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IBM Algorithmics Portfolio Replication in Algo Risk Application (G1001G)

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

Duration: 2 Days
Skill level: Advanced
IBM Algorithmics Portfolio Replication in Algo Risk Application, This course provides a practical overview of portfolio replication for insurance, with hands-on training in the construction of replicating portfolios.

Who Should Attend

  • This advanced course is for the insurance industry end-user, particularly risk managers, risk analysts, and actuaries.

Course Certifications

This course is part of the following Certifications:


  • Prior training and/or experience in RiskWatch and ARA is strongly recommended.

Course Objectives

  • Discuss the various concepts of portfolio replication, including theory, processes, and applications
  • Understand how RiskWatch and ARA are employed as key Algo components in portfolio replication construction
  • Describe the primary steps in portfolio replication
  • Select specific replicating asset types
  • Describe the Mark-to-Future cube generation process, and build MtF Cubes in RiskWatch for both the assets and liabilities based on the impact of a pre-defined economic scenario set on a variety of risk factors
  • Create a replicating portfolio from a given asset universe, using ARA's optimization module
  • Use trade restrictions and penalties to improve the quality of replicating portfolios
  • Assess the quality of replicating portfolios, including in-depth post-optimization goodness-of-fit analysis in ARA

Course Content

The two-day course balances instructor-presentation of key portfolio replication for insurance concepts with hands-on training in replicating portfolio construction. Day 1 focuses on the purpose, theory, applications, and process of portfolio replication including familization exercises and demonstrations. Day 2 is a workshop where students employ the optimization functionality of the Algo Risk Application (ARA) to build actual optimal replicating portfolios.
  • Day 1:
    • PortfoIio Replication Overview: Purpose, Applications, Process and Theory
    • Algo Portfolio Replication Components: RiskWatch and Algo Risk Application (ARA)
    • The Steps to Portfolio Replication
    • Replicating Universe Asset Types - Modeling in RiskWatch
    • Mark-to-Future Asset and Liability Cube Creation in RiskWatch
    • RiskWatch Workshop - Creating MtF Cubes in the Stress Room
    • Portfolio Optimization in ARA
    • Building Portfolio Replication Optimization Problems in ARA
    • Assessing Replication Quality: Goodness of Fit Metrics, Standard RP Reports, and Deficiencies
    • Improving Replications using Trading Restrictions
  • Day 2:
    • Portfolio Replication Hands-On Workshop using ARA Optimization Module
    • Open Discussion and Wrap-Up

Course ID: G1001G

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