Arrow Electronics, Inc.

IBM Algorithmics Portfolio Replication in Algo Risk Application


DURACIÓN: 16 Hours (2 días)

Precio: €1.100,00


This course provides a practical overview of portfolio replication for insurance, with hands-on training in the construction of replicating portfolios.


  • Discuss the various concepts of portfolio replication, including theory, processes, and applications
  • Understand how RiskWatch and ARA are employed as key Algo components in portfolio replication construction
  • Describe the primary steps in portfolio replication
  • Select specific replicating asset types
  • Describe the Mark-to-Future cube generation process, and build MtF Cubes in RiskWatch for both the assets and liabilities based on the impact of a pre-defined economic scenario set on a variety of risk factors
  • Create a replicating portfolio from a given asset universe, using ARA's optimization module
  • Use trade restrictions and penalties to improve the quality of replicating portfolios
  • Assess the quality of replicating portfolios, including in-depth post-optimization goodness-of-fit analysis in ARA


This advanced course is for the insurance industry end-user, particularly risk managers, risk analysts, and actuaries.

Requisitos Previos

Prior training and/or experience in RiskWatch and ARA is strongly recommended.


The two-day course balances instructor-presentation of key portfolio replication for insurance concepts with hands-on training in replicating portfolio construction. Day 1 focuses on the purpose, theory, applications, and process of portfolio replication including familization exercises and demonstrations. Day 2 is a workshop where students employ the optimization functionality of the Algo Risk Application (ARA) to build actual optimal replicating portfolios.

Day 1:

  • PortfoIio Replication Overview: Purpose, Applications, Process and Theory
  • Algo Portfolio Replication Components: RiskWatch and Algo Risk Application (ARA)
  • The Steps to Portfolio Replication
  • Replicating Universe Asset Types - Modeling in RiskWatch
  • Mark-to-Future Asset and Liability Cube Creation in RiskWatch
  • RiskWatch Workshop - Creating MtF Cubes in the Stress Room
  • Portfolio Optimization in ARA
  • Building Portfolio Replication Optimization Problems in ARA
  • Assessing Replication Quality: Goodness of Fit Metrics, Standard RP Reports, and Deficiencies
  • Improving Replications using Trading Restrictions

Day 2:

  • Portfolio Replication Hands-On Workshop using ARA Optimization Module
  • Open Discussion and Wrap-Up

Más información

Prior to enrolling, IBM Employees must follow their Division/Department processes to obtain approval to attend this public training class. Failure to follow Division/Department approval processes may result in the IBM Employee being personally responsible for the class charges.
GBS practitioners that use the EViTA system for requesting external training should use that same process for this course. Go to the EViTA site to start this process:
Once you enroll in a GTP class, you will receive a confirmation letter that should show:
    The current GTP list price
    The 20% discounted price available to IBMers. This is the price you will be invoiced for the class.

Fechas Programadas