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 2019

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 - Valuation of Private Debts and Loans
15 March 2019

2. Quantitative Finance Master Classes - Liquidity Risk for Investment Funds
16 May 2019

8:45 - 9:00 Welcome Coffee
9:00 - 9:30 Review of participants' objectives
9:30 - 10:45 • History and regulatory background
• A two-face risk: asset liquidity and funding needs
• Inter-relationship with other risk factors
• Liquidity during stressed conditions
• The Liquidity paradox
• Costs of liquidity
10:45 - 11:00 Coffee break
11:00 - 12:15 Liquidity Risk from a modelling perspective:
• The Measurement problem
• Key drivers for asset (market) liquidity
• Modelling asset liquidity
• Identifying funding needs or liquidity liabilities
• Modelling investors redemptions and investors behaviors
• Forecasting models for asset liquidity and liquidity liabilities: a Monte Carlo approach
• Designing stressed scenarios and early warning signals
• Aggregated liquidity risk profile
12:15 - 13:15 Networking lunch
13:15 - 15:15 Practical application workshop - Assessing the asset liquidity of a diversified investment fund
15:15 - 15:30 Coffee break
15:30 - 17:30 Practical application workshop - Modelling investors redemptions for different investors bases
17:30 - 18:00 Master Class closure (Final Q&A, Evaluation by participants, Closing Remarks)


The presentation will be held in English.


3. Quantitative Finance Master Classes - The Quant side of Machine Learning
4 June 2019


4. Quantitative Finance Master Classes - Stress Testing
26 September 2019


5. Quantitative Finance Master Classes - Financial Modelling in Derivative Instruments Valuation
17 October 2019


6. Quantitative Finance Master Classes - Value-at-Risk
14 November 2019

Quantitative Finance Master Classes 2019

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 Partner in the Financial Risk Management department. He is specialised in risk management advisory and solutions for the investment fun... 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