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IBM Algorithmics Modeling for Algo Scenario Engine (G0202G)

  • Overview
  • Who Should Attend
  • Certifications
  • Prerequisites
  • Objectives
  • Content
  • Schedule
Course Overview

Duration: 1 Days

Skill level: Advanced

Modeling for Algo Scenario Engine™ is an advanced scenario generation application. It is an important part of integrated market and credit risk solutions. The scenarios created in ASE are based on historical time series data of observable market rates and prices. The scenarios generated by ASE are used for simulation and stress testing of portfolios. This course builds upon the Introduction to ASE.

Upon successful completion of the course, the participant will be able to:

Who Should Attend

This advanced course is aimed at finance individuals, including risk managers, trading analysts, investment managers, and financial analysts.

Course Certifications

This course is part of the following Certifications:

Prerequisites

Basic knowledge of UNIX is required.

You should have completed:

  • IBM Algorithmics Introduction to Algo Scenario Engine

 

Course Objectives

Please refer to Course Overview for description information.

Course Content

This one-day course is delivered through a number of mediums, including product demonstrations, instructor-led exercises and self-paced hands-on practice.

Day 1:

  • Review of ASE GUI and environment
  • Discuss Input data requirements for scenario generation in ASE
  • Review of ASE into its components
    • Blocks/ Models/ Estimations/ Transformations/Scenario Generator
  • Bring all the components together in Scenario Sets
  • Create single and multi-step Monte Carlo Scenarios through deeper analytics
  • Construct conditional scenarios
  • Build Risk Neutral scenarios
  • Assemble Standard Shift Scenarios
  • Transfer data between ASE and RiskWatch

Course ID: G0202G


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