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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 firstname.lastname@example.org or email@example.com or firstname.lastname@example.org
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.