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IBM Algorithmics Portfolio Replication in Algo Risk Application (G1001G)     » zur Seminarliste

This course provides a practical overview of portfolio replication for insurance, with hands-on training in the construction of replicating portfolios.

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Kurs-Id: IBM_G1001G

Seminarinhalt
  • Discuss the various concepts of portfolio replication, including theory, processes, and applications
  • Understand how RiskWatch and ARA are employed as key Algo components in portfolio replication construction
  • Describe the primary steps in portfolio replication
  • Select specific replicating asset types
  • Describe the Mark-to-Future cube generation process, and build MtF Cubes in RiskWatch for both the assets and liabilities based on the impact of a pre-defined economic scenario set on a variety of risk factors
  • Create a replicating portfolio from a given asset universe, using ARA's optimization module
  • Use trade restrictions and penalties to improve the quality of replicating portfolios
  • Assess the quality of replicating portfolios, including in-depth post-optimization goodness-of-fit analysis in ARA
Informationen
Zielgruppe

This advanced course is for the insurance industry end-user, particularly risk managers, risk analysts, and actuaries.

Vorkenntnisse

Prior training and/or experience in RiskWatch and ARA is strongly recommended.

Termine
Hinweis

Das Training findet auf Deutsch statt.