Recent advances in Financial Modelling for Risk Management
DATE : November 5, 10 & 19, 2021 LENGHT : 3 x 3h (from 14h to 17h30 with 2 breaks of 15min.) TYPE : Online training via Teams INDUSTRY : Bank, Insurance EXPERTISE : Financial quantitative modelling and risk modelling LEVEL : All level REQUIREMENTS : A computer with dedicated R packages LANGUAGE : Speaker: French | Material: English ACCREDITATION : 9 CPD points | 54 points PPC
This training focuses on recent developments in quantitative finance applied to risk management.
The first part covers regime switching models for stock prices in which parameters are modulated by a hidden process, representative of the economic conjuncture.
The second part is dedicated to self-excited processes that replicate the spillover of shocks in stock markets.
The third part is devoted to the Bayesian calibration of processes with Monte-Carlo Markov chain methods.
The last part focuses on the Heston model for stock price and the filtering of the stochastic volatility. For all models, we cover the option pricing by Fast Fourier transform and their econometric estimation. The R code of illustrations will be provided to participants.
At the end of this training, the participants will be able
to design models for stock prices with various features including economic cycles, spillover of jumps or stochastic volatility;
To implement Fast Fourier transform (FFT) methods for pricing options in these frameworks;
To estimate models from time series with Bayesian techniques such as MCMC or Particle MCMC.
This training is given by
About the trainer
Donatien is a Qualified Actuary and holds a PhD in the area of Assets and Liability Management. He is Scientific Director at Detralytics and professor at UCLouvain where he is Director of the new Master program in Data Science, statistical orientation.
Prior to this he held several positions as associate professor at Rennes School of Business and the ENSAE in Paris. He also has several field experiences having worked as Risk Officer, Quantitative Analyst and ALM Officer.