Sachidanand (Sacha) Singh's Page

Double entry book keeping is, perhaps, our first attempt at

understanding the value of a business. A Franciscan monk Lucca Pacioli

is generally credited with inventing this system. Some maintain that

the monk merely documented the practices of Venetian merchants and that

double entry book keeping was first thought of by Fibonacci; in any

case the system was, without any doubts, invented by Italians. Pacioli

published his book containing, among other things, this fou… Continue

“Credit specialists at Citi are considering launching the first derivatives intended to pay out in the event of a financial crisis.” First the product, it is to be based on an index called CLX. From what I have been able
to gather CLX is a sum of Sharpe ratios of different market factors – equity volatilities, treasury rates etc. The exp

… Continue

I read an interesting paper by Peter Conti-Brown (read here:http://papers.ssrn.com/sol3/papers.cfm?abstract_id=1548892) on a proposed Fat Tail Risk Metric (FTRM). Conti-Brown argues that a central cause of the financial crisis is the failure of risk models to account for high impact, low probability events i.e. fat tail events and proposes mandatory disclosure of a firm’s all exposures - contingent liabilities, such as guar… Continue

I have been bitten by the gold bug. Ever since RBI was reported to be buying IMF gold, I have been reading a number of papers / articles by economists, commodity analysts, economic historians, investment bankers and central bankers on matters related to gold. I think for next few weeks I will regularly be posting something connected with gold.

While reading gold related material I found quite a few bankers / analysts referring to gold as a financial asset. For instance in a paper published in 2… Continue

Gold does not give any cash flows to its owners. Owners' returns consist entirely of appreciation. For this reason, it should not be compared with any typical stock index because the holder of index will also get cash by way of dividends, which are not included in the index. Such a comparison, it can be seen, will be biased in favour of gold. A total return index takes care of this bias. The chart shows the relative values of gold and Nifty TRI over Jan 2000 to Dec 2009.… Continue