In this talk the process of interest rate risk management is considered. The yield curve construction is revisited and emphasis is given to aspects such as input instruments, bootstrap and interpolation. For various financial products new formulas are presented that are crucial to define sensitivities to changes in the instruments and/or in the curve rates. Such sensitivities are exploited for hedging purposes. The risk space is constructed, which eventually turns out to be a curve property, and show how to hedge any product or any portfolio of products in terms of the original curve instruments. Continue reading
Talks
Program of World Finance Conference now online
The program of the World Finance Conference in Buenos Aires is now online [update 4/4/2016 resource is no longer online].
UD is on July 23rd.
Taken from http://www.world-finance-conference.com
Invite : Between Testing and Regulations
FEN Event - July 2014
Amsterdam - July 8 2014, 19:00 @ MixTup
Financial Engineering Netherlands (FEN) is a community of specialists in software and in the financial sector that everybody can join and consult.
The next FEN event will be held on July 8 and the topic will be about
"Finance Between Testing and Regulations".
The speakers for this evening are:
Paramita Banerjee (ING) **
Paramita is a business analyst at ING. Her predominant focus has been on operationlizing change solution within global investment banks normally representing AML and Front-Office interests, and her specialties are requirement elicitation and analysis and process modelling. She is an expert in the international banking and international finance sectors.
Mert Aybat (Connected Information Systems - Connectis)
Mert is a software engineer at Connectis. He has a strong quantitative (PhD in particle physics) background as well as an exhaustive international experience (he has lived and worked in many countries, such as US, Switzerland, Netherlands, etc.). His current work is in the area of information technology in general, and his specialty is information security.
The Talks
- Paramita Banerjee: Basel III on Stress Testing & Backtesting **
- Mert Aybat: Advanced Testing with Mocks: Theory and Practice
No prior knowledge of finance and/or financial engineering and/or testing will be required.
Registration
Via the Meet-up website. Please register asap.
If you have already registered but you are not able to come anymore, please let us know.
Space-time Coordinates
MixTup, Ferdinand Bolstraat 8, 1072 LJ Amsterdam (map). Doors open at 19:00.
Blog
Read here about how this event was.
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** Paramita was sick during the actual event, so she could not attend. She was replaced by the Duckling Michele Maio (who also spoke at our opening event):
- Michele Maio: Automated Testing in Finance
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Invite: Test Driven Development for Financial Engineers
Opening FEN Event - April 2014
Amsterdam - April 24 2014, 19:00 @ Mixtup
Financial Engineering Netherlands (FEN) is a community of specialists in software and in the financial sector that everybody can join and consult.
The aims of Financial Engineering Netherlands are
- to bring together experts with similar passions, who are willing to improve themselves by sharing their knowledge with others, keeping the topics within the interest range of financial engineers, and hence including testing, programming, technology, finance, mathematical finance, etc. as subjects of discussion;
- to create an intellectually stimulating and social environment, where people can discuss about trends, problems, progress and achievements in any of the above-mentioned fields, in order to find what really matters in our work and discover how we can improve ourselves in a collaborative way.
The events will be organised in a relaxed way, with an informal pre-event drink, followed by the real event, and another social drink at the end. The real event (normally) includes two talks, with a short break in between, given by speakers in the software or finance industry. In this sense, this opening evening will be an exception, having only one speaker for the two sessions, with the additional honour of welcoming the participants. Moreover, the social aspect of the event guarantees that the participants meet new people, thus creating a great opportunity to grow each other's network.
The very first event will be held on April 24 and the topic will be about
"Test Driven Development for Financial Engineers".
The host and speaker for the opening event will will be:
Michele Maio (Ugly Duckling B.V.)
Michele recently joined Ugly Duckling in the Finance department. He has a quantitative background (PhD in theoretical physics) and his current work in finance spans various technical aspects in quantitative finance, such as research and implementation of interest rate derivative and their associated risk and the construction of the Ugly Duckling Financial Library.
Michele will introduce the Financial Engineering Netherlands community to the audience and then will give two talks about technical -but relevant- aspects of financial engineering. Specifically, the topics will be:
- Session I: Test Driven Development in Unit-like frameworks
- Session II: Test Automation and FitNesse
This will be a beginner's event, so no prior knowledge of financial engineering and/or testing will be required.
Registration
Via the Meet-up website. Please register asap.
If you have already registered but you are not able to attend anymore, please let us know.
Space-time Coordinates
Mixtup, Ferdinand Bolstraat 8, 1072 LJ Amsterdam (map). Doors open at 19:00.
Blog
Read here about how the opening night was, with slides of the talks.
Testing & Finance 2012 : “Ford’s Lean”
During our Testing & Finance 2012 talk we demonstrated how the concepts used by HROs can be used to manage the operational risks faced by modern financial institutions.
At financial institutions, the Chief Risk Officer’s primary concern is detecting and preventing catastrophes before they occur, i.e. managing risk. While financial risks are important, operational risks are becoming more so. Controlling these risks requires a new attitude to making changes, testing, releasing software and developing the right team. Continue reading
Testing and Finance 2011: Preparationism
Over the Christmas period of 2010, we started to put together a number of ideas. We cross-referenced a study of geniuses with what we’ve seen on the shop floor and combined that with the definition of a problem. (At the most abstract, solving problems is what we do, and a deep understanding of what a problem is precedes its solution.) Continue reading
Testing and Finance 2010 : It Won't Work
It Won’t Work, It Won’t Work, It Won’t Work. It Worked
At the Testing and Finance Conference in Germany we presented a case study that showed how we transformed a financial company from a level 1, ad hoc, organisation into a level 2, managed organisation. We did this by combining management techniques with testing techniques. Continue reading