IBM Algorithmics Portfolio Replication in Algo Risk Application

The two-day course balances instructor-presentation of key portfolio replication for insurance concepts with hands-on training in replicating portfolio construction. Day 1 focuses on the purpose, theory, applications, and process of portfolio replication including familization exercises and demonstrations. Day 2 is a workshop where students employ the optimization functionality of the Algo Risk Application (ARA) to build actual optimal replicating portfolios.

Day 1:

• PortfoIio Replication Overview: Purpose, Applications, Process and Theory
• Algo Portfolio Replication Components: RiskWatch and Algo Risk Application (ARA)
• The Steps to Portfolio Replication
• Replicating Universe Asset Types - Modeling in RiskWatch
• Mark-to-Future Asset and Liability Cube Creation in RiskWatch
• RiskWatch Workshop - Creating MtF Cubes in the Stress Room
• Portfolio Optimization in ARA
• Building Portfolio Replication Optimization Problems in ARA
• Assessing Replication Quality: Goodness of Fit Metrics, Standard RP Reports, and Deficiencies
• Improving Replications using Trading Restrictions

Day 2:

• Portfolio Replication Hands-On Workshop using ARA Optimization Module
• Open Discussion and Wrap-Up