New Great Depression: Post-Pandemic Winners and Losers." For access to live and exclusive video from CNBC subscribe to CNBC PRO: https://cnb.cx/2NGeIvi​

Archegos fallout: The market is trying to figure out if we are having another Lehman moment: PMC

 April 3, 2021

Here is the link. 

Dana D’Auria, PMC Co-Chief Investment Officer of Envestnet, joins Yahoo Finance's Zack Guzman to break down how the Archegos' margin call default is affecting broader markets and investors' portfolios.

GT stock: 4 Value Stocks That Can Double in a Biden Bull Market

 

Goodyear Tire & Rubber

Another deeply discounted value stock that could double in a Biden bull market is Goodyear Tire & Rubber (NASDAQ:GT). Even after its recent surge, shares of the company can be bought for roughly 11 times forward-year earnings.

The macro catalyst for the highly cyclical Goodyear is the expected rebound in the U.S. and global economy. When U.S. and global gross domestic product are increasing, it's common to see businesses and consumers spending more. That means an expected uptick in business and personal vehicle purchases (i.e., more tires sold).

What's more, rubber future have retraced about 20% from their one-year high set in January. For Goodyear, this means lower input costs and potentially higher margins when demand for tires really picks up. 

Wall Street also seems pleased with the company's $2.8 billion cash-and-stock deal to buy rival Cooper Tire & Rubber. Combining these two companies will enhance Goodyear's leading U.S. market share, broaden its product portfolio in the high-margin light truck and SUV segments, nearly double its presence in the fast-growing China tire market, and lead to an estimated $165 million in cost-savings over the next two years. Suffice it to say, Goodyear could be burning rubber for its shareholders for years to come. 

Stock derivative | 股票衍生品

 金融衍生品

什么东西是金融衍生品？

xuangeye520

回答

好评回答

•   互换 swap。亦作：掉期；互换交易；掉汇。名。指交易双方约定在未来某一时间相互交换资产的协议。更确切地说，互换是当事人之间约定在未来某一期间相互交换现金流量的协议。还可以被当作一系列远期合约的组合。由于两个最终用户之间进行互换很困难，通常需要互换交易商作中介。
    最常见的互换交易为利率互换。参见：利率互换 interest rate swap
  　　互换的种类 
  　　1．利率互换：是指双方同意在未来的一定期限内根据同种货币的同样的名义本金交换现金流，其中一方的现金根据浮动利率计算出来，而另一方的现金流根据固定利率计算。
     
  　　2．货币互换：是指将一种货币的本金和固定利息与另一货币的等价本金和固定利息进行交换。 
  　　3．商品互换：是一种特殊类型的金融交易，交易双方为了管理商品价格风险，同意交换与商品价格有关的现金流。它包括固定价格及浮动价格的商品价格互换和商品价格与利率的互换。
     
  　　4．其它互换：股权互换、信用互换、气候互换和互换期权等。
  　　互换交易的优缺点 
  　　1、 互换与其他衍生工具相比有着自身的优势 
  　　首先，互换交易集外汇市场、证券市场、短期货币市场和长期资本市场业务于一身，既是融资的创新工具，有可运用于金融管理。
     
  　　其次，互换能满足交易者对非标准化交易的要求，运用面广。第三，用互换套期保值可以省却对其他金融衍生工具所需头寸的日常管理，使用简便且风险转移较快。第四，互换交易期限灵活，长短随意，最长可达几十年。 
  　　最后，互换仓库的产生使银行成为互换的主体，所以互换市场的流动性较强。
     
  　　2、 互换交易中的缺点 
  　　互换交易本身也存在许多风险．信用风险是互换交易所面临的主要风险，也是互换方及中介机构因种种原因发生的违约拒付等不能履行合同的风险．另外，由于互换期限通常多达数年之久，对于买卖双方来说，还存在着互换利率的风险． 
  　　互换交易的风险 
  　　1．互换交易风险的承担者 
  　　互换交易风险的承担者包括： 
  　　①合同当事者双方。
    在互换交易中他们要负担原有债务或新的债务，并实际进行债务交换。 
  　　②中介银行。它在合同当事人双方的资金收付中充当中介角色。 
  　　③交易筹备者。他的职责在于安排互换交易的整体规则，决定各当事者满意的互换条件，调解各种纠纷等。它本身不是合同当事者，一般由投资银行、商人银行或证券公司担任，收取(一次性)一定的互换安排费用，通常为总额的0．125％~0．375％。
     
  　　2．互换交易风险的类型 
  　　互换交易风险的类型包括： 
  　　①信用风险 
  　　②政府风险 
  　　③市场风险 
  　　④收支不对应风险 
  　　⑤结算风险 
  金融衍生品是有关互换现金流量或旨在为交易者转移风险的一种双边合约，常见的有远期合约、期货、期权、掉期等，国际上属于金融衍生品品种繁多，在我国现阶段金融衍生品交易主要指以期货为中心的金融业务。
    期货又可分为商品期货和金融期货，后者主要包括货币期货、利率期货和指数期货。 

• 其他答案
  按金融界的定义，金融衍生品是有关互换现金流量或旨在为交易者转移风险的一种双边合约，常见的有远期合约、期货、期权、掉期等，国际上属于金融衍生品品种繁多，在我国现阶段金融衍生品交易主要指以期货为中心的金融业务。期货又可分为商品期货和金融期货，后者主要包括货币期货、利率期货和指数期货。 
  从金融衍生品的种类和定义来看，其最大特征是依托一种投资机制来规避资金运作的风险，同时又具有在金融市场上炒作交易、吸引投资者的功能。

Stock derivative | 股票衍生品

 股票衍生品都有哪些？

股票衍生品都有哪些?

刘至海

回答

好评回答

•   衍生品可做如下分类：（1）根据产品形态，可以分为远期、期货、期权和互换四大类。（2）根据原生资产分类，即股票、利率、汇率和商品。如果再加以细分，股票类中又包括具体的股票（股票期货、股票期权合约）和由股票组合形成的股票指数期货和期权合约等；利率类中又可分为以短期存款利率为代表的短期利率（如利率期货、利率远期、利率期权、利率互换合约）和以长期债券利率为代表的长期利率（如债券期货、债券期权合约）；货币类中包括各种不同币种之间的比值；商品类中包括各类大宗实物商品。
    （3）根据交易方法，可分为场内交易和场外交易。场内交易即是通常所指的交易所交易，指所有的供求方集中在交易所进行竞价交易的交易方式。场外交易即是柜台交易，指交易双方直接成为交易对手的交易方式，其参与者仅限于信用度高的客户。3·金融衍生产品是指以货币、债券、股票等传统金融产品为基础，以杠杆性的信用交易为特征的金融产品。
    金融衍生工具，是一种特殊类别买卖的金融工具统称。这种买卖的回报率是根据一些其他金融要素的表现情况衍生出来的。

  收起
  

  一直未改变_

  2019-04-09 09:24:41

  3831评论

  分享

其他答案

• 金融衍生产品是指以货币、债券、股票等传统金融产品为基础，以杠杆性的信用交易为特征的金融产品。如：期货、远期合约。)根据产品形态，可以分为远期、期货、期权和掉期四大类。象原生资产金融衍生产品利率短期存款利率期货、利率远期、利率期权、利率掉期合约等长期债券债券期货、债券期权合约等股票股票股票期货、股票期权合约等股票指数股票指数期货、股票指数期权合约等货币各类现汇货币远期、货币期、货币期权、货币掉期合约等商品各类实物商品商品远期、商品期货，商品期权、商品掉期

  全部
  

  开启永无止境...

  2019-04-09 09:41:25

  3831评论

  分享

• 股票衍生产品包括股票期权、股指期货、股指期权、股票期货、认股权证、可转换债券等。金融衍生产品种类繁多，结构复杂，而且不断有新的衍生产品出现，根据金融衍生产品的基础资产，可以划分为货币衍生产品、利率衍生产品和股票衍生产品，其中货币衍生产品包括远期外汇合约、外汇期货、外汇期权、货币互换等;利率衍生产品包括远期利率协议、短期利率期货、债券期货、债券期权、利率互换、互换期权等;。

吉他弹唱 成都 赵雷（松枼婷、松枼潇）

Here is the link. 

I like to listen the song and then enjoy good time. I lived in Shanghai city from 1984 to 1996. I had good time to spend over 12 years in Shanghai city. The song of Chengdu, another city brought back a lot of memory about Shanghai, China. 

System design: AWS | Elastic load balancing user guide | 31 pages | reading challenge

 April 2, 2021

Introduction

I like to challenge myself to spend first one hour to read this user guide, and see how much I can learn compared to lecture from Chris Richardson's video: 

4.4 Communication Patterns Service Discovery Event Driven Microservices

30 minutes reading

Here is the pdf link. 

Here's what we know so far about Friday’s margin call

 April 2, 2021

Here is the link.

Shares of ViacomCBS and Discovery both rebounded after coming under intense selling pressure last week. The two companies were believed to be hit by forced liquidation of positions held by the multibillion dollar family office Archegos Capital Management, a source familiar with the situation told CNBC. CNBC's Jim Cramer, Carl Quintanilla and David Faber discuss.

Richardson Maturity Model

 I like to spend 30 minutes to go over the link. 

Here is the link. 

Linkedin.com | Ray Yang | Connections | 2018 August

April 2, 2021

Introduction

It is hard for me to find something interesting to entertain myself. I like to explore Linkedin.com better this time. One idea is to go over those first connections and then go over hundreds of connections. 

One idea 

I like to go over those connections - Ray Yang, Guo Linfeng, Mengyan, Tracy song, and go over their connections. 

I like to find pictures taken in August 2018 with those friends in the city of San Mateo, and post here. 

Facebook virtual onsite invitation: Bravo!

 April 2, 2021

Introduction

It is tough year for all of us. We all try to find better opportunities to help us go through those pandemic challenges. I was so surprised to hear from a Facebook recruiter, and then after less than 30 minutes phone call, I got invited for another virtual onsite interviews. 

Best opportunity

I just could not believe that Facebook provided 100% remote job opportunities in Canada. I already knew the news from wechat friends. I just could not believe that I could be invited again for another round of onsite interviews. 

Learning 

I just could not believe that system design is such challenge for me through so many years, from 2016 to 2021. I was so happy today to spend a few hours today to read the book called Microservice patterns, and then I spent over two hours to watch videos from Chris Richardson. 

Chris Richardson: 4.4 Communication Patterns Service Discovery Event Driven Microservices

April 1, 2021

Here is the link. 

Agenda

• Why a pattern language for microservices?
• Core patterns
• Partitioning strategies
• Deployment patterns
• Communication patterns
• Microservices chassis 

Communication patterns

• Overview
• API Gateway
• Inter-process communication
• Service discovery
• Service registration

Pattern: Client-side discovery 

Service client 

Example: Netflix Eureka and Ribbon 

Benefits and drawbacks

Benefits

• Flexible, application-specific load balancing
• Fewer network hops and moving parts compared to Server-side discovery

Drawbacks

• Couples the client to the Service Registry
• Need implement client-side discovery and load balancing logic in multiple languages/ frameworks
• Service Registry is yet another moving part to setup and operate - highly available     

Chris Richardson: 4.2 Communication Patterns API Gateway Event Driven Microservices

 April 1, 2021

Here is the link. 

Forces

• Mismatch between the fine-grained microservices and needs of the clients
• Different clients need different data
• LAN vs. WAN vs. Mobile network performance 
• The number of service instances and their locations (host + port) changes dynamically 
• Partitioning into services can change over time and should be hidden from clients

Directly connecting the front-end to the backend 

API gateway pattern vs directly talk to Microservice 

Pattern: API gateway 

Single entry point - API Gateway 

Client specific APIs 

REST catalog service

REST Recommendation service

Thrift Review service 

Protocol translation 

Example: Netflix API 

thousand streaming clients - Device specific end points 

Benefits of the API gateway

• Insulates the clients from the partitioning
• Insulates the clients from the problem of discovery
• Provides the optimal API for each client
• Reduces the number of requests/ roundtrips
• Simplifies the client by moving logic for calling multiple services from the client to API gateway
• Gateway translates between web-unfriendly protocols and HTTP/WebSockets

Chris Richardson: 4.3 Communication Patterns Inter Process Communication Event Driven Microservices

 April 1, 2021

Here is the link. 

The teaching is so good to remind me good days when I was a student in Florida Atlantic University and Shanghai Jiaotong university. 

Thank Facebook to give me another virtual onsite in 2021. 

Interaction styles

Synchronous/ Asynchronous

I always find myself get distract in 20 minutes video. I just like to remind myself to learn one screen, and take notes from the lecture. 

10:20/ 20:20 

Benefits and drawbacks of messaging 

Benefits

• Decouples client from services
• Message broker buffers messages
• Supports a variety of communication patterns

Drawbacks

• Additional complexity of message broker
• Request/ reply-style communication is more complex
• Client needs to discover location of message broker 

Example messaging systems

RabbitMQ, ActiveMQ, Apache Kafka, NSQ

Remote procedure invocation 

REST,

Benefits 

• Simple and familiar
• Request/ reply is easy
• No intermediate broker 

Drawbacks

• Only supports request/ reply
• Service must be available
• Client needs to discover locations of service 

Example RPI mechanisms

REST

• HTTP-based - super familiar protocol of the web
• Firewall and human friendly
• You pick the message format
• See https://martinfowler.com/articles/richardsonMaturityModel.html

Thrift

• RPC framework
• Define services using IDL and generate stubs and skeletons
• Message formats: Binary, and JSON
• Transport protocols: TCP, HTTP

How to run out of threads

HTTP -> Tread  -> RPC client code -> Recommendation service

Finite number of threads -> Eventually all threads will be blocked  -> Cannot process any request 

The Netflix approach

• Network timeouts
• Invoke remote services via a bounded thread pool -> impose upbound of ... -> fail fast -> tie up any thread 
• Use the Circuit break pattern 
• On failure: 
• return default/ cached data
• return error to caller

Actionable Items:

Take 30 minutes to review Richardson Maturity model

Richardson Maturity Model

Here is the link. 

6.3 Overview of Event Sourcing Event Driven Microservices

April 1, 2021

Here is the link. 

I like to watch again and take some notes as well. 

Archegos | 中天財經頻道

 April 1, 2021

Here is the link. 

【錢線煉金術】Archegos效應"金融存股?" "隱形護國神山"它待爆發!@中天財經頻道​ 精華版

Archegos | 中天財經頻道

 April 1, 2021

Here is the link. 

錢線煉金術】Archegos讓"銀行損百億?" "美債息.美元"強升隱憂 @中天財經頻道​ 精華版

Mohamed El-Erian on Archegos: It will not cause a massive deleveraging of the financial system

April 1, 2021

Here is the link. 

Yahoo Finance's Seana Smith and Adam Shapiro spoke with Queens' College President, and Allianz Chief Economic Adviser, Mohamed El-Erian about the Archegos blowup and the impact on the financial system.

Archegos fallout: The SWAPs market should have better protection for investors: Heritage Capital

 April 1, 2021

Here is the link. 

#Archegos​ #swaps​ #hedgefund​ Paul Schatz, Heritage Capital President, joins Yahoo Finance’s Alexis Christoforous and Kristin Myers to discuss the Archegos fallout. Subscribe to Yahoo Finance: https://yhoo.it/2fGu5Bb

Credit Suisse and Nomura warn of losses after Archegos fails to meet margin calls

April 1, 2021

Here is the link. 

#Archegos​ #Nomura​ # Yahoo Finance's Julie Hyman and Steve Sosnick, Interactive Brokers chief market strategist, joins Yahoo Finance to discuss the market impact of Archegos defaulting on margin calls. Hedge fund blowup sends shockwaves through Wall Street and the City Oscar Williams-Grut·Senior City Correspondent, Yahoo Finance UK A little known hedge fund that blew up last week has sent shockwaves through the world of investment banking. Shares in Credit Suisse (CSGN.SW) and Nomura (8604.T) sunk over 10% on Monday after both warned they faced potentially billions in losses linked to hedge fund Archegos Capital. Banks that worked with Archegos and lent it money to buy shares were scrambling to offload Archegos' investments after a handful of risky bets made by the hedge fund went bad. The rush to exit these positions hit public shares prices, leaving banks with huge losses. Hedge funds typically borrow money from banks to invest, a process known as margin trading. This allows funds to leverage up the cash they hold and increase their positions — potentially earning far greater returns if their bets come good. However, it also means hedge funds can theoretically lose more money than they hold in client funds. If trades made on margin turn sour, banks will ask a client to put up more money as collateral to limit potential losses. This process is known as a margin call. Archegos faced margin calls on its positions last week but failed to provide extra cash. As a result, banks began selling off stocks held on the hedge fund's behalf — a fire sale known in the City as liquidating positions. The business press reported on Friday that Goldman Sachs (GS) and Morgan Stanley (MS) were selling huge chunks of shares in businesses including ViacomCBS (VIAC), Discovery (DISCA) and Chinese stocks Baidu (BIDU) and Tencent Music (TME). The block sales are estimated to be worth around $20bn (£14.5bn), according to the Financial Times. "Things started going wrong for Archegos when shares of companies such as Viacom started to slide mid-last week," said Michael Brown, a senior market analyst at Caxton Business. "It was at that point that margins were called, and couldn’t be provided, hence the block sales seen Friday." For more on this article please visit: https://uk.finance.yahoo.com/news/arc...

Archegos Capital Management | 股票清算 | March 25 - 28, 2021

April 1, 2021 

Here is the article. 

Actionable Items:

1. Google 掉期交易是一种金融衍生品, spend 30 minutes to learn more about 掉期交易
2. 这批华尔街大型银行包括高盛、摩根、瑞士信贷集团（Credit Suisse Group AG）、野村控股（Nomura Holdings Inc.）、瑞银集团（UBS Group AG）和德意志银行（Deutsche Bank AG）
3. Memorize those banks Chinese name, four banks. 
4. 摩根士丹利出售了4500万股维亚康姆CBS（ViacomCBS）公司的股票。交易员表示，周日（3月28日）晚间，向部分客户推销了这些股票，并回应了那些打电话询问该行是否可能继续抛售的投资者。
5. Google 摩根士丹利出售了4500万股维亚康姆CBS（ViacomCBS）公司的股票 in Chinese and English, and read more articles. 
6. Google Jay Dweck, Financial Stability Oversight Council

据《华尔街日报》报道，据知情人士透露，随着对冲基金 Archegos 的亏损规模变得明显，高盛集团和摩根士丹利在与Archegos Capital Management交易的其他大银行之前迅速转移了大块资产。 知情人士表示，这一策略有助于降低高盛和摩根士丹利在上周史诗级股票清算中的损失。

由前老虎亚洲（Tiger Asia）经理比尔·黄（Bill Hwang）经营的Archegos的损失引发了价值超过300亿美元（约合1970亿人民币）的清算。交易员表示，银行周一（3月29日）继续出售与Archegos相关的股票资产。

　　该公司的一位发言人周一晚间在一份声明中表示：“对于Archegos Capital Management的家族办公室、我们的合作伙伴和员工来说，这是一个充满挑战的时刻。所有的计划都在讨论中，因为黄先生和团队正在确定最佳的前进道路。”

　　Archegos大举集中持仓公司，并以股票和掉期混合的方式持有一些头寸。掉期交易是一种金融衍生品，指交易双方约定在未來某一期限相互交換各自持有的资产或现金流的交易形式。

　　损失有可能蔓延到一直处理该公司交易的所谓优质经纪业务。熟悉该公司交易的人士表示，这批华尔街大型银行包括高盛、摩根、瑞士信贷集团（Credit Suisse Group AG）、野村控股（Nomura Holdings Inc.）、瑞银集团（UBS Group AG）和德意志银行（Deutsche Bank AG）。

上周四（3月25日），Archegos要求处理其业务的银行开会，以制定清仓策略，一位熟悉会议的人士说。该公司最大的仓位在长期上涨后急转直下。会上出现了一项建议，即所有银行暂不进行大宗交易，并在周末进一步商讨，但电话会议最后没有达成任何协议。

上周五（3月26日）早上，银行开始没收Archegos的股票，高盛开始大举抛售。很快就发现，银行之间几乎不会有任何协调。

　　高盛和摩根各自抢着清算与Archegos相关的头寸。

　　所谓的优质券商之间的讨论是极其不寻常的，在最近只发生过几次，在某些情况下避免了清算。

　　提前出售的决定有助于使高盛免受其他银行的损失。据一位知情人士透露，高盛预计Archegos账户的结果对其截至本周的第一季度财务业绩“无关紧要”。

　　摩根士丹利出售了4500万股维亚康姆CBS（ViacomCBS）公司的股票。交易员表示，周日（3月28日）晚间，向部分客户推销了这些股票，并回应了那些打电话询问该行是否可能继续抛售的投资者。

周一，银行出售了一些公司的股票，这些公司的股票在上周晚些时候也出现了抛售。这些公司包括探索传播（Discovery Inc.）、在美国上市的中国家教公司百家集团（GSX Techedu Inc.）、中国电商平台唯品会控股有限公司（Vipshop Holdings Ltd.）和维亚康姆CBS。

　　富国银行集团（Wells Fargo）周一卖出了包括维亚康姆CBS和百家集团在内的股票版块，周一还告诉客户，它已经完成了风险敞口的清算。

　　交易员称，周五瑞士信贷和野村证券并非主要卖家。

瑞士信贷周一表示，现在量化其面临的确切影响还为时过早，但这可能会对其本月结束的第一季度业绩产生“非常重要和重大”的影响。野村表示，它被一位美国客户拖欠了约20亿美元（约合131亿人民币）。一位知情人士称，这些交易与Archegos有关。

　　野村证券的股价下跌了16％，创下单日跌幅的纪录。瑞士信贷在美国上市的股票重挫11.5％，为一年来最大跌幅。周一在纽约证交所，道琼斯工业平均指数上涨了98点，而标准普尔500指数则小幅下跌，高盛下跌了0.5％，摩根大通下跌了2.6％。

　　Archegos事件是漫长爆炸历史中的最新一次，它揭示了虽然华尔街银行标榜自己在收集与投资相关的信息方面首屈一指，但他们往往难以知道隔壁发生了什么。这一不足与Archegos清算案息息相关，因为似乎很明显，这些银行太晚才意识到自己也持有类似的头寸，这使得他们未能阻止这些股票进一步被抛售。

　　高盛和摩根士丹利前交易和风险管理主管杰伊·德维克（Jay Dweck）说：“你可以怀疑，也许这个人正在和一群其他人一起做这个交易，但没有人知道总量。”

Archegos损失惨重之际，一个被称为“金融稳定监督委员会”（Financial Stability Oversight Council）的美国顶级监管机构理事会已经定于周三（3月31日）召开会议，讨论疫情引发的危机期间对冲基金的活动。此次会议是拜登政府期间风险委员会的首次会议，该委员会承诺从2020年3月起对疫情引发的市场动荡所暴露出的金融弱点进行审查。该理事会由财政部、美联储和其他机构的负责人组成。

　　顾问德维克先生指出，本周华尔街上许多人都听到了之前一个事件的回声：长期资本管理公司（Long-Term Capital Management），一家规模庞大的对冲基金，在1998年爆仓。他说，直到政府官员将他们传唤到长期资本管理公司的办公室翻阅其记录时，企业才了解到该对冲基金的全部问题。

　　德维克先生说：“结果是，这样的事还会发生。”

Archegos fund: Chinese story teller | Bill Hwang

 

ARCHEGOS基金清盘教训

Here is the article. 

I like to highlight a few statements or arguments to help me understand better. 

一、成功是失败之母

Archegos的投资在过去十年无疑是成功的，因为它重仓了中国互联网等股票，这的确是一个巨大的成长市场。从目前披露出的该基金持仓数据看，Bill是一个激进的成长股投资者，这些股票也为他过去这些年带来了丰厚的回报。这个策略本身是没有问题的。

考虑到美股从2012年到现在也经历过数次非常严重的下跌，而Bill的基金都能安全度过，说明基金的风控水平不错，高杠杆下控制风险和回撤是一件非常考验人的事情，虽然可以做到，但是的确需要交易员有极好的控制能力，有时候稍微的疏忽就会带来巨大后果。应该说，他有相当丰富的控制不利市场的经验和手段。1962年出生的人，今年59岁，应该是交易上的黄金时期。

目前并没有看到比较严肃的关于对冲风险的描述，有些媒体报道是通过卖空股指和一些股票，也就是传统的多-空组合策略。我个人对这个报道表示怀疑，因为如此集中的持有某个类型的股票，是不应该用某个股票指数来管理风险的，对冲风险太高。因为，个股/组合跟指数的关系是非常异变的，甚至出现个股下跌同时指数上涨的情况。我相信他们一定采取了某些管理风险的手段，但是很可能是风险对冲不够，才导致了这次的灾难。

二、这次事故有偶然性

从目前披露的持仓看，该基金可谓是祸不单行。在高杠杆的前提下，遭遇了一系列冲击，这些冲击可能原本是不相关的，但是当各个冲击累积到某个程度时，就对组合产生了毁灭性的打击。这是最难控制的风险之一，因为当第一个冲击来临的时候，交易员往往会认为是独立事件，不会采取过大的保护动作，第二个独立冲击来临时，可能损失已经比较大了，但如果及时处理，可能还有一线生机。如果第三个冲击到来，那么，这种情况下市场没有了流动性，那就是灾难，这就是我看到的Bill的故事，接下来我简单梳理一下这几个冲击。

第二个冲击是3月24日美国证监会的中概股政策评估引发的中概股暴跌，很多股票都下跌10%以上，小鹏汽车当天开盘36元，收盘30元，下跌15%。而Bill重仓持有的百度、爱奇艺、跟谁学等股票都出现大跌。但是，他当时仍然可以认为这是一个单独的冲击事件。

第三个冲击虽然不大，但是也对组合产生了不利影响，那就是3月26日中国对在线教育的的新规，这对GSX带来了巨大冲击，当天股票下跌48%。

我们简单梳理就可以发现，上述三个冲击事件，看似无关，但是因为组合的杠杆水平过高，在连续出现不利冲击后，追缴保证金的压力巨大，当无法追缴保证金时，剩下的办法就是卖出持仓，而这里就是第二个问题了，那就是市场猎杀比尔。

三、预言自我实现

主经纪商是主要为对冲基金服务的部门，提供更高的信贷和金融交易衍生品。通过查询这些股票的股东结构，我们基本可以确认，Bill没有直接持有上述股票，而是通过类似收益互换或者CFD这样的衍生工具持有股票，这样做的好处是，第一可以隐藏持仓数量，避免不必要的暴露头寸信息，第二是可以拿到更高的杠杆。但坏处是，交易对手风险，即Bill的交易对手主要变成了上述投行。

我们可以发现，美国大投行是上述股票的主要股东。普通读者可能不理解，为什么大投行成为如此多中概股的最大股东呢？

投行持有股票有很多原因，通常并没有特别的含义。比如IPO的承销商通常都会持有公司股票。但是类似GSX和IQIYI这样大比例的投行持有股票，只能是一个解释，那就是投行持有股票主要是为了对冲某种场外交易风险。

简单说，BILL的交易结构主要是通过持有收益互换（Total Return Swaps）来放大杠杆，而他的交易对手就是主经纪商。这种工具跟我们经常使用的差价合约（CFD）非常类似，就是投资者并不持有这些证券，本质上是与投行的一个对赌，如果该证券价格上涨，那么投行就支付给投资者从买入到卖出的差价，而如果价格下跌，那么投资者就支付给投行差价。投行通常会完全对冲掉这种风险，主要通过如下方法：

反向交易者提供对冲，比如客户A买入GSX，而客户B卖空GSX，二者的头寸净值，投行通过正股、期货或者期权对冲风险，但是，这种方法经常行不通，因为很多时候，客户强烈的看一个方向，这个时候，投行就自己持有正股。如果客户赌对，股票价格上涨，而投行持有的头寸会盈利，将盈利支付给客户后，投行赚取高额的各种手续费。这就是Bill交易结构的核心。风险在于，如果客户买入的TRS或者CFD大跌，理论上客户需要赔偿给投行，但是如果金额过大，那么客户就有破产风险，这就是这次银行大幅亏损的根源。

除了作为直接的交易对手，银行还通过给BILL提供各种信用帮助扩大杠杆，这里面包括直接的抵押贷款、更高的保证金交易账户等。总结起来，银行作为交易对手，从这三个方面给Bill提供了大额融资，有些是债权，有些是交易对手。

而这恰恰就是问题所在，因为BILL的头寸投行是一清二楚的。投行可以随时要求追缴保证金，尤其是当投行判断Bill必死，或者Bill将死的时候，谁都想当第一个逃出沉船的人，这就会出现市场的竞相抛售，这次开第一枪的就是高盛，所以他的损失最小。这不能怨投行，这是人类求生的本能，但是投行的相互竞争卖出，是导致市场危机的直接原因。这种金融安排的结果就是，大家一起杀死比尔，而比尔的确有可能是不用死的。

四、关于比尔的技术思考

首先比尔是一个极其杰出的交易员。比尔带给我们的思考是，如何应对极端风险？作为职业交易员，我们随时都面临极端风险，就像中国段子手写的，积累财富需要七年，毁掉财富只需要三天。比尔遇到的问题，其实是这个行业，这个时代的问题。

杠杆的度量问题。比尔的杠杆看起来并不高，下图是美国对冲基金的平均杠杆水平。按照目前的很多猜测，比尔的杠杆远远低于TOP10对冲基金的杠杆。但这是一个错误的度量，比尔的杠杆实际上太高了，因为GSX这样的股票波动率是标普的5倍。我们应该考虑用波动率作为杠杆衡量的基础，这点实际上已经是对冲基金风险管理的基础。

如何控制极端风险？每个交易员一生都会遇到很多次极端风险。巨亏往往都是发生在特别有把握的交易上面。因为有把握，所以加大了杠杆。但是，朋友们啊，这个世界怎么可能是如此美好呢？煮熟的鸭子不仅会飞，而且还飞得很高很快，所以，我们必须在一些重大交易中考虑极端风险的可能性。目前看，也没有什么特别有效的方法，除了降低杠杆以外，最好的方法可能就是利用深度虚值期权来管理尾部风险了。

Taiwanese chip-maker announces $100bn investment

 Here is the article. 

Here are highlights:

1. 
   

Taiwanese chip manufacturer TSMC has announced plans to invest a mammoth $100bn (£73bn) over the next three years to increase its capacity.

Taiwan Semiconductor Manufacturing Co is the world's largest contract chip-maker with clients including Apple.

The company had already flagged a plan to spend up to $28bn this year to develop and produce advanced micro chips.

The major investment comes as a global chip shortage hits the car industry.

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Volkswagen, Honda, Toyota and General Motors have all had to reduce production as a result of the shortage.

The shortage emerged because car companies cancelled their orders when demand slumped due to the Covid-19 pandemic last year.

Chip-makers switched to selling their products to other industries with greater demand, and the automakers couldn't retrieve their cancelled orders when demand grew again.

In January, TSMC said it would prioritize production of chips for the motor industry, in an effort to ease the shortage.

Because of strong demand globally, the shortage has spread to a number of other sectors including consumer electronics.

TSMC is predicting continued strong growth in demand for semiconductor technology as the Covid-19 pandemic further accelerating digitalization.

"We are entering a period of higher growth as the multiyear megatrends of 5G and high-performance computing are expected to fuel strong demand for our semiconductor technologies in the next several years," the company said.

The additional funds will "increase capacity to support the manufacturing and research and development of advanced semiconductor technologies".

The announcement comes days after Intel announced a $20bn plan to expand its capacity.

US-based Intel said last month that it would build two new factories at an existing campus in Arizona.

The factories will not only make Intel chips, but would be open to outside customers, which could bring Intel into direct competition with TSMC.

TSMC announced plans to build its own factory in Arizona last May.