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Scenarios III: Using Economic Fundamentals to Generate Scenarios: Wilmott Magazine Article
Bill Ziemba 1482 Views

We begin to discuss the vast potential of using economic fundamentals along with various scenario generation techniques to tilt the historical data into better future scenarios.
"How do I price this?": Coin Tossing Problem Solved By Binomial Algorithm
Wilmott 4628 Views

OzQuant posted the following message "How do I price this? (up & out option?)" on the Technical Forum on 2nd August: "I thought you guys should be able to tell me what the answer is straight away...

STRESS TESTING EUROPE 2010 - Zurich - Register by 26th February 2010 and SAVE up to €500 - Additional 20% Discount
20% Discount Quote VIP CODE: KM6392WMTEM
Register by 26 February and SAVE even more!

To register for Stress Testing Europe 2010 click here.
To register for Stress Testing for Risk Management & Capital Planning click here.

This conference is the key European forum dedicated to sharing best practice and innovative stress testing techniques within the Banking and Investment Sector.

The 2nd Annual European Forum:
STRESS TESTING
EUROPE 2010
Regulatory Guidance & Industry Case Studies
23 & 24 March 2010 ● Zurich, Switzerland

…PLUS the Post Conference Workshop:

Emerging Technique & Strategy in
Stress Testing for
Risk Management & Capital Planning
25 March 2010 ● Zurich, Switzerland


Obtain practical guidance on:
• Regulatory Expectations and feedback
• Credit Portfolio Model performance in market stress
• Cyclical Stress Testing for Macro Economic Scenarios
• Enhancing Capital Planning and management

Benchmark your approach to:
• Liquidity Stress Testing vulnerabilities
• Market and Credit Stress Testing interplay
• Unexpected Event and Macro-Economic Scenarios
• Maximising the Value in the ICAAP

Gain new insights into:
• Stress Testing Across Risk Types
• Embedding a Group-Wide Stress Testing model
• Interaction with Economic and Regulatory Capital
• Informing Risk Profile and Directing Management

Access recent developments in:
• Operational Risk Stress Testing
• Market Risk Stress Testing
• Analysing Systemic Risk and Contagion
• Macro and Microeconomic stress testing
• Ratings Agency Approaches to Evaluation

Attending this case-study led event will provide access to a wealth of unique perspectives selected to add practical value to your risk and capital management activities.

Contributors already confirmed include:

Roland Goetschmann, Risk Management Large Banking Groups, FINMA
Trevor Wells, Executive Director, Scenario Analysis, UBS
Phil Rogers, Head of Risk Strategy, European Risk, HSBC
Oliver Deutscher, Head of Liquidity and Collateral Trading, DZ BANK
Johannes Gauger Rebel, Head of Market Risk, NYKREDIT
Alistair Mcleod, Head of Portfolio Analytics, BARCLAYS CAPITAL
Herve Genvy, Head of Global Risk, ICAP
Colin Burke, Head of Group Wholesale Portfolio Analytics, LLOYDS BANKING GROUP
Rune Toft Nielsen, Stress Test Expert, DANSKE BANK
Sean Cotton, Team Leader Capital Models & ICAAP, NORDEA BANK
Sophia Velissaratou, Senior Portfolio Modelling Analyst, ING
Hannes Huck, Senior Basel II Manager, RAIFFEISEN INTERNATIONAL BANK
Carola Schuler, Managing Director, Financial Institutions, MOODY’S
Urs Wolf, Senior Manager, Risk & Performance Management, DELOITTE
Mike Finlay, Managing Director – EMEA, RISK BUSINESS INTERNATIONAL
Lionel Stehlin, Senior Manager, ERNST & YOUNG


Register by 26th February 2010 and SAVE up to €500

Remember as a Wilmott member you are entitled to a further 20% Discount, just Quote VIP CODE: KM6392WMTEM

To register for Stress Testing Europe 2010 click here.
To register for Stress Testing for Risk Management & Capital Planning click here.


Alternatively, email custserv@infoline.org.uk or call us on +44 (0)20 7017 7702, quoting VIP code: KM6392WMTEM.
Senior Quantitative Analyst - New York City - The D. E. Shaw group
Senior Quantitative Analyst

The D. E. Shaw group is looking for exceptional senior quantitative analysts to join its systematic trading strategies in New York City. Candidates should have an outstanding academic and professional track record; a technical degree from a top-tier university; and a demonstrated history of developing successful quantitative models, preferably involving transaction cost analysis and/or high-frequency trading. Candidates should be innovative and analytical thinkers with strong communication skills, and should demonstrate proficiency with the numerical and statistical tools needed to develop robust signals from market data. We are looking for individuals who are enthusiastic about taking a hands-on approach and collaborating with top technical talent in a collegial, meritocratic work environment characterized by informality and intellectual rigor.


You can learn more about us and apply online at https://www.deshaw.com/recruit/jobs/Ad/Wilmott/SeniorQuant.


Members of the D. E. Shaw group do not discriminate in employment matters on the basis of race, color, religion, gender, pregnancy, national origin, age, military service eligibility, veteran status, sexual orientation, marital status, disability, or any other protected class.
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