26-Nov-09, UnRisk launched the UnRisk Academy to extend  its product user training with courses giving full explanation on quantitative theories, mathematical approaches and critical implementations.

Who will benefit?

Since the beginning of the financial crisis markets have shifted to new regimes, characterized by almost unimaginable anomalies, and on the quantitative side, even familiar models and valuation techniques became unmasked as unreliable.

Quants and risk professionals who want to avoid, and help avoiding, any methodological and technological risks and traps, often hidden in black boxes, will be trained in configurable courses.

What will be covered?

The foundation ist built by the UnRisk product user training, a dynamic training package that concentrates on use cases in various positions, from front offices to risk management. They give already insight in the UnRisk way of model representations and techniques. See: Technical Papers

A brand-new course package is built for comprehensive white-box learning. The course is structured in Modules:

• UM1: Models for Underlyings
• UM2: Deal Types / Case Studies
• UM3: Financial PDEs and PIDEs and their Numerical Treatment
• UM4: Monte Carlo Simulation and Longstaff-Schwartz
• UM5: Model-Calibration

The didactic approach will be explorative, with practical hands-on examples.

The typical refinement shown for UM1:

• Part 1A: Preparation, mathematical tools (random walks, stochastic differential equations, Brownian motion, Ito's lemma,...)
• Part 1B: Equity models (from Black Scholes to Exponential Levy)
• Part 1C: Interest Rate models (Short rate & market models)
• Part 1D: Derived Models:  Inflation, FX rates models
• Part 1E: Advanced Models: Jump processes (Exponential Levy, Bates, ...)
• Part 1F: Even more complex: LMM + stochastic Volatility, interest rate + jumps

The course is created as a framework that can be configured, but each Module is designed for 3 Days.

Head of the UnRisk Academy is Andreas Binder, CEO of MathConsult. "In this financial environments, risk managers need to get access to the most reliable and robust valuation and risk analytics technology", he says, "but in a white-box. And the best way to enable this is giving full insight. This is why we offer know-how packages and not only products. Consequently will the Academy be a strategic business unit at UnRisk", he adds.

For UnRisk customers, we have already scheduled on-site concrete courses.