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

4. Quantitative Finance Master Classes - Value-at-Risk
26 September 2019

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


6. Quantitative Finance Master Classes - Stress Testing for Investment Funds
5 December 2019

8:45 - 9:00

Welcome Coffee

9:00 - 9:30

Review of participants' objectives

9:30 - 10:30

Stress Testing for investment funds: requirements and principles

• Introduction and definition
• Regulatory requirements
• Governance, good practices and principles
• Stressed risk factors
• The map – golden steps of Stress Testing

10:30 - 10:45

Coffee break

10:45 - 12:15

Designing and implementing a Stress Testing Framework

• Identification of relevant risk factors
• Data treatment
• Calibration of shocks
• Estimate factors dependence
• Evaluation of the impact of shocks
• Considering default factor
• Considering liquidity factor
• Stress Testing model review
• Documentation

12:15 - 13:45

Networking Lunch

13:45 - 15:15

Practical application: Calibrate an historical and parametric shock

15:15 - 15:30

Coffee Break

15:30 - 17:00

• Practical application: Estimate the dependence between factors under stressed conditions
• Practical application: Compute the impact on the valuation of a fund

17:00 - 17:30

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


Attendance to this event is by invitation only
.

The presentation will be held in English.


7. Quantitative Finance Master Classes - Risk management for AIF: Real estate, Private equity, Infrastructure, Debt funds
13 December 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