Quantitative
Methods for Risk Management
Objective:
a 3-day no more "black-box" philosophy is used to explain
quantitative methods to apply to real world valuation and risk management
issues, and:
·
to
provide a lucid explanation of those quantitative methods which are required
for, or arise in the natural course of transacting and managing securities and
derivatives
·
the
principle focus is on understanding the uses and misuses of mathematical methods
and “models” which are required in everyday business
·
to
come to grips with the foundation of these methods and a consolidation of the
techniques and ideas
·
to
never have to worry about using a “black-box” again
Will learn:
·
to
keep focus on P&L regardless of "theory"
·
what
techniques mean and don’t mean, and when and when not to use specific
techniques
·
to
understand and have working knowledge of specific techniques
Audience:
market professionals with 2-years experience
·
Traders,
sales, support,
·
Management,
treasurers,
·
Risk
Management
·
not
really intended for experienced quants (unless they want to know how trader’s
think)
2)
Curves and Surfaces for Risk Managers:
splines, yield curves, volatility surfaces analysis
3)
The Answer is in the Root: “root
finding” as in implied volatility, yield from price, compound options etc.
4)
VaR
as the inverse Options Problem: practical
introduction to classification and integration method for determining VaR
limits.
5)
Valuation and Risk Management Under
Uncertainty a lucid introduction to the methods (calculus)
of uncertain (stochastic) processes as applied to assessing value and risk of
securities and derivatives
6)
Understanding (Options) Models: where they come from, what they mean, a down to earth
explanation of the intuition behind, and the models used for securities and
options pricing, and term structure representation
7)
Solving the Problem:
a practitioner’s guide to the techniques available for “solving”
securities risk models, options models, term structure models and related
problems.
8)
Portfolio Simulation and Hedging
Efficiency: an introduction to the methods required for real
world portfolio risk management including backward and forward VaR efficiency
(are you over VaR’d?).
720
Pages of
comprehensive and extensively illustrated Handout Notes (see samples
here)
Plus copies of relevant TG2 Books/e-Books
Note:
Seminars can be tailored to your trading, risk, client, and systems needs.
Submit your needs, and/or "cut/paste" from other Seminars (see entire "standard"
list HERE)
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