Kursbeskrivning: 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.

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

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You should have:

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

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• 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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This one-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
• 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

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