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Quantitative Methods for Risk Management


Objective: a 3-day no more "black-box" philosophy is used to explain quantitative methods to apply to real world valuation and risk management issues, and:

·        to provide a lucid explanation of those quantitative methods which are required for, or arise in the natural course of transacting and managing securities and derivatives

·        the principle focus is on understanding the uses and misuses of mathematical methods and “models” which are required in everyday business

·        to come to grips with the foundation of these methods and a consolidation of the techniques and ideas

·        to never have to worry about using a “black-box” again

Will learn:

·        to keep focus on  P&L regardless of "theory"

·        what techniques mean and don’t mean, and when and when not  to use specific techniques

·        to understand and have working knowledge of specific techniques

Audience: market professionals with 2-years experience

·        Traders, sales, support,

·        Management, treasurers,

·        Risk Management

·        not really intended for experienced quants (unless they want to know how trader’s think)

Table of Contents

1)     Review of Basic Maths: a pedestrian link to understanding the key concepts in a VaR setting

2)     Curves and Surfaces for Risk Managers: splines, yield curves, volatility surfaces analysis

3)     The Answer is in the Root: “root finding” as in implied volatility, yield from price, compound options etc.

4)     VaR as the inverse Options Problem: practical introduction to classification and integration method for determining VaR limits.

5)     Valuation and Risk Management Under Uncertainty a lucid introduction to the methods (calculus) of uncertain (stochastic) processes as applied to assessing value and risk of securities and derivatives

6)     Understanding (Options) Models: where they come from, what they mean, a down to earth explanation of the intuition behind, and the models used for securities and options pricing, and term structure representation

7)     Solving the Problem: a practitioner’s guide to the techniques available for “solving” securities risk models, options models, term structure models and related problems.

8)     Portfolio Simulation and Hedging Efficiency: an introduction to the methods required for real world portfolio risk management including backward and forward VaR efficiency (are you over VaR’d?).


720 Pages of comprehensive and extensively illustrated Handout Notes (see samples here)

Plus copies of relevant TG2 Books/e-Books

Note: Seminars can be tailored to your trading, risk, client, and systems needs.  Submit your needs, and/or "cut/paste" from other Seminars (see entire "standard" list HERE)


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Last modified: July 25, 2011