Quantitative Techniques for Investment Managers

General principles of investment management
  • Financial asset classes
  • Investment horizon
  • Total return or income
  • Concept of risk: volatility
Quantitative analysis of investments
  • MWRR, TWRR and performance linking
  • Mean, variance, standard deviation, confidence testing
  • Normal distribution, binomial models, Black-Scholes formula, etc.
  • Missing and asynchronous data
Equity Valuation
  • Discounted cash flows and the Gordon Shapiro formula
  • Multiples method
  • Traditional analysis and market consensus
  • Technical analysis
  • Practical Workshop
  • Estimate a share's valuation
Bond valuation, exposure to interest rates and credit risk
  • Bonds, swaps, ABS, securitisation
  • Actuarial rate of return, zero-coupon bonds, sensitivity, convexity
  • Modelling the interest rate curve: Vasiceck, Cox, Ingersoll, Ross
  • Practical Workshop
  • Analyse the sensitivity of a bond
Plain Vanilla and Exotic Options
  • Sensitivity parameters (Greeks): delta, gamma, rho, theta, vega
  • Volatility, arbitrage formula, example of strategies
Equity Risk
  • Style analysis: value/growth and size
  • Risk, volatility, beta modelling
  • Equity indices
  • Equity portfolio construction
  • Practical Workshop
  • Study an efficient frontier
Credit Risk
  • Credit as an asset class
  • Credit rating agencies and transition matrices
  • Credit default swaps: overview, pricing elements
  • Difficulties with recovery
  • Modelling credit risk: structural models and sudden surprise
  • Practical Workshop
  • Analyse the statistical tools of a credit rating agency (KMV)
Risk Analysis
  • Market risk, credit risk, operational risk
  • Volatility, tracking error, VaR, eVaR, Expected Shortfall, measurement distortions
  • Solvency and risk of ruin
  • Regulation: VaR according to Basel II
  • Practical Workshop
  • Monitor a portfolio's risk
Portfolio Construction and Management
  • Asset classes, diversification, correlation
  • Efficient frontier and Markowitz theory
  • CAPM (Capital Asset Pricing Model), optimisation
  • Perfecting a dedicated investment portfolio
  • Ratios: Sharpe, information, Sortino,
  • Practical Workshop
  • Study a quantitative management process
Selecting Portfolio Managers
  • Quantitative concerns
  • Qualitative concerns
  • Practical Workshop
  • Analysis of the main management strategies

  • Master the particularities of different asset classes and their associated risks
  • Understand the pros and cons of different asset allocation models and their practical application
  • Use advanced portfolio construction and management techniques
  • Structure an appropriate management process according to an investor’s skills and demands
  • Use the concept of budget risk to define different investment products
  • Acquire the skills you need to adequately analyse market variations, and assimilate the latest portfolio management techniques
  • An exhaustive seminar that develops all the techniques necessary to an optimal portfolio management strategy

    • E-learning
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