Pre-congress Seminar - Wednesday, 19 November 2008

Background

Assessing the risk profiles of illiquid assets has become a top risk management concern in the midst of the recent volatile markets. Typical methods for assessing risk are highly dependent on measuring volatility and risk levels usually correlates positively with volatilities. Since illiquid assets are not traded regularly, using the mark-to-market approach to determine an asset’s value, which relies on the recent sales of the asset, has become impossible. Hence it is essential for fund managers to instead use mathematical models to value an asset, a practice called mark-to- model.

This workshop will examine the current market situation and showcase the practical applications via case studies to use market-to-model approach to assess the value of illiquid assets. Apart from introducing the effective modeling techniques this workshop also covers topics that address the importance of incorporating the valuation mechanism into the firm-wide risk governance framework of your organisation.

This course is ideal for quant professionals, analysts and risk professionals from banks, asset managers, hedge funds and rating agencies.

Led by: Jaime Bulbeck, Head of Quantitative Services, Market Risk, ANZ BANK

Download the full agenda for the pre-congress seminar at Asia Risk Congress 2008 here

Please note: This seminar is separately bookable from the main conference. There is a fee to attend this seminar and guests will require a valid booking to be allowed entry.

Prices can be found and bookings can be made here