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.

SCENARIO ANALYSIS AND STRESS TESTING

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.

DAN ROSENFINTECH ENTREPRENEURAND QUANTFIELDS INSTITUTE UNIVERSITYOF TORONTO

REQUIREMENTS1. 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.

Venue: JW Marriott Santa Fe Hotel Avenida Santa Fe 160 Col. La Fe Santa Fe, CDMX.

Price: $10,000.00 MXN. + Tax (16%)

LIMITED OPENINGS

REGISTRATIONE-mail: derivatives@riskmathics.comTels: +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.

WWW.RISKMATHICS.COM

AGENDA 2018

Thursday June 21 | 10:00 am - 2:30 pm

Duration: 4 Hours