G1001G IBM Algorithmics Portfolio Replication in Algo Risk Application

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.

The two-day course balances instructor-presentation of key portfolio replication for insurance concepts with hands-on training in replicating portfolio construction. Day 1 focuses on the purpose, theory, applications, and process of portfolio replication including familization exercises and demonstrations. Day 2 is a workshop where students employ the optimization functionality of the Algo Risk Application (ARA) to build actual optimal replicating portfolios.

• PortfoIio Replication Overview: Purpose, Applications, Process and Theory
• Algo Portfolio Replication Components: RiskWatch and Algo Risk Application (ARA)
• The Steps to Portfolio Replication
• Replicating Universe Asset Types - Modeling in RiskWatch
• Mark-to-Future Asset and Liability Cube Creation in RiskWatch
• RiskWatch Workshop - Creating MtF Cubes in the Stress Room
• Portfolio Optimization in ARA
• Building Portfolio Replication Optimization Problems in ARA
• Assessing Replication Quality: Goodness of Fit Metrics, Standard RP Reports, and Deficiencies
• Improving Replications using Trading Restrictions

• Portfolio Replication Hands-On Workshop using ARA Optimization Module
• Open Discussion and Wrap-Up

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