IBM SPECIAL DELIVERY REQUIRED COURSE: This ISDR course cannot be scheduled without IBM approval. If interested in this course, please contact your Local training Administrator.This course provides a practical overview of portfolio replication for insurance, with hands-on training in the construction of replicating portfolios.
Prior training and/or experience in RiskWatch and ARA is strongly recommended.
This advanced course is for the insurance industry end-user, particularly risk managers, risk analysts, and actuaries.
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. Learn about, Algorithmics, Algo Integrated Risk Reporting Platform.