RiskLab International Conference

The 12th RiskLab-Madrid Conference on Financial Risks will take place in Madrid on May 25th 2017. The distinguished speaker line up includes Proferssor Ed Altman (NYU), Massimo Morini (Banca IMI and Boconi University), Bertrand Hassani (Banco Santander), Francisco Vazquez-grande (Federal reserve Board) and d1g1t’s CEO Dan Rosen.

Dr. Rosen’s talk is titled: “Integrating Economic Scenarios with Market and Credit Risk Simulation Analytics for Stress Testing”. While scenario analysis and stress testing have been an explicit part of risk management systems for over two decades, the typical scenario tools available to portfolio managers are still generally quite static and largely subjective. This paper, which is joint work with David Saunders from the University of Waterloo and d1g1t’s head of research, presents a new practical methodology to analyze portfolios under meaningful stress scenarios, which effectively combine economic forecasts and “expert” views with advanced portfolio simulation methods, and demonstrate the methodology through some real-life examples.

For more details on the event go to: http://www.risklab.es/es/jornadas/2017/jornada.html where you can also download the presentation and the research paper. For further inquiries contact us at getintouch@d1g1t.com.