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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
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