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


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

The purpose of the event is to provide you with an introduction to private debt as an asset class and to present various techniques for valuing private debt. We will also explore together some tips and tricks that could be used to facilitate the valuation process.

After the session, you will:

  • Understand the main valuation drivers for private debt
  • Understand several frequently used valuation methods for this asset class
  • Obtain an understanding of the key contractual terms that may impact the valuation

The Quantitative Master Class is designed to be highly interactive. You will have direct access to Deloitte’s Quantitative team and 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

  • Introduction to the fair value concept and purpose of the valuation
  • Various types of private debt: market facts & trends
  • Key risks in investing in private debt and their impact on valuation (including real life examples)

10:45 – 11:00

Coffee Break

11:00 – 12:15

  • Introduction to the main methods for private debt valuation and when they could be used

12:15 – 13:15

Networking lunch

13:15 – 15:15

  • Practical walkthrough of a valuation case, whereby together we will:

o    Review the contractual terms of the asset to be valued

o    Create a simple DCF valuation model

o    Assess each input for the valuation 

15:15 – 15:30

Coffee Break

15:30 – 17:00

  • Practical walkthrough of a valuation case based on a structural approach 

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.

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 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