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IBM Algorithmics Foundations of Risk and Financial Engineering Workbench (G1102G)

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

Duration : 2 Days

IBM Algorithmics Foundations of Risk and Financial Engineering Workbench (RFE Workbench) is a two-day, instructor-led course designed to provide financial individuals, including risk managers, investment managers, and analysts with a comprehensive overview of the application. The participants will learn the purpose and benefits of the application and perform hands-on exercises. They will explore various methods of modeling financial instruments and performing portfolio and scenario analysis, including locating key contributing risk factors, annotating sessions with key findings and re-configuring reports to validate results.

Who Should Attend

  • This intermediate course is for risk managers, portfolio managers, credit risk managers, risk analysts, business analysts, capital and compliance analysts, regulatory reporting officer, asset/liability manager, liquidity risk manager, financial engineer, financial analyst, quantitative analyst.

Course Certifications

This course is part of the following Certifications:

Prerequisites

  • There are no prerequisites for this course.

Course Objectives

  • Please refer to Course Overview for description information.

Course Content

Day 1:

  • Concepts and Methodologies

    • RFE Workbench methodology and concepts

    • Role of RFE Workbench within IBM Algo One

    • Data management for RFE Workbench within IBM Algo One

    • Mark-to-Future methodology within IBM Algo One

    • Key Navigation Features of the application

  • Financial Modeling in RFE Workbench

    • Set up of financial instruments

    • Set up of portfolios

    • Set up of valuation functions

  • Financial Modeling in RFE Workbench Cont'd

    • Set up of risk factor tables

    • Set up of foreign exchange tables

    • Set up of templates

    • Valuation of a portfolio

  • Scenario Creation in RFE Workbench

    • Scenario creation within IBM Algo One

    • Create scenario sets in RFE Workbench (what-if, iterative, generated)

DAY 2

  • Stress Testing in RFE Workbench

    • Set up Stress Test view

    • Practice of various aggregation techniques

    • Set up of simulation functions

    • Simulation of portfolios through time

  • Value at Risk calculation and report generation in RFE Workbench

    • Set up and review of parameters for non-parametric and parametric Value at Risk calculation

    • Calculation of Value at Risk

    • Creation of various risk reports

  • Investigative risk analysis

    • Identify critical scenarios in a test dataset

    • Identify critical portfolios in a test dataset

    • Use RFE Workbench Comments Manager as a collaboration tool

  • Investigative risk analysis Cont'd

    • Investigate critical scenarios

    • Investigate critical portfolios

    • Discuss critical findings

Course ID: G1102G


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