Events - Seminars

Speed up Computational Finance with MATLAB®

Seminar Overview

Are you looking to speed up your model development, more effectively deal with complex analytics, automate cumbersome repetitive tasks, and make your programs accessible to decision makers such as risk- and portfolio managers?

During this free seminar you will learn how MATLAB® provides a natural framework to seamlessly move between the various tasks in the process of prototyping, development, and integration with data sources and front-end systems.

You will also learn why financial professionals say that developing applications in MATLAB can save 90% of the time needed to program in other environments.

This event includes a guest presentation by Gerd Castermans and Bart Hamers from DEXIA Group - Risk Management, Portfolio Management & Modeling on “Basel 2 AIRB Credit Risk Modeling using MATLAB”.

Thank you for your interest in MathWorks Seminars. There are no dates currently scheduled for this Seminar. For more information on our seminars and products contact MathWorks sales or please visit:

Who Should Attend

Risk and Portfolio Managers
Risk Analysts
Quantitative Analysts
Analytical Researchers
Actuaries
Economists

Agenda
8.30	Registration & small breakfast
9.00	Introduction
9.10	Prototyping and developing a Credit Value at Risk calculation Combine data from databases and spreadsheets Estimate transition probability matrices using bootstrapping Computation of the value at risk using a Credit Metrics™ approach
10.15	Coffee break
10.30	Guest presentation: Basel 2 AIRB Credit Risk Modeling using MATLAB By Gerd Castermans and Bart Hamers from Dexia Group Dexia will explain why and how they use MATLAB in their day to day modeling and data manipulation tasks. The focus will be on the use of MATLAB for modeling of PD, LGD and EaD, and how MATLAB can be used for automating the yearly model backtesting and Pillar 1 stress testing.
11.00	Break
11.15	Effectively deal with your prototyping to production workflow Direct access to market data Simplify data management using financial data objects Back testing and Monte Carlo simulation with only a few lines of code Significantly improve performance on multi-core hardware Integrate MATLAB® analytics in spreadsheets, C/C++, Java or .NET applications
12.20	Wrap up
12.30	Close

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