UnRisk - Innovative Spiral from Derivative Analytics to Risk Management

What happened on 6-Nov-12 in Vienna

14:00

Welcome

UnRisk celebrates 11 years of serving financial institutions with advanced quantitative finance solutions and tools by drawing together customer and own experiences, whilst driving advanced mathematical schemes and generic technologies                                                                    

14:05

to

16:50

Heinz EnglMathConsult Founder and Scientific Advisor, Vienna. Mathematics Cross-Sectional - from Blast Furnaces to Structured Financial Products

Stefan Fink, Treasury, Raiffeisenlandesbank OOe, Linz. Reduce Complexity to the Max - 11 Years of Using the UnRisk Engine as a Universal Front Office Pricing Tool  Video

Michael Schmid, Risk Management, Raiffeisen Capital Management, Vienna. Analysis of Market Risk in Investment Portfolios Applying Historical Simulation Under a Full Valuation Approach  Video

Guillermo Alfaro Bau, Partner, Solventis, Barcelona. UnRisk Olè - Building a Comprehensive Valuation and Risk Management Webservice for Solventis' Wide Customer Base  Video

Coffee Break

Grant Fuller, CEO, Axicorda, London. Smart Transparency Trough On-demand Risk and Hedging Analytics 

Wolfgang Mair, Senior Consultant, Deloitte Financial Advisory, Vienna. A New Way of Applying Advanced Analytics in Derivatives Pricing through a Software-as-a-Service Model  Video

Rolf Grob, Advisory Innovations, Credit Suisse Private Banking, Zurich. An Innovative Way to Approach Clients: Explaining Complex Financial Concepts to Non Experts Part1 Part2 Video

Andreas BINDER, CEO, UnRisk, Linz. 11 Success Factors of UnRisk Video                                                                                                                                                                                                    

16:50

Panel and individual discussion - with refreshments, snacks and a little celebration with champagne

 

28-Apr-11, 15:30  - 17:30

Vienna, Grand Hotel, Kärntner Ring 9, Salon 7+8

Agenda

15:30

Welcome

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

 

Presentation, Andreas Binder, Michael Schwaiger, UnRisk Consortium

We want to point out that VaR is not the end but the beginning of advanced risk management processes, that UnRisk calculates a VaR cube for a deeper understanding of sources and impact of different risk factors and how UnRisk's blazingly fast calculation and intelligent computational minimalism empower the computation of such cubes in 3 min instead of 12 hours. The presenters will give exclusive insight with full explanation in methods and implementations and show live examples

A First Example

Analyse a portfolio of different asset classes

Value at Risk – Theory and Methodologies

How UnRisk covers historical, parametric and Monte Carlo VaR Common features of these VaRs, differences, advantages, drawbacks

Risk Factors in the UnRisk VaR

Analyse your portfolio with respect to various risk factors. How UnRisk handles interest rate, exchange rate, equity, credit and volatility risk. And even more risk factors

Different VaR Numbers – Outputs

How UnRisk calculates different VaR numbers: portfolio level VaR, instrument level VaR, single risk factor VaR, contribution VaR

A Second Example

A live demonstration of the UnRisk VaR step by step, from the inputs to a basic risk report.

Outlook: VaR in the UnRisk FACTORY

17:00

Panel and individual discussion 


Agenda

15:00

Welcome by Elkan

Presentation, This email address is being protected from spambots. You need JavaScript enabled to view it., UnRisk Consortium

We want to point out that each single task in quantitative finance can become complex and bear the danger of fundamental mistakes, why those can become horrible in interplay and that there is hope to avoid them and how

Model Types

There are so many models around. Which one should I use? What do they have in common? What are their differences? Can model risk be quantified? What does model uncertainty mean? Do more factors really explain more?

Numerical Methods

Famous people use trinomial trees. When do they make sense? Are their limitations? What are advantages of Finite Differences or Finite Elements? What do I have to take into account? Is MonteCarlo just gambling? What does QuasiMonteCarlo mean? How do I treat Bermudan rights in Monte Carlo?

Parameter Identification and Model Calibration

Model parameters should be stable and robust. How can I achieve this? Can I really? Which data should be used? And how many of them? The fit is good. Why is the price so bad? What does overfitting mean?

Implementation Aspects

Modern computer architectures allow faster calculations by parallelisation. What do I have to consider? What can I learn from the Play Station? How can I use parallel architectures in risk management?

UnRisk live examples

16:30

Panel and individual discussion

Downloads

Please download talks presented at the "Model & Method Risk in Quantitative Finance" event in Prague.

Agenda

Date: 13-Sep-10

Venue: Shenyang Hall, 2nd floor on River Wing, Pudong Shangri-La Hotel

Address: 33 Fucheng Road, Pudong, Shanghai

Organizer: China-Quants

14:00

Welcome by China Quants

We want to point out that there are reasons to introduce mathematical schemes that are not common in financial circles and that it is important to implement them properly and tie them together to know-how packages. We want to present the UnRisk way of providing process-through consistency for pricing and risk analytics and how the UnRisk product suite is built to meet this indispensable requirement.

And we want to point out that each single task in quantitative finance can become complex and bear the danger of fundamental mistakes, why those can become horrible in interplay and that there is hope to avoid them and how.

Presentation, This email address is being protected from spambots. You need JavaScript enabled to view it., UnRisk Consortium

Explore the Power of UnRisk

  • Background and Technology
  • Coverage
  • Products with live presentations of practical UnRisk-Q, UnRisk PRICING ENGINE and UnRisk FACTORY applications

Model and Method Risk

  • Models and Underlyings
  • Deal Cases
  • Traps of Models & Methods andHow to Avoid Them
16:45

Panel and individual discussion

Agenda

15:00

Welcome.

15:05

Insight into new mathematical approaches, algorithms and numerical schemes.

This email address is being protected from spambots. You need JavaScript enabled to view it.: Finite Element and Streamline Diffusion Techniques, High-End Numerics for Derivatives Analytics with Unmatched Accuracy.

Heinz W. Engl: Identification of model parameters in Computational Finance based on inverse problems techniques.

Interacting with live examples in
the UnRisk2 working environment. Mathematica. Excel. Web.

This email address is being protected from spambots. You need JavaScript enabled to view it.: how UnRisk2 quickly transforms high-end numerics into values.

Stefan Fink: Computational finance at the largest bank of Upper Austria.

17:00

Discussion and farewell coffee.

Downloads

Please download talks presented at the "PDE and Mathematical Finance" event in Stockholm.

 

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Success Stories

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For the so-called local volatility model, Bruno Dupire derived a closed form sol...

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Workout in Computational Finance

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