IBM Algorithmics Introduction to RiskWatch for Data Modelers and Integrators

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 one-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.

Czas trwania

1 dzień

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Profil uczestnika

This intermediate course is aimed at finance individuals, including risk managers, investment managers, analysts, as well as data integrators and project team members.


Day 1:

  • Introduction and course agenda
  • RiskWatch within the Algo One framework
  • Mark to Future
  • RiskWatch Navigation
  • Building financial instruments in RiskWatch
    • Defining models and risk factors
    • Building portfolios and portfolio hierarchies
  • Examining the FX relationship between two or more currencies
  • Differentiate between Standard, Generated, and Iterative Scenarios
  • Setting up the Stress Room for across-time and scenario set valuation of portfolios
  • Calculation of Monte Carlo simulation VaR in the Stress Room
  • Simulation functions
  • Portfolio Aggregation
  • Exporting results

Wymagane przygotowanie uczestników

You should have:

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


  • Discuss the role of RiskWatch within Algo One
  • Differentiate between the types of data required for the RiskWatch environment
  • Confer about the concepts of Mark to Market and Mark to Future
  • Navigate through the various key aspects of the RiskWatch application
  • Develop a basic financial instrument with the associated models and risk factor "curves"
  • Recognize the construction of Portfolio hierarchy and build a portfolio of financial instruments
  • Design and develop risk factor curves and assess their applicability
  • Import Scenarios and Scenario Sets in RiskWatch
  • Practice within the Stress Room with required attributes, including the use of simulation functions
  • Calculate Value-at-Risk (VaR) in RiskWatch using the Monte Carlo and Historical simulation methods
  • Aggregate portfolios by various single and multiple attributes
  • Build risk management reports on the portfolio
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