G1102G IBM Algorithmics Foundations of Risk and Financial Engineering Workbench

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.

• Concepts and Methodologies
  • RFE Workbench methodology and concepts
  • Role of RFE Workbench within IBM Algo One
  • Data management for RFE Workbench within IBM Algo One
  • Mark-to-Future methodology within IBM Algo One
  • Key Navigation Features of the application

• Financial Modeling in RFE Workbench
  • Set up of financial instruments
  • Set up of portfolios
  • Set up of valuation functions

• Financial Modeling in RFE Workbench Cont'd
  • Set up of risk factor tables
  • Set up of foreign exchange tables
  • Set up of templates
  • Valuation of a portfolio

• Scenario Creation in RFE Workbench
  • Scenario creation within IBM Algo One
  • Create scenario sets in RFE Workbench (what-if, iterative, generated)

• Stress Testing in RFE Workbench
  • Set up Stress Test view
  • Practice of various aggregation techniques
  • Set up of simulation functions
  • Simulation of portfolios through time

• Value at Risk calculation and report generation in RFE Workbench
  • Set up and review of parameters for non-parametric and parametric Value at Risk calculation
  • Calculation of Value at Risk
  • Creation of various risk reports

• Investigative risk analysis
  • Identify critical scenarios in a test dataset
  • Identify critical portfolios in a test dataset
  • Use RFE Workbench Comments Manager as a collaboration tool

• Investigative risk analysis Cont'd
  • Investigate critical scenarios
  • Investigate critical portfolios
  • Discuss critical findings

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