IBM Algorithmics Foundations to RiskWatch

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

Profil uczestnika

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

Agenda

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

Wymagane przygotowanie uczestników

Students should have:

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