Agenda Q Risk & Regulatory Academy

Transcription

1 ACADEMY since 2004 Agenda Q Risk & Regulatory Academy

2 AGENDA Q1/2017 January 1ALL DAY Fundamentals of Counterparty Risk, London 13 This training programme is intended to provide participants with an extensive overview of counterparty risk measurement and management in banks, with details on the pricing dynamics and regulatory landscape facing financial institutions. Foundations of exposure modelling: Understand how a credit exposure profile is derived from first principles, covering Mark to Market (MtM), Potential Future Exposure (PFE), simulation techniques, netting, collateralisation, pre deal checking and limit setting. Practical examples will be provided for fixed income, FX, credit and equity derivative asset classes. Pricing and Deal Assessment: Understand Credit Default Swap (CDS) fundamentals, Credit Valuation Adjustment (CVA), Debit Valuation Adjustment (DVA), wrong way risk and the XVA framework covering Funding Valuation Adjustment (FVA), Margin Valuation Adjustment (MVA) and Capital Valuation Adjustment (KVA). A practical example of the calculation of CVA for an interest rate swap will be provided. Regulatory Capital: Understand the evolution of the capital framework covering default risk, CVA and margin requirements for cleared and uncleared derivatives. Future Developments: Understand what changes are likely to face financial institutions in the future and how they are addressing the challenges from a strategic, technology and modelling perspective. Location: London Office, 38 Grosvenor Gardens, SW1W 0EB London

3 February 1ALL DAY An Introduction to Quantitative Modelling in Python, London 6 This training programme is intended to provide participants with an extensive overview of Python, which is a powerful open source programming language used for quantitative modelling within financial institutions. Practical examples will be provided to motivate an understanding of the modelling components. Introduction to Python: Understand what Python is and its capabilities for quantitative modelling across the full model lifecycle. Interfaces: Gain an overview of the key Python interfaces such as the Jupyter notebook, documentation features and Spyder. Packages and libraries: Understand how to use key packages and libraries within Python such as PANDAS, numpy, scipy and Matlib. Data types: Understand the key data types used within Python. Data manipulation: Understand how Python interacts with Microsoft Excel, csv files, text files and databases. Data Visualisation: Understand how to visualise 2-dimensional and 3-dimensional data within Python through plotting graphs and surfaces. Example Model: Implement a quantitative model covering data acquisition, calculations and visualisation. Making the code production ready: Understand how Python scripts are made production ready. Dr. Orial Kryeziu, Consultant with Avantage Reply. Location: London Office, 38 Grosvenor Gardens, SW1W 0EB London

4 March 1ALL DAY Fundamentals of Quantitative Techniques in Risk Management, Brussels 6 This training programme is intended to provide participants with an overview of quantitative techniques employed in risk management. Practical examples will be provided to motivate understanding of techniques employed. Probability Distributions: Understand the common probability distributions used in risk management, moments and correlation and dependency. Stochastic Processes and Monte Carlo Simulation: Gain an understanding of the building blocks of stochastic process and simulation techniques employed in risk management. Linear Algebra: Understand the fundamentals of vector and matrix algebra. Cholesky Decomposition Understand how Cholesky Decomposition is used in risk management applications. Copulas and Risk Aggregation: Gain and overview of copulas and how these are employed in risk management for the aggregation of risk distributions. Regression Analysis: Understand the basics of linear regression and the handling of financial time series. Principal Components Analysis (PCA): Understand what PCA is and how it is employed in financial applications for factor reduction and determine the key drivers of risks in a portfolio. Dorin Cerbu, Consultant with Avantage Reply. Marcela Cerbu, Consultant with Avantage Reply. Location: Brussels Office, 5 rue du Congrès, 1000 Brussels

5 March Introduction to Model Risk and Model Validation Techniques, London 20 1 ALL DAY This training programme is intended to provide participants with an overview of model risk management and model validation techniques. Practical examples will be provided to motivate understanding of how model risk can be measured and managed. Overview of Model Risk: Understand what is model risk and why it is important. Regulatory framework: Understand why model risk has seen increased regulatory scrutiny and gain an overview of the key regulatory requirements stemming from Fed SR 11-7, CRR, EMIR, FRTB and the Targetted Review of Internal Models (TRIM). Model Management Framework: Understand the key components of the model lifecycle and how they interact including data acquisition, development, validation, testing/deployment, approval, usage and ongoing performance monitoring. Model Validation Example 1: Understand the process and techniques used to validate a credit scoring model. Model Validation Example 2: Understand the process and techniques used to backtest Value at Risk (VaR) models in market risk. Measurement of Model Risk: Understand how to build a model inventory, create a model scorecard and perform an assessment of model risk. Dr. Orial Kryeziu, Consultant with Avantage Reply. Location: London Office, 38 Grosvenor Gardens, SW1W 0EB London

6 Our Offices Avantage Reply (Amsterdam) The Atrium Strawinskylaan ZX Amsterdam Netherlands Avantage Reply (Rome) Via del Giorgione, Roma Italy Avantage Reply (Brussels) 5, rue du Congrès/Congresstraat 1000 Brussels Belgium Avantage Reply (Turin) Via Cardinale Massaia, Torino Italy Avantage Reply (London) 38 Grosvenor Gardens London SW1W 0EB United Kingdom Xuccess Reply (Frankfurt) Hanauer Landstraße 184, Frankfurt Germany Avantage Reply (Luxembourg) 46A, avenue J.F. Kennedy 1855 Luxembourg Luxembourg Xuccess Reply (Hamburg) Brook Hamburg Germany Avantage Reply (Milan) Via Castellanza, Milano Italy Xuccess Reply (Munich) Arnulfstrasse München Germany Avantage Reply (Paris) 3 Rue du Faubourg Saint Honoré Paris France

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