IBM Algorithmics Portfolio Replication in Algo Risk ApplicationIBM
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Häufig gestellte Fragen
Prior training and/or experience in RiskWatch and ARA is strongly recommended.
Was lernen Sie in diesem Kurs?
This course provides a practical overview of portfolio replication for insurance, with hands-on training in the construction of replicating portfolios.
Training Paths that reference this course are:
- IBM Algorithmics - Insurance Risk Manager
- 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