Training center

Course: Finance Computing Hands On (4 hrs. seminar)

The purpose of the seminar is to introduce students to finance computing for business practices, describe mathematical tasks banks must tackle in their work and explain how. Because computations must be done as part of business processes, without methodologists’ involvement, because they are complex and long-term risks must be assessed to understand capital needs, this course delivers specific know-how rarely found in standard mathematics for finance primers.

Main program topics

• Accounting for real payment flows standard instruments use, e.g. LIBOR, MosPrime, ISDA FIX IRS.
• Calculating long-term pricing risks — not up to 10 days, as in typical handbook examples, but up to a year, which is necessary for capital estimates.
• Algorithms for interest rate curves.
• Discrete risk aggregation on the example of currency risks and loan risks customers face when dealing in derivatives.