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June 22, 2018 Mexico City

Marshall Alphonso MathWorks Duration: 4 hours June 21 3:30 pm - 5:00 pm June 22 4:00 pm - 6:00 pm Marshall Alphonso is a senior application engineer at MathWorks, specializing in the area of quantitative finance. He has over 7 years’ experience training clients at over 250 companies including top hedge funds, banks and other financial institutions. Previously as advisor to the CRO of McKinsey & Co. Investment Office, he was responsible for the design and implementation of the fund liquidity framework, stress testing framework and a multitude

TOPICS:

of quantitative risk and investment tools in MATLAB®,

enabling evaluation of exposures for risk & attribution. 1. Build an optimal portfolio using MATLAB 2. Evaluate market risks in MATLAB – [Extreme Value Theory] He holds a B.S. in electrical engineering & mathematics from Purdue University and an M.S. in electrical engineering from George Mason University.

COURSE DESCRIPTION Basel III is a global regulatory standard on bank capital adequacy, stress testing, and market liquidity risk. It requires banks to use quantitative methods for risk projection and economic capital forecasting, and report results across the organization. Basel III is the third set of reform measures agreed upon by the Basel Committee on Banking Supervision. This seminar focuses on the fundamental building blocks needed to evaluate market risks associated with the portfolio and develop cash flow hedging strategies to counter movements in the yield curve.

GARCH, Copula & Pareto tail distribution fitting 3. Historical back testing to evaluate drawdowns 4. Forecasting based on SDE’s 5. Asset liability modeling in MATLAB – Cash flow hedging 6. Develop graphical applications in MATLAB and deploy them to your end users 7. Develop interfaces in Excel using MATLAB developed functionality 8. Deploy Web Applications (.NET, Java)

REGISTRATION TELS.: +52 (55) 5638 0367 & +52 (55) 5669 4729 E-MAIL: [email protected] Venue: JW Marriott Santa Fe Hotel Avenida Santa Fe 160 Col. La Fe Santa Fe, CDMX. Price: $10,000.00 Mexican pesos + tax (16%) PAYMENT METHODS:

REQUIREMENTS

1. Bank Transfer and Cash Deposits (for Local Institutions) NAME: RiskMathics, S.C. BANK: BBVA Bancomer CLABE: 012180001105829640 BANK ACCOUNT: 0110582964

1. Intermediate or high level of English is required. Simultaneous translation will not be provided.

2. Bank Transfer in US Dollars (Foreign Institutions) BANK: BBVA Bancomer BRANCH NUMBER: 0956 SWIFT: BCMRMXMM BENEFICIARY: RiskMathics, S.C. ACCOUNT NUMBER: 0121 8000 11 0583 0066 3. Credit Card: Visa, Mastercard or American Express.

IMPORTANT NOTICE: There will be no reimbursements.

2. Come from economic Administrative Careers. 3. Preferably working in Financial Institutions. 4. Participants should bring a laptop.