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 available sessions and the topics which can be discussed with you.

Quantitative Finance Master Classes 2021 Catalogue

Following the success of our Deloitte Master Classes over the past four years, we are happy to share with you our 2021 program.
Please click on the session of your interest to have more information about the content and next available date.
If you have any questions, feel free to reach us at screpin@deloitte.lu or fdekeyn@deloitte.lu or gblanchard@deloitte.lu

This session aims to provide relevant information on the technical aspects of value-at-risk and its various applications. It covers the detailed features of the competing types of value-at-risk models. Participants will review the characteristics, strengths and weaknesses of alternative models, as well as the various techniques to estimate them. Additionally, significant attention will be given to empirically testing the adequacy of models chosen by participants. Tips and tricks for implementing these measures and tests will also be explored.
Register for session 1 on 11 March 2021.
Register for session 2 on 9 December 2021.

Liquidity risk management remains a key supervisory priority, as highlighted by recent ESMA guidelines and Commission de Surveillance du Secteur Financier (CSSF) circulars. This session aims to provide relevant information on the modeling techniques of asset and liability liquidity risk and its applications. Participants will review the sources of liquidity risk, its different facets, and its link with other risk factors. The quantitative and qualitative approaches to assessing liquidity risk and the associated implementation challenges will also be explored, and a detailed review of recent regulatory requirements will also be included.
Register for session 1 on 22 April 2021.
Register for session 2 on 18 November 2021.

Testing a portfolio under economic stress scenarios is popular with both practitioners and regulators, as highlighted by recent European Securities and Markets Authority (ESMA) guidelines. This session aims to provide participants with a stress-testing framework, breaking the process down into key steps to adopt an objective and systematic approach for implementing stress tests for investment funds. As an integral part of the stress-testing specification, significant time will be dedicated to stress horizon selection, shock calibration, sensitivities and assets co-dependencies, as well as a review of recent regulatory requirements.
Register for session 1 on 12 May 2021.
Register for session 2 on 21 October 2021.

This session aims to provide participants with an introduction to private debt as an asset class and to present various techniques for valuing private debt. Participants will also explore some tips and tricks that could be used to facilitate the valuation process.
Register for 1 June 2021.

The popularity of alternative investment funds (AIFs) continues to rise in Luxembourg. This session aims to provide the necessary foundation to set up a risk management framework for an alternative investment fund manager (AIFM) managing illiquid assets, such as private equity, real estate and infrastructure. Participants will review the critical steps of the risk management cycle, including risk profiling, risk metrics definition, and risk measurement and reporting.
Register for 1 July 2021.

Session 1—Introduction to Excel and main statistical functions
This session aims to help participants master Excel in the context of risk management and derivative valuations. Participants will review all main statistical, logical and text Excel formulas (e.g., offset, match, sumproducts, mode, if, concatenate, etc.), and dedicated case studies will be addressed (descriptive and inferential statistics).
Register for 23 September 2021.

Session 2—Excel application to derivative valuations
This session aims to help participants master Excel in the context of derivative valuations. After a theoretical refresh of the main concepts behind the valuation of financial derivative instruments and leveraging on the foundations built in session 1, participants will address specific case studies in Excel related to derivative valuations: implementation of the Black and Scholes formula, and an innovative approach to implementing a numerical valuation model using only Excel.
Register for 2 December 2021.

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Additional sessions

All the above mentionned classes and the ones listed below are as well available on demand. If you are interested in one of these Master Classes for you or a group of colleagues or if you would like to receive additional information, please contact our Events department at luevents@deloitte.lu
Each Master Class can be customized as online or in-house training according to your own needs.

This session aims to provide participants with relevant information on the technical aspects of the packaged retail investment and insurance products (PRIIPs) regulation.

This session aims to provide you with relevant information on the modeling techniques of point-in-time expected credit losses (ECL).

This session aims to provide the necessary foundation to price structured products, derivative instruments and related compounded products. It is dedicated to professionals and practitioners who, on a daily basis, require oversight of these products without potentially having time to master the entire valuation process. Participants will also be provided with a “toolbox” that will help them be more confident when handling these products.

This session aims to provide participants with an overview of risk management requirements for debt funds and industry practices, including a focus on risk profiling, risk measurement techniques, risk monitoring and governance, liquidity, credit, valuation risk, and stress testing. The session includes practical examples and use cases of risk reporting.

This session aims to provide participants with an overview of Solvency II regulation and its impacts for asset managers, regarding data exchange - through the TPT format, and computation of the Solvency Capital Requirements for Market Risk and Counterparty Risk. The session includes practical examples for different investment strategies (equity, fixed income, money market, currencies, diversified, multi asset, alternative) and asset classes (UCITS, hedge funds, infrastructure, private equity, real estate, debt funds).

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Paul, Responsible for the Risk Management Function:
I found the Deloitte Master Classes very useful, bridging the gap between theory and reality on the ground over two engaging sessions. The practical exercises were the most rewarding aspect for me, with guidance and answers to questions available on the spot. This is high-level knowledge you can use. 

 

Liliane, Managing Director:
Deloitte's Quant Master Class is not a purely theoretical training at all, but each Master Class includes a "practical" part, this aspect of the training gives participants the opportunity to acquire much more knowledge than standard training.

 

François, Head of risk: 
Each Deloitte Master Class includes a practical part that allows everyone, regardless of their academic background, to "fix" an often complex theoretical content.
The level of mastery of the speakers is no longer to be proven and their ability to popularize a sophisticated subject is impressive.
At the end of the day, the participant is really able to bring real added value in his developments/projects to be realized. 

Contacts

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 | Capital Markets – Financial Risks

Fabian joined Deloitte in February 2014 and is Director in the Capital Markets Department. He is specialised in Regulatory Reporting, OTC Valuations, Risk management advisory and solutions for the ban... More

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