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RiskManager User Group

MSCI cordially invites you to participate to our annual RiskManager User Group Event on May 21st, 2019.
 
Our lead experts from the Research and Technical teams will present on several topics which are relevant in today’s market environment and targeted to the Luxembourgish financial market.
 
It will be a great opportunity to learn and apply best practices in risk management and network with industry colleagues.
 
Agenda Topics
  • From Normal to Fat-tailed MC VaR Distribution: Evidences from the Model Validation
  • ESMA Liquidity Risk Stress Testing: Discussion on the Proposed Guidelines
  • Valuation of Structured Products in RiskManager
  • Predictive Stress Test Diagnostics: Separating Signal from Noise

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May 21, 2019

Luxembourg


Time

8:30 a.m. - 12:30 p.m.

Location

Le Royal Hotel
12, Boulevard Royal
Alpha Meeting Room
L-2449 Luxembourg

Agenda

Tuesday May 21, 2019
TIME DETAILS
8:30 a.m. Registration and Breakfast
9:00 a.m. Opening Remarks and Product Roadmap
9:30 a.m. Topic 1: Fat-tailed MC VaR Distribution
10:15 a.m. Coffee Break
10:45 a.m. Topic 2: MMFR and Liquidity Risk Stress Testing
11:30 a.m. Topic 3: Structured Products in RiskManager
12:00 p.m. Topic 4: Predictive Stress Testing Diagnostics
12:30 p.m. Conclusion

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Event Speakers

Thomas Verbraken

Executive Director, Risk Management Solutions Research | MSCI

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Mallikarjun Choudhary

Vice President, Client Coverage | MSCI

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Michael Hayes

Executive Director, Model Validation & Best Practices Research | MSCI

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