Applied Monte Carlo Simulation in Finance
Led by:
David Vose, Senior Partner, Vose Consulting
Dr. Huybert Groenendaal, Partner, Vose Consulting
Qualifies for Continuing Education Credits:
NASBA CPE - 19.2
CFA CE - 16
ACCA CPD
Locations
2-Day Workshop: October 6-7, 2008
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Location: London
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GARP Individual, Student & Fellow Member Rates
Register before August 25
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Register after August 25
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£1,350
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$1,425
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Affiliate & Non-Member Rates
Register before August 25
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Register after August 25
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$1,425
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$1,500
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2-Day Workshop: November 18-19, 2008
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Location: New York (Jersey City)
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GARP Individual, Student & Fellow Member Rates
Register before October 7
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Register after October 7
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$1,800
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$1,900
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Affiliate & Non-Member Rates
Register before October 7
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Register after October 7
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$1,900
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$2,000
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Introduction
This advanced workshop has been developed by one of the world’s leading practitioners and is a perennial favorite GARP workshop. It combines theoretical sessions with practical presentations in order to provide delegates with a comprehensive analysis of Monte Carlo techniques. In addition to discussions of recent innovations in the application of Monte Carlo methods, the workshop will cover VaR Monte Carlo, Portfolio Selection Monte Carlo, Credit Loss Monte Carlo, and much more. Past delegates have praised this workshop as “very practical with useful examples and theories” and have completed the workshop“ready to do some work on Monte Carlo simulation.”
Who Should Attend?
This is an intensive and highly interactive workshop, with practical case studies, exercises and group activities, as well as the latest practical and theoretical insights designed for intermediate to advanced level professionals. This workshop has broad interest to those in the financial services, including investment bankers, asset/fund managers, merchant bankers, software developers, insurance company personnel, quantitative analysts, and regulatory bodies.
What will you get out of this Workshop?
Gain a detailed understanding of Monte Carlo simulation and its application to financial problems
Understand the general simulation framework, interpretation, analysis of results, strengths and weaknesses
Learn about the practical application of the Monte Carlo simulation to financial problems such as Value-at-Risk and portfolio selection
Practical Excel implementations that delegates will be able to reference after the workshop
Content
For this intensive and highly interactive workshop, all delegates are strongly recommended to attend the workshop with a laptop computer loaded with Microsoft Excel.
Introduction
History of Monte Carlo simulation
Brief review of applications
Overview of the mathematics of Monte Carlo simulation
Exploratory data analysis
Time Series Monte Carlo
VaR Monte Carlo
Position gathering
Historical data sources
Covariance matrix generation
Matrix factoring
Hypothetical P&L generation
Order statistic selection
Comparison with other VaR techniques
Portfolio Selection Monte Carlo
Structuring the problem
Estimating margin requirementsCredit Loss Monte Carlo
Similarities to VaR estimation
Default and transition metrics
Recovery rates
Creditmetrics vs. KMV
About the Workshop Leader(s)
David Vose is an internationally recognized expert in risk analysis and Monte Carlo simulation and author of the book “Risk Analysis; a quantitative guide” (by Wiley), now in its third edition. David is senior partner at Vose Consulting, a risk analysis consulting, software and training firm. He has trained over a thousand professionals in risk analysis modeling. Model Risk for Insurance and Finance, an advanced risk modeling software package, is based on his expertise and experience.
Dr. Huybert Groenendaal is partner and senior risk analysis consultant at Vose Consulting. Huybert teaches a variety of risk analysis training courses including Introduction to Quantitative Risk Analysis, Project Risk Analysis, Corporate Finance Risk Analysis and customized courses for clients. Huybert also lectures at the executive MBA program of the School of Management at the University of Texas at Dallas and co-developed ModelAssist, a unique and comprehensive risk analysis training and reference tool. Dr. Groenendaal is an adjunct professor at Colorado State University.
By becoming a GARP member you become part of a global community of financial risk professionals. 
