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Översikt
| Kurskod | G0202SE | Leveranstyp | Classroom
(Hands-on labs) |
|---|---|---|---|
| Kurslängd | 1.0 dagar | Kurstyp | |
| Listpris | Kontakta IBM |
Modeling for Algo Scenario Engine™ is an advanced scenario generation application. It is an important part of integrated market and credit risk solutions. The scenarios created in ASE are based on historical time series data of observable market rates and prices. The scenarios generated by ASE are used for simulation and stress testing of portfolios. This course builds upon the Introduction to ASE.
Upon successful completion of the course, the participant will be able to:
- Describe the Describe the databases within ASE and the role of each within AlgoOne
- Identify elements in batch processing affecting scenario generation
- Demonstrate the creation of a single-step MonteCarlo scenario set
- Demonstrate the creation of a multi-step MonteCarlo scenario set
- Construct conditional scenarios
- Build Risk Neutral scenarios
- Assemble Standard Shift Scenarios
- U