Phone: (+351) 217 214 220
This program aims to a return to the basics of modeling and risk measurement for the fixed income instruments. The current financial crisis is leading to a profound change in terms of the risk analysis for all market participants. In that sense, regulators are preparing a new set of rules which are expected to minimize the potential impact on balance-sheets of business and economic cycles.
For banks, Basel III represents a significant challenge since it is going to require a deeper understanding of price risk, default probability and loss given default in order to mitigate capital and liquidity needs.
For insurance companies, Solvency II will mean a convergence between actuarial practices and mark-to-market valuation with direct impact, again, on capital and forcing to an ALM exercise (assets versus liabilities management).
Finally, for the traditional asset-managers and small investors, the on-going process of monitoring required on a portfolio strategy implies a wider knowledge of the current market dynamics, especially after the latest developments due to financial innovation.
The monitoring of the performance of each trading strategy will be done, given real market moves, through the Thomson Reuters Eikon terminal. Participants will have training, provided by Reuters, on how to use a terminal and how to book each trading position. Finally, performance correlation among participants will be also monitored in order to stimulate creativity.