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
Please refer to Course Overview for description information.
This course aims at finance individuals, including risk managers, investment managers, and analysts.
Students should have:
- Basic knowledge of financial modeling, risk measurement, and derivative finance.
This two-day course is delivered through a number of mediums, including slide presentation, product demonstrations, instructor-led exercises and self-paced hands-on practice.
- Introduction and course agenda
- RiskWatch within the Algo One framework
- RiskWatch Navigation
- Building financial instruments in Riskwatch
- Defining models and risk factors
- Building portfolios and portfolio hierachies
- FX Room overview
- Defining scenarios in RiskWatch
- Differentiation between Standard, Generated, and Iterative Scenarios
- Setting up the Stress Room for across-time and scenario set valuation of portfolios
- Calculation of Historical and or MonteCarlo simulated Value at Risk (VaR) in the Stress Room
- Calculation of Parametric VaR
- Simulation functions
- Portfolio Aggregation
- Exporting results and building MtF Cubes