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UnRisk: Exposure Skewness
Andreas Binder & Michael Aichinger

Swap 4175 between the City of Linz and BAWAG P.S.K. Is currently the subject of a trial at Vienna's commercial court. This article examines how a single instrument CVA calculation for Swap 4175 could be carried out. In such a CVA calculation, market risk and counterparty risk are coupled.

CQF Turns Eleven
Wilmott Magazine

As the Certificate in Quantitative Finance marks its 11th year we take a look at the history of a program that has built a reputation on delivering far beyond expectations.

Finance Focus Lecture with Unrisk: Deep Space Analytics
Michael Aichinger and Andreas Binder 1418 Views

UnRisk and MathConsult hosted a lecture for finance industry professionals on 22 May 2012. It was a free lecture presented by Michael Aichinger and Andreas Binder.

Lecture contents:
The European Extremely Large Telescope (E-ELT) will go into operation in 2020 and will then, with its 40 meter mirror, be the largest ground-based telescope on earth. The Austrian Adaptive Optics Team (consisting of MathConsult, RICAM and the Industrial Math Institute) have been and are developing the mathematical algorithms for deblurring the deep space images by deformable mirrors.

For certain applications in Adaptive Optics, these algorithms are 100- 1000 times faster than conventional methods and can therefore adjust the mirror on a kilohertz scale. Some adaptive optics results will be presented before turning to finance.

In computational finance, the challenges are similar: - Data are changing rapidly, and only fast, stable and robust algorithms can meet the increasing requirements. - It is often difficult to distinguish between information and noise. Improper methods may lead to artefacts. - Different deep space objects (stars, planets) need various methods for their detection and exploration. In finance, valuation analysis, risk assessment and risk management get more significant explanatory power by applying a multi-method approach.

The speakers have been working on their book "A Workout in Computational Finance", Wiley Finance (to appear in Q4 / 2012) for the last 18 months. It is their (you could name it) mission to present various numerical methods useful for the quant finance practitioner and to discuss their strengths and weaknesses.

alphascope - 3-5 February 2015 - Geneva - 10% Wilmott Discount

3-5 February 2015, InterContinental, Geneva

10% Discount for Wilmott members - quote VIP code FKN2448WMW

alphascope is the event to discuss new quantitative investment management and asset allocation strategies for institutional investors, allocators, asset managers, traders & banks, catering for all levels of technicality.

Uniting the latest research and business best-practise in quantitative and systematic investment with engaged networking and mind-opening guest speakers, this is the only event of its kind to combine a scientific approach to research and innovation with engaged networking between end investors and investment managers.

Fantastic names already confirmed on the line-up!

Over 70 expert speakers have already been confirmed on the αlphascope agenda, including top investors and allocators from GROSVENOR ESTATE, AP3, PGGM, DEUTSCHE BANK, EIM, ABN AMRO PRIVATE BANK, NBAD, KI CAPITAL, ABERDEEN ASSET MANAGEMENTS and more. You?ll also have the chance to hear from exciting guest speakers including:

- Didier Sornette, Professor, ETH ZURICH
- Maneet Ahuja, Presenter, CNBC & Author of ?The Alpha Masters?
- Major General Jonathan Shaw CB CBE, Former Assistant Chief Of Defence Staff, UK MOD
- Dilip Madan, Professor Of Mathematical Finance, UNIVERSITY OF MARYLAND

The most comprehensive agenda of its kind!

Benefit from the latest quantitative research in investment and asset allocation methodologies. Topics on the αlphascope agenda include CTAs & Systematic Investment, Alternative Beta & Risk-Based Approaches, High Frequency Trading, Global Macro, Relative Value Investments, Long-Short Equity Strategies, Data Mining, Volatility Strategies, Innovations In Fixed Income and more!

Create connections with Engaged Conversations and networking!

'Engaged Conversations' is a programme of informal, peer-to-peer sessions planned to give you practical solutions, engaged involvement and an interactive experience. Don?t miss your chance to partake in:
Investor/Manager Speed Networking = business cards at the ready ? meet up to 12 contacts in 20 minutes

Portfolio Manager & Technology Showcases - present your investment or technology solution to our audience as well as a panel of judges

Too Hot To Touch - with a ban on reporting anything that is mentioned inside, these sessions enable a frank and honest discussion between attendees and speakers
Strategy-Themed Networking Roundtables - sign up on the day to sit at the table of your choice, giving you the opportunity to ask your questions and networking with a top speaker

One-To-One Meetings - if you have a specific group of clients who you want to reach out to at αlphascope, why not let us coordinate a series of meetings for you at the event. This service is aimed at asset managers, who can get more information from Rustum Bharucha at
Myαlphascope Networking Portal & App - view the delegate list, set up meetings and plan your agenda

Optional Ski Day - Once the hard work is done, come relax with αlphascope on the snowy peaks of the Alps. Cement connections formed during the event and relax into the weekend

Visit the αlphascope website now for details of the 2015 programme and speaker list to date:

For more information or to register please contact the ICBI team on +44 (0) 20 7017 7200, or visit the website here:

You can get a 10% discount with the VIP code FKN2448WMW
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