G2000G IBM Algorithmics Foundations to RiskWatch

Overnet Education
A Segrate

1.100 
+IVA
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Informazione importanti

  • Corso
  • Segrate
  • Durata:
    2 Giorni
Descrizione

A continuazione troverai il programma di questo corso disegnato per migliorare le tue competenze e permetterti di realizzare gli obiettivi stabiliti.
RiskWatch™ is the core analytical engine within the Algo Market Analytics product, providing a complete set of methodologies to measure, monitor, simulate, and restructure risk. This two-day course is intended to provide participants with an overview of RiskWatch functionality, and hands-on experience with various methods of setting up and analyzing portfolios. The participant will be able to: Build financial instruments with the associated models and risk factor 'curves'Assemble portfolios of financial instrumentsBuild a portfolio hierarchyModel a spread curveUnderstand the procedures for modeling financial instruments with currency exposureBuild Scenarios and Scenario Sets in RiskWatchUse Scenario Sets as a basis for stressing portfolios to generate Mark-to-Future (MtF) portfolio valuations across time.Set up the Stress Room with required attributes, including the use of simulation functionsCalculate Value-at-Risk (VaR) in RiskWatch using the Monte Carlo and or Historical simulation methodsAggregate portfolios by various single and multiple attributesBuild risk management reports on the portfolio

Informazione importanti
Sedi

Dove e quando

Inizio Luogo
Consultare
Segrate
Via Cassanese, 224, Palazzo Mantegna, Scala A, 20090, Milano, Italia
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Programma

Il centro presenta a continuazione il programma pensato per migliorare le tue competenze e permetterti di realizzare gli obiettivi stabiliti. Nel corso della formazione si alterneranno differenti moduli che ti permetteranno di acquisire le conoscenze sulle differenti tematiche proposte. Inscriviti per poter accedere alle seguenti materie.


This two-day course is delivered through a number of mediums, including slide presentation, product demonstrations, instructor-led exercises and self-paced hands-on practice.

Day 1:

  • Introduction and course agenda
  • RiskWatch within the Algo One framework
  • RiskWatch Navigation
  • Building financial instruments in Riskwatch
  • Defining models and risk factors
  • Building portfolios and portfolio hierachies
  • FX Room overview

Day 2:

  • Defining scenarios in RiskWatch
  • Differentiation between Standard, Generated, and Iterative Scenarios
  • Setting up the Stress Room for across-time and scenario set valuation of portfolios
  • Calculation of Historical and or MonteCarlo simulated Value at Risk (VaR) in the Stress Room
  • Calculation of Parametric VaR
  • Simulation functions
  • Portfolio Aggregation
  • Exporting results and building MtF Cubes

Dotazione:
Each participant will have a station set up with operating systems and software needed for the exercises.


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