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MODULE I: SCENARIO ANALYSIS AND STRESS TESTING DAN ROSEN

FINTECH ENTREPRENEUR AND QUANT FIELDS INSTITUTE UNIVERSITY OF TORONTO

Dr. Dan Rosen is a FinTech Entrepreneur and Quant. He is currently the Chief Executive Officer of d1g1t Inc., a new Fintech startup providing a wealth management platform powered by advanced analytics. He is also the Director of the Center for Financial Institutions at the Fields Institute for Research in Mathematical Sciences and an Adjunct Professor of Mathematical Finance at the University of Toronto. In addition to working with numerous financial institutions around the world, he lectures extensively on financial engineering, portfolio management, enterprise risk and capital management, credit risk and market risk, valuation of derivatives and structured finance. He has authored numerous risk management and financial engineering publications, including two books, and several patents, and serves in the editorial board of several industrial and academic journals.

Dr. Rosen was inducted in 2010 a fellow of the Fields Institute for Research in Mathematical Sciences for his “outstanding contributions to the Fields Institute, its programs, and to the Canadian mathematical community”. He currently serves in the Board of Directors of the Institute, as well as in the Advisory Boards of the International Association of Quantitative Finance (IAQF), and the Center for Advanced Financial Studies at the University of Waterloo. He is also one of the founders of the Professional Risk Management International Association (PRMIA) and of RiskLab, an international network of research centers in Financial Engineering and Risk Management, initiated at the University of Toronto. Prior to founding d1dg1t, Dr. Rosen was the co-founder and Chief Executive Officer of R2 Financial Technologies, originally incubated at the Fields Institute and acquired by S&P Capital IQ in 2012, where he was Managing Director for Risk and Analytics until 2015. Prior to R2, Dr. Rosen had a successful ten-year career at Algorithmics Inc. where he leads the company’s strategy, products, financial engineering and research. He holds an M.A.Sc. and Ph.D.in Chemical Engineering from the University of Toronto, and B.A.Sc. in Chemical Engineering from the Universidad Autonoma Metropolitana, which also awarded him as a Distinguished Graduate in 2015.

PART I. SCENARIO ANALYSIS AND STRESS TESTING. Scenarios are the language of Risk. Scenario analysis and stress testing have been an explicit part of risk management methodologies and systems for over two decades, and are a now a key component of financial regulations. However, the typical scenario and stress testing tools haven’t evolved much and are still generally quite static and largely subjective. This seminar presents the latest scenario generation methodologies, and discusses the application of scenario analysis for analyzing investment portfolios and strategies, as well as regulatory stress testing. We cover various advanced tools for creating meaningful stress scenarios for risk management and investment analysis of multi-asset portfolios, which effectively combine economic forecasts and “expert” views with portfolio simulation methods. In particular, we highlight the need in practice of realistic simulation methods for a large number of risk factors with non-Gaussian joint processes, and which provide transparent results that are easy to explain. We illustrate their application through real-life market and credit risk examples.


INTRODUCTION TO “THE CHECKLIST”: TEN STEPS FOR ADVANCED RISK AND PORTFOLIO

MODULE II:

ATTILIO MEUCCI

WORKSHOP IN ENGLISH

FUONDER ADVANCED PORTFOLIO MANAGEMENT ®

Attilio Meucci is the chief risk officer at KKR. Mr. Meucci is also the founder of Advanced Risk and Portfolio Management® (ARPM®), under whose umbrella he designed and teaches the six-day “ARPM Bootcamp®”, and manages the charity One More Reason. Prior to joining KKR, Mr. Meucci was the chief risk officer and director of portfolio construction at Kepos Capital. Mr. Meucci was also the global head of research for Bloomberg’s risk and portfolio analytics platform; a researcher at Lehman POINT; a trader at the hedge fund Relative Value International; and a consultant at Bain & Co. Concurrently, he taught at Columbia-IEOR, NYU-Courant, and Bocconi University. Mr. Meucci is the author of “Risk and Asset Allocation” - Springer and numerous publications in practitioners and academic journals. Mr. Meucci earned a BA summa cum laude in Physics from the University of Milan, an MA in Economics from Bocconi University, a PhD in Mathematics from the University of Milan and is a CFA charterholder.

PART II. INTRODUCTION TO “THE CHECKLIST”: TEN STEPS FOR ADVANCED RISK AND PORTFOLIO MANAGEMENT. We present an introduction to “The Checklist”, a recipe of ten sequential steps for portfolio managers and risk managers to model and manage the ex-ante distribution of their positions’s performance. The Checklist applies: i) across all asset classes. ii) to Asset Management, Banking and Insurance. iii) at the portfolio and at the enterprise level. For each of the ten steps of the Checklist, we illustrate the key concepts by means of a simple example that can be handled with analytical formulas. We will then extend the discussion to the general case and point toward multiple advanced approaches to address the non-trivial practical problems of real-life risk modeling, with the support of a few videos.


REQUIREMENTS 1. Intermediate or higher level of English. 2. Graduated from an economic and/or administrative career. 3. Preferably working in Financial Institutions. 4. Participants should bring a laptop.

AGENDA 2018 Wednesday June 22 | 10:00 am - 5:00 pm Duration: 7 Hours

Venue: JW Marriott Santa Fe Hotel Avenida Santa Fe 160 Col. La Fe Santa Fe, CDMX. Price: $15,000.00 MXN. + Tax (16%)

LIMITED OPENINGS

REGISTRATION E-mail: derivatives@riskmathics.com Tels: +52 (55) 5638 0367 +52 (55) 5669 4729

Payment Methods:: 1. Bank Transfer in US Dollars (Foreign Institutions) BANK: BBVA Bancomer ACCOUNT NUMBER: 0121 8000 11 0583 0066 SWIFT: BCMRMXMM BRANCH NUMBER: 0956 BENEFICIARY: RiskMathics, S.C. 2. Credit Card: VISA, MASTERCARD or AMERICAN EXPRESS. IMPORTANT NOTICE: There will be no reimbursements.

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Portfolio Management 2018 Ing  
Portfolio Management 2018 Ing