Quantitative Finance Master Classes

Solutions

Quantitative Finance Master Classes

Moving towards a Deloitte Quantitative Center of Excellence

The Deloitte Quantitative Master Classes are designed for in-depth training dedicated to practitioners: the world of quantitative finance applied to the real day-to-day world. The classes are addressing practical cases of implementation of real life problems. Check out the list of our upcoming sessions and the topics we will discuss.

Quantitative Finance Master Classes 2018

Please click on the title to have more information on each of the Quantitative Finance Master Classes.

If you have any questions or would like to propose a new topic for a future session, feel free to reach us at xzaegel@deloitte.lu or fdekeyn@deloitte.lu

1. Quantitative Finance Master Classes - Liquidity Risk for Investment Funds
9 March 2018
  

2. Quantitative Finance Master Classes - PRIIPS Analytics (SRI, Performance Scenarios and RIY)
20 April 2018


3. Quantitative Finance Master Classes - IFRS 9
30 May 2018


4. Quantitative Finance Master Classes - Financial Modelling in Derivative Instruments Valuation
28 June 2018


5. Quantitative Finance Master Classes - Value-at-Risk
20 September 2018

The purpose of the Value-at-Risk Quantitative Master Class is to provide you with relevant information on the technical aspects of Value-at-Risk and its various applications.

The seminar will cover the detailed features of Value-At-Risk. We will review the history of Value-At-Risk, the general theory behind it, and the various techniques to estimate it. We will also explore together some tips and tricks for implementing this measure, as well as concrete examples of implementation.

After the session, you will:

  • Understand the main applications of Value-At-Risk
  • Understand the main concepts behind this measure
  • Gain an overview of its practical uses.

The Quantitative Master Class is designed to be highly interactive. You will have direct access to Deloitte’s Quantitative team and the small group discussions throughout each session will allow you to share experiences with your peers.

Agenda - Value-at-Risk:

8:45 – 9:00

Welcome Coffee

9:00 – 9:30

Review of participants' objectives

9:30 – 10:45

  • History – notions of market risks
  • Financial markets’ stylised features
  • Theoretical foundations
  • VaR definition and limitations
  • Use of value-at-risk (market risks, portfolio optimization, regulatory disclosure,…)

10:45 – 11:00

Coffee Break

11:00 – 12:15

  • Dissecting the VaR
  • Assessing the risk factors (mapping methodologies)
  • Modelling the risk factors (distributions and correlations)
  • Parameters estimation: techniques and models (e.g. Garch, EWMA,..)
  • Value-at-Risk Methodologies: Historical, Variance-Covariance, semi-parametric, Simulation
  • Treatment of derivatives
  • Value at risk and copulae

12:15 – 13:15

Networking lunch

13:15 – 15:15

  • Practical application: Value-at-Risk calculation

15:15 – 15:30

Coffee Break

15:30 – 17:00

  • Practical application: Value-at-Risk backtesting

17:00 – 17:30

Master Class closure (Final Q&A, Evaluation by participants, Closing Remarks)


Note: The agenda may be subject to change depending on specific requests we receive from participants.

The presentation will be held in English.

6. Quantitative Finance Master Classes - Valuation of Private Debts and Loans
15 November 2018

Quantitative Finance Master Classes 2018

Contacts

Xavier Zaegel, FRM

Xavier Zaegel, FRM

Partner | Capital Markets/Financial Risk Leader

Xavier is a partner within the advisory and consulting department and is the head of the Capital Markets practice in Luxembourg. As a market and credit risk specialist, he has been leading various ass... More

Sylvain Crépin, FRM

Sylvain Crépin, FRM

Partner | Capital Markets/Financial Risk

Sylvain Crepin joined Deloitte Luxembourg in January 2012 and is Directeur in the Financial Risk Management department. He is specialised in risk management advisory and solutions for the investment f... More

Fabian De Keyn, CQF

Fabian De Keyn, CQF

Director | OTC Valuations

Fabian De Keyn is Director within our Capital Markets unit in Luxembourg. He has specialized over the different years in OTC instruments and structured products valuation. Fabian holds a MSc in Civil ... More