Code
G2000RO
Duration
2 days
Tags
Online Offline

DescriptionWhat we offer

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 instruments
  • Build a portfolio hierarchy
  • Model a spread curve
  • Understand the procedures for modeling financial instruments with currency exposure
  • Build Scenarios and Scenario Sets in RiskWatch
  • Use 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 functions
  • Calculate Value-at-Risk (VaR) in RiskWatch using the Monte Carlo and or Historical simulation methods
  • Aggregate portfolios by various single and multiple attributes
  • Build risk management reports on the portfolio

ObjectivesWhat you learn

Please refer to Course Overview for description information.

TopicsThe best for you

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

PrerequisitesWhat should you know

Students should have:

  • Basic knowledge of financial modeling, risk measurement, and derivative finance.

AudienceWho should attend

This course aims at finance individuals, including risk managers, investment managers, and analysts.