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.
1. Quantitative Finance Master Classes - Liquidity Risk for Investment Funds
9 March 2018
The purpose of the “Liquidity Risk for Investment Funds” Quantitative Master Class is to provide participants with relevant information on the modelling techniques of asset and liability liquidity risk and its applications.
During this first seminar, we will review the sources of Liquidity Risk, its different facets, its linkage with other risk factors. We will explore the quantitative and qualitative approaches to assess it, and the implementation challenges associated. We will also allocate some time to a “Do-It-Yourself” implementation in Excel.
After this session attendees will:
- Understand the main facets of Liquidity Risk
- Understand techniques and data available for assessing Liquidity Risk
- Gain an overview of the implementation challenges and practical examples.
The Quantitative Master Class is designed to be highly interactive. You will have direct access to Deloitte’s Quant team and the small group discussions throughout each session will allow you to share experiences with your peers.
Agenda – Liquidity Risk for Investment Funds:
|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||‘Do-It-Yourself’ workshop - Assessing the asset liquidity of a diversified investment fund|
|15:15 – 15:30||Coffee Break|
|15:30 – 17:00||‘Do-It-Yourself’ workshop - Modelling investors redemptions for different investors bases|
|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.
2. Quantitative Finance Master Classes - Valuation of Private Debts and Loans
20 April 2018
3. Quantitative Finance Master Classes - IFRS 9
30 May 2018
4. Quantitative Finance Master Classes - Financial Derivatives Instruments Pricing
28 June 2018
5. Quantitative Finance Master Classes - Value-at-Risk
20 September 2018
6. Quantitative Finance Master Classes - PRIIPS Analytics (SRI, Performance Scenarios and RIY)
15 November 2018