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NEURAL's Program Offerings For 2018
NEURAL's Program Offerings For 2018
© NEURAL 2018 2
Our track record in Financial Markets and Analytics Education
► Our Partners & Principals have conducted over 450 training programs during the past ten years for major
Investment and Commercial Banks, Corporate Treasuries, the Reserve Bank of India and for finance
professionals as well as students from around the world
► We have taught in the following countries and financial centers:
New York London India Switzerland
Singapore Dubai Bahrain Saudi Arabia
Lebanon Muscat Riyadh Qatar
Egypt Ghana Greece Hong Kong
► Our course offerings are tailor-made for all levels of management representing the senior and middle level
executives as well as fresh hires
► Our Instructors have worked at bulge bracket investment banks or major hedge funds in key financial
centers such as New York, London, Mumbai, Hong Kong, Singapore, Sydney and Zurich and have PhDs or
Masters degrees from some of the world’s top universities
► Each Instructor comes with 20+ years of experience individually
► The collective experience of our Instructors is nearly 100 years
► Thank you for taking the time to go through our Program Offerings for 2018
© NEURAL 2018 3
Our Program Offerings combine Flexibility with Excellence
► We offer courses at Basic, Intermediate or Advanced Levels depending upon Participants’ knowledge levels
► The courses can be tailor made for different durations depending upon the Clients’ needs
► We teach In-house or in Management Development Programs
► Our Instructors bring real life, practical examples to the class room based upon their extensive banking experience
► We provide a solid grounding in theory, enable participants to build Excel based models and combine this with case
studies and real life examples of what actually happens in the industry
A. FINANCIAL MARKETS
# COURSE NAME SUGGESTED DURATION
1 Fundamentals of Fixed Income Markets 2 days
2 Fixed Income Markets - Intermediate level 2 days
3 Advanced Fixed Income Markets 2 days
4 Foreign Exchange Markets (including Bourse Game) 2 - 4 days
5 Swaps Markets 1 - 2 days
6 Equity Markets 1 - 2 days
7 Commodity Markets Minimum 2 days
8 Mortgage Backed Securities 2 days
© NEURAL 2018 4
B. RISK MANAGEMENT
# COURSE NAME SUGGESTED DURATION
9 Fundamentals of Risk Management 2 days
10 Market Risk 2 days
11 Credit Risk 2 days
12 Counterparty Credit Risk 2 days
13 The Cutting Edge of Operational Risk Management 4 days
14 Liquidity Risk 2 days
© NEURAL 2018 5
D. FINANCIAL ENGINEERING
# COURSE NAME SUGGESTED DURATION
18 Deep Insights into Derivatives 2 - 3 days
19 Structured Products & Financial Engineering Minimum 2 days
20 Exotic Options Minimum 2 days
21 Credit Derivatives Minimum 2 days
22 Securitization & Collateralized Debt Obligations Minimum 2 days
E. INVESTMENT MANAGEMENT
# COURSE NAME SUGGESTED DURATION
23 Portfolio Management 2 days
24 Alternative Investments 2 days
© NEURAL 2018 6
F. REGULATORY & COMPLIANCE
# COURSE NAME SUGGESTED DURATION
25 Basel III and III+ 2 days
26 IFRS 2 days
27 Anti Money Laundering 2 days
© NEURAL 2018 7
A. FINANCIAL MARKETS
© NEURAL 2018 9
2. Fixed Income Markets - Intermediate level
A. YIELD CURVE DYNAMICS and THE TERM C. INTRODUCTION TO FIXED INCOME DERIVATIVES
STRUCTURE OF INTEREST RATES ► Vanilla Interest Rate Swaps
► Understanding the Term Structure of Interest rates and ► Caps, Floors and Collars
the changes in Yield Curves ► Accrediting and Amortizing Swaps
Yield Curve Shapes ► Basis Swap
How Yield Curve shapes change over time ► Total Return Swaps
Classical theories of Term Structure ► Credit Default Swaps
− Pure Expectations theory ► Interest Rate Futures
− Pure Risk Premium Theory ► Forward Rate Agreements
− Market Segmentation Theory ► Equity and Commodity Linked Notes
− Biased Expectations Theory
D. CASE STUDIES
► Types of Yield Curves: Default Situations in India:
Coupon or Par Yield Curve ► Amtek Auto Domestic Bond Default and its impact on the Indian
The Zero Coupon Curve or Spot Yield Curve Bond Markets
The Forward Yield Curve Distressed Situations of Indian borrowers:
B. HYBRID BOND STRUCTURES ► Vedanta Resources International Bonds – Consequences of large
► Practical exercise on pricing a Hybrid Bond for ONGC scale borrowing to fund acquisitions
where coupons were guaranteed by Republic of India and Distressed situations in Global Bond Markets:
Principal was guaranteed by Asian Development Bank ► The Greek Financial Crisis and changing yields on Greek
► Brady Bond structures Government Bonds
© NEURAL 2018 10
3. Advanced Fixed Income Markets
A. BUILDING YIELD CURVES D. CASE STUDY: LONG TERM CAPITAL MANAGEMENT
► Coupon or Par Yield Curve
► A blow up at the world’s premier Fixed Income Hedge Fund
► The Zero Coupon Curve or Spot Yield Curve
► The Forward Yield Curve ► Participants will be expected to evaluate the factors leading to the
► BOOTSTRAPPING LTCM disaster
Constructing a Zero Coupon curve from a Par yield curve ► Impact of an implosion in one fixed income market (Russia) on
Constructing a Forward curve from a Par curve fixed income markets elsewhere
B. STRATEGIES for FIXED INCOME PORTFOLIO ► Impact of Leverage in Relative Value Fixed Income Trading
MANAGEMENT E. STRUCTURED FIXED INCOME AND ITS ROLE IN THE
► Buy and Hold
► Bullets and Barbells 2007-2008 FINANCIAL CRISIS
► Laddering ► Collateralized Debt Obligations (CDOs)
► Immunization CDO Tranches and their Risks
► Carry & Roll Down strategy
Cash Flow CDOs
► Relative Value Arbitrage
► Spread Trading: Intra curve and Inter curve Synthetic CDOs
CDO squared
C. MANAGING and HEDGING FIXED INCOME ► Origins of the crisis in the sub-prime mortgage market of the USA
PORTFOLIOS in EMERGING MARKETS ► Spread of the contagion worldwide and impact on global markets
► Hedging Market Risk ► Role of Credit Rating Agencies in the crisis
► Hedging Credit Risk
► The Bear Stearns and Lehman Brothers crisis
► Spread Compression and Widening
► Rich / Cheap Analysis ► The AIG disaster & role of Credit Derivatives
► Trading a High Yield or Emerging Markets debt portfolio ► Quantitative Easing and money printing to stabilize financial
► Impact of Downgrades on Bond Portfolios markets & global economy
► Impact of Defaults
© NEURAL 2018 11
4.A. Foreign Exchange Markets
A. INTRODUCTION D. CROSS RATES
► What is Foreign Exchange? ► How to compute Spot Cross Rates
► A Global Market Place ► How to trade Crosses
24 hour trading ► How to compute Forward Cross Rates
Major Players
A Zero-Sum Game E. CURRENCY FUTURES
► Structure of the Foreign Exchange Market ► Exchange Traded Currency Futures
► FX Terminology ► Hedging with Currency Futures
► Market Practices
► Notation for Quoting FX Rates F. CURRENCY OPTIONS
B. THE SPOT MARKET ► The Garman Kohlagen model for Currency Options
► Spot Markets ► Trading Strategies using Currency Options
► Value Dates ► Hedging with Currency Options
► Market Making
► Position Keeping via the Blotter
► Position Limits
► Stop Loss Limits
► VAR and Risk Limits
C. THE FORWARDS MARKET
► Calculating Forwards from Spot Rates &
Interest Rates
► Interest Rate Parity Theorem
► Covered Interest Arbitrage
© NEURAL 2018 12
4.B. The Bourse Game
COMPLEXITY & SPEED FEATURES
LEVEL 1 ► Start with only one currency pair in the SPOT market to understand the mechanism of quoting
prices, market making and bid-offer spreads
► Increase the number of currency pairs
► Increase the speed of market moves
LEVEL 2 ► Add FORWARDS to Spot Trading
► Start with only one currency pair in the spot and forwards market to understand the
mechanism of how forward rates are derived from spot rates and interest rate differentials
► Demonstrate the Interest Rate Parity theorem and potential for covered interest arbitrate
► Introduce more currency pairs with both spot and forwards trading
LEVEL 3 ► Add OPTIONS to FORWARDS and SPOT Trading
► Star with one currency pair to provide a good understanding of how Spot, Forwards and
Options work together
► Understand how the Delta and Gamma of the Currency Options work
► Understand Time Decay and impact of Theta
► Understand impact of Volatility on Currency Options
LEVEL 4 ► All Currency products: SPOT, FORWARDS and OPTIONS
► Multiple Currency pairs
► Higher speed to market moves
© NEURAL 2018 13
5. Swaps Markets
A. THE SWAPS MARKETS D. GENERIC FORMULAS FOR VALUING SWAPS
► The history and growth of the Swaps market ► Interest Rate Swap
► Comparative Advantage / Quality Spread Differential ► Deferred Swap
► Vanilla Interest Rate Swap ► Amortizing or Accreting Swaps
► Currency Swaps
B. CASE STUDY: THE WORLD’s FIRST CURRENCY SWAP
► Differential Swaps
► The IBM-WORLD BANK, US$-Swiss Franc-Deutsche Mark SWAP
► Commodity Swaps
► Driving Forces and Market Conditions behind the Swap
► Swaps with variable Quantities and Prices
► Outstanding Debt of IBM
► Swaptions
► World Bank’s new Bond issue
► Total Return Swaps
► Structure of the world’s first cross currency swap
► Cash flows of the Cross Currency Swap E. CASE ANALYSIS: HEDGING TRIDENT CORPORATION’S
C. VALUATION AND PRICING OF SWAPS FLOATING RATE LOANS WITH
► Construction of Fixed Leg and Computation of Fixed Payments (1). An Interest rate Swap and (2). A Cross Currency Swap
► Construction of the Zero and Forward Swap Curves ► Trident’s Floating Rate Loans
► Building the Short end of the Swaps curve from LIBOR Rates ► Cash Flows and Cost of Trident’s Loan
► Bootstrapping Methodology ► Swapping Trident’s Floating Rate Loan into Fixed Rate
► Building the Long end of the Swaps curve from Par Swap Rates ► Trident’s Cash Flows and Costs after Interest Rate Swap
► Deriving the LIBOR Forward Curve ► Swapping Trident’s US$ Loan into Swiss Francs
► Interpolation Methods ► Trident’s Cash Flows after Currency Swap
► Valuing the Par Swap Floating Rate Cash Flows ► Unwinding Trident’s Currency Swap
► Valuation of the Interest Rate Swap ► Measuring the Gain or Loss on the Swaps
► Practical Example of Valuing an Interest Rate Swap F. OTHER INSTRUMENTS FOR HEDGING INTEREST RATE RISK
► Caps
► Floors
► Collars
© NEURAL 2018 14
6. Equity Markets
A. EQUITY BUSINESS REVIEW E. EQUITY VALUATION
► Role of bank ► Alpha, beta and the CAPM
► Market roles
► Valuation models
► Market influences
► Market dynamics
F. EQUITY SWAPS OVERVIEW
B. EQUITY PRODUCTS
► What is an equity swap?
► Shares
► Equity swap terms
► ADRs
► Equity swap cash flows
► Convertible bonds ► Equity swaps variations
► Other products
► Dark pools/crossing networks G. EQUITY SWAPS: USES AND STRATEGIES
► Opportunities and exposure
C. INVESTMENT BANKING BUSINESS ► Strategies
► Underwriting
H. OVERVIEW OF VOLATILITY IN EQUITY MARKETS
► Advising
► What drives volatility?
D. PRIVATE EQUITY ► Estimating volatility
► LBO
► Venture capital
© NEURAL 2018 15
7. Commodity Markets
A. OVERVIEW OF COMMODITIES D. ENERGY MARKETS F. COMMODITY SWAPS
► History of Commodities Trading ► Crude Oil & Refinery Products ► What is a Commodity swap?
► Major Commodity Indices Crack or Refinery Spreads ► Commodity swap terms
Hedging Refinery Margins with Crack
► Commodities as an Investment Asset Spreads ► Commodity swap cash flows
► Natural Gas ► Commodity swaps variations
B. COMMODITY TRADING EXCHANGES
► Shift towards China ► Electricity Markets G. COMMODITY MARKETS RISKS &
Spark Spreads DISASTERS
► Financialization of Commodity Trading Modeling Electricity Markets ► Amaranth Hedge Fund blow up – Natural
► London Metals Exchange Valuation of Long Dated Electricity Deals Gas
̶ Load Serve Deals
► New York Mercantile Exchange ► Sumitomo Corporation disaster – Copper
(NYMEX) ̶ Tolling Deals Trading
► Commodities Exchange (COMEX) ► Renewable Energy ► Metallgesellschaft – Commodities blow up
Wind
► Indian Commodity Markets Solar ► The Bankruptcy of Enron Corporation
C. THE METALS MARKETS Hydro ► Williams Energy – near bankruptcy
► Precious Metals ► Coal Markets
Gold E. FORWARD CURVES IN COMMODITY
Silver MARKETS
Platinum ► Backwardation versus Contango
► Base Metals ► Trading Calendar spreads
Copper ► Commodity swap cash flows
Aluminum
Zinc ► Commodity swaps variations
© NEURAL 2018 16
8. Mortgage Backed Securities
A: SECURITIZATION and MORTGAGE BACKED SECURITIES D: PRE-PAYMENT BEHAVIOR of MORTGAGES
► Securitization: The process of converting Loans into Securities ► Factors affecting Mortgage Prepayment behavior
► The main Asset classes behind Securitization ► Mortgage Pre-payment as an American Option
► The types of Mortgage Backed Securities ► Market and Non-Market factors driving Mortgage Pre-payments
► Differences between Fixed Income Bonds and Mortgage Backed Securities ► Factors affecting Mortgage Pre-payments and Defaults
► Diagram of a Mortgage Backed Pass-Through security ► Actual, Optimal and No Mortgage Pre-payments
► Diagram of a Collateralized Mortgage Obligation ► Mortgage Pre-payments are Interest rate path dependent
► The Waterfall Structure determines Cash Flows and Losses
► Mortgage Pool “Burn Out”
► Risk and Returns for different tranches of CMOs
► Mortgage Backed Securities Issuance Volume
E: EXERCISES ON MORTGAGE BACKED SECURITIES
► Exercise 1: MBS with full amortization and no prepayments
B: UNDERSTANDING MORTGAGE COMPUTATIONS
► Exercise 2: Impact of changes in market interest rates on MBS
► How a Fixed Rate Mortgage works
► Exercise 3: MBS with half amortization
► The Mortgage Formula and its Proof
► Exercise 4: MBS with Pre-payment
► Intuition behind the Mortgage Formula
► Amount Outstanding versus Time as a function of Monthly Payment F: VALUING A MORTGAGE BACKED SECURITY
► Impact of Monthly Repayment amount on the Term of a Mortgage ► How to value a Mortgage Backed Security using the Binomial Tree
► Computation of a Mortgage Amortization schedule ► Simulation of the Interest Rate Tree
C: MODELLING A MORTGAGE BACKED SECURITY ► Determine Cash Flows based upon Pre-payment Models
► Computing the Cash Flows of a Fannie Mae MBS ► Determining the Risk Adjusted Spot Rates at each node of the Binomial Tree
► Cash Flows of the 6%, 30 year, Fannie Mae MBS ► Determine the value of the MBS along each Path of the Binomial Tree
► Interest and Principal Payments over the life of the Fannie Mae MBS ► An Overview of Monte Carlo Simulation
► Principal Outstanding at month-end over the life of the Fannie Mae MBS
© NEURAL 2018 17
B. RISK MANAGEMENT
# COURSE NAME SUGGESTED DURATION
9 Fundamentals of Risk Management 2 days
10 Managing Market Risk 2 days
11 Credit Risk Management 2 days
12 Counterparty Credit Risk 2 days
13 The Cutting Edge of Operational Risk Management 4 days
14 Liquidity Risk 2 days
© NEURAL 2018 18 18
9. Fundamentals of Risk Management
A. DEFINING AND QUANTIFYING RISK E. OPERATIONAL RISK
► Market Risk ► Definitions & sources of operational risk
► Credit Risk ► Importance of Operational Risk
► Liquidity Risk ► Operational risk examples
► Operational Risk F. LIQUIDITY RISK
► Other Risks ► Fundamental nature of liquidity risk
B. MARKET RISK ► Principles for liquidity management
► Identifying types of Market Risk ► Stress testing
► Market Risk key concepts ► Contingency planning
C. VALUE AT RISK (VaR) ► Risk tolerance
► Regulatory requirements ► Liquidity pricing
► Confidence intervals and holding periods G. BASEL III
► Back-testing ► BASEL III and its Risk Management
► Stress testing ► Consequences
D. CREDIT RISK ► Key recommendations of BASEL III accord
► Identifying types of credit risk ► Approaches to measure credit risk
► Credit Risk key concepts ► Standardized Approach
► Exposure at default ► Internal Ratings Based (IRB) Approach
► Probability of default ► Foundation Methodology
► Loss given default ► Advanced Approach
► Basel III - Implémentation challenges
© NEURAL 2018 19
10. Managing Market Risk
A. RISK MANAGEMENT PROCESS D. UNDERSTANDING INTEREST RATE EXPOSURE
► Rise of derivatives & risk management ► IRE calculation
► Risk assessment and management process ► Re-pricing profiles of balance sheet
► Various types of risks in financial markets ► Interest rate gaps
► Roles of risk takers/dealers/traders ► Defeasance time & period
► Framework of price risk ► IRE / Accrual Limits
B. FUNDAMENTAL REVIEW OF THE TRADING BOOK E. M ARKET RISK COMPONENTS
► Development of VaR and its usefulness ► Equity Risk
► Computation of Market VaR ► Interest rate Risk
► Computation of Expected Shortfall ► Currency Risk
► VaR and financial derivatives ► Commodity Risk
► VaR and regulatory reporting – Basel II & III ► Margining Risk
► Bank’s balance sheet composition & risk analysis ► Holding-period Risk
► Risk measurement and accounting ► Basis Risk
► Price risk management & limit structure ► Correlation Risk in Hybrid products
► Key risk management controls F. ECONOMIC / REGULATORY CAPITAL
C. ANALYTICAL FRAMEWORK FOR MARKET RISK ► The “New” Standardized Approach
► Application of statistics in measuring market conditions ► Regulatory Reporting under Pillar III
► Normal & Log normal distribution G. OTHER RISK RELATED TOPICS
► Volatility ► Model validation process
► Risk at portfolio level ► Rate reasonability process
► Market Factor Sensitivity and VaR ► Stress testing process
► Computation of factor sensitivity & VaR ► Audit and related control process
► Bond factor sensitivities for different tenor ► Dealing room policies and practices
► Measurement & Control of Risks in Accrual or Banking Book
© NEURAL 2018 20
11. Credit Risk Management
A. ELEMENTS OF CREDIT RISK MEASUREMENT E. DEVELOPMENT OF CREDT RATINGS MODELS AND THEIR
►The gamut of Credit Products PARAMETERS
►Financial statement analysis ►Mapping Ratings to default Probability
►Overview of Rating models ►Altman Z Score
►The Credit Life Cycle ►Credit Risk Exposures & Default probability models
►Credit Scores ►Asset based models
B. LENDING PRINCIPLES ►Concept of distance to default
►5 C’s of credit ►Credit Ratings
►Preliminary analysis ►Marginal and Cumulative defaults
►Sources of additional information ►Transition Probabilities
►Credit policy ►Recovery Rates
►Credit procedures ►Bond Prices and Credit Spreads
© NEURAL 2018 21
12. Counterparty Credit Risk
A. FUNDAMENTALS OF COUNTERPARTY CREDIT RISK E. MITIGATING COUNTERPARTY CREDIT RISK
► Credit Exposure versus Counterparty Exposure ► How to Mitigate Counterparty Credit Risk
► Definition of Counterparty Credit Risk
► Mitigation Method 1 – Default Remote Entities
► The Key Drivers of Counterparty Credit Risk
► The Good, the Bad and the Ugly of Counterparty Credit Risk ► Mitigation Method 2 – Termination Events
► Growth of OTC Derivatives Markets and implications for Counterparty Credit Risk ► Mitigation Method 3 – Netting
B. FINANCIAL BLOW OUTS AND COUNTERPARTY EXPOSURE Multilateral Netting
► Evolution of the perils of Counterparty Credit Risk Benefits of Netting
► The case of Lehman Brothers How Netting works
► The case of AIG Financial Products Impact of adding more transactions to the netting set
► The case of Bear Stearns
Impact of Correlation on Netting
► Why and How Counterparty Credit Risk arises
► The “TOO BIG TO FAIL” conundrum ► Mitigation Method 4 – Collateralization
► Role of Systemic Risk in today’s globally integrated financial markets Benefits of a Collateral Backed transaction
C. REVIEW OF FINANCIAL PRODUCTS AND THEIR COUNTERPARTY Collateral Process
Collateral Agreement
EXPOSURES
► Currency Forwards Collateral Valuation Agent
► Interest Rate Swaps Types of Collateral
► Cross Currency Swaps Collateral Disputes Process
► Equity Swaps Collateral Haircut
► Repos
F. CREDIT VALUE ADJUSTMENT
► Practical Exercises on computing Counterparty Credit Risk for:
Currency Forwards, Interest Rate Swaps, Cross Currency Swaps ► CCR and CVA Capital Charges in Basel III
D. QUANTIFYING COUNTERPARTY CREDIT RISK p ► Standardized CVA Risk Capital Charge
► VaR versus Basel definitions to quantify Counterparty Credit Risk ► Advanced Approach to CVA Risk Capital Charge
► Expected future Mark-to-Market and Counterparty Exposure ► Regulatory Formula for CVA Risk Capital Charge
► Expected Exposure (EE) and Potential Future Exposure (PFE) ► Basel III formula for calculating CVA Risk Capital Charge
► Plotting Expected MTM, Expected Exposure and Potential Future Exposure
► Plotting a Distribution of future MTMs using Monte Carlo simulation G. WRONG WAY RISK
► Quantifying Potential Future Exposure along a Time Line ► Practical example of a Wrong Way Risk
► Expected Positive Exposure (EPE) ► Effects of Wrong Way Risk
► Effective Expected Exposure (EEE) and Effective Expected Positive Exposure (EEPE) ► Examples of Wrong Way Risk Trades
► Behavior of EE and EPE over time for short dated instruments ► Computing VaR in Wrong Way Risk Environment
► Peak Exposure over time
© NEURAL 2018 22
13. The Cutting Edge of Operational Risk Management – 1
A. OPERATIONAL RISK IN CONTEXT C. MEASUREMENT AND REPORTING (continued)
► Operational Risk & Stranded Capital at major global banks ► A Statistical insight into Operational Risk Losses
► Forces driving the increase in Ops Risk Capital Charge ► Historical Data for measuring Expected Operational Risk Losses
► Operational Risk Losses due to: ► Scenario Analysis and Stress Testing
Rogue Trading ► Steps in Scenario Analysis & Stress Testing Procedures: Writing The Algorithm
External Events ► Calculating 99.9% OpVAR via Internal Measurement Approach
Failed Systems ► A Practical Example of the Internal Measurement Approach
► Operational Risk Events in the run up to the Sub Prime crisis ► Calculating the Capital Charge For 99.9% OpVAR using the Loss Distribution Approach
Operational Risk – A Fuzzy Concept
►
D. QUANTIFICATION OF OPERATIONAL RISK
► Types of Operational Risk
► Choice of suitable distributions to model Loss Severity and Frequency
► Traditional versus Modern Approaches to OPERATIONAL RISK
► The four parameter, g&h distribution to model Loss Severity
B. THE REGULATORY ENVIRONMENT ► Modeling Tail Risk using Extreme Value Theory (EVT)
► Evolution of Operational Risk methodologies under Basel II ► The probability density function of Generalized Extreme Value (GEV)
► Basel II and III Approaches to Operational Risk ► The probability density function of Generalized Pareto Distribution (GPD)
► Evolution in Measurement of Operational Risk Capital Charges ► Empirical Mean Excess function of a Generalized Pareto Distribution
► Testing for Goodness of Fit
C. MEASUREMENT AND REPORTING ► The algorithm for Monte Carlo simulations of loss scenarios
► Methodologies for computing Operational Risk Capital Charge ► Poisson Distribution – for determining Frequency of Losses
► Operational Risk Capital Charges for different approaches ► Assessing Severity of an Operational Loss
► Challenges in the use of the Advanced Measurement Approach ► The Lognormal Distribution for assessing Loss Severity
► Characteristics of Operational Risk Loss Events ► The challenge behind combining LOSS FREQUENCY and LOSS SEVERITY DISTRIBUTIONS
The Basic Indicator Approach ► Cumulating the Likelihood and Severity Distributions
The Standardized Approach ► Techniques for Cumulating Frequency and Severity Distributions
Alternative Standardized Approach ► IMPACT versus LIKELIHOOD of Operational Risk Loss Events
Recent Standardized Measurement Approach from Basel Committee ► Operational Risk: FREQUENCY versus SEVERITY Map
Internal Measurement Approach ► Modeling the LOSS FREQUENCY DISTRIBUTION, N
Advanced Measurement Approach ► Modeling the LOSS SEVERITY DISTRIBUTION at two levels
The Loss Distribution Methodology
► The Sting of Operational Risk is in The Tail
► Mathematics behind the Advanced Measurement Approach
► Best practices in the simulation of Operational Losses
© NEURAL 2018 23
13. The Cutting Edge of Operational Risk Management – 2
E. OPERATIONAL RISK CAPITAL CHARGE G. MEASURING OPERATIONAL RISK IN REAL TIME
► Regulatory Capital versus Economic Capital in Operational Risk ► NEURAL’s Real Time Ops Risk Framework for Global Banks
► Transforming Risk Information into Risk Capital ► Framework for Real Time Operational Risk analytics & visualization
► Capital Charge for Operational Risks ► REAL TIME Engine for Global Operations Risk Analytics
► Evolution of Operational Risk Capital Charge ► Leveraging BIG DATA and HADOOP for Operational Risk
Stage ONE - The BASIC APPROACH ► High Performance Operational Risk Computing
Stage TWO - The STANDARDIZED APPROACH ► Complex Event Processing (CEP)
Stage THREE - The ADVANCED MEASUREMENT APPROACH ► Risk Dashboards for each layer of Management in a Global Bank
Stage FOUR - The LOSS DISTRIBUTION APPROACH ► Global Heat Map for Country-by-Country Operations Risk
► Transforming Risk Information and Loss Data Into Operational Risk Capital Charge ► Real Time Operational Management Systems (R-TOMS)
► Gross Losses by Business Lines and event Types - Loss Severity reported to ORX
from 2008 to 2012
F. RECENT STANDARDIZED MEASUREMENT APPROACH
► Withdrawal of AMA for Operational Risk modeling
► Introducing the Standardized Measurement Approach for modeling Operational Risk
Capital
► The New Standardized Measurement Approach of June 2016
► Inclusion of bank specific Historical Losses into the SMA
► Computation of the Business Indicator (BI)
► Asymmetries in the Services component of BI
► Inconsistencies in the treatment of Dividend Income
► Overcapitalization of banks with a high Net Interest Margin
► Overcapitalization of banks with high Fee Component of BI
► Inconsistent treatment of Leasing compared with Credit
► Computation of the new Business Indicator
► Adding the Loss Component to the Business Indicator
► Computing Loss Component and the Internal Loss Multiplier
► Capital charge under Standardized Measurement Approach
© NEURAL 2018 24
13. The Cutting Edge of Operational Risk Management – 3: Case Studies
CASE STUDY ONE: CASE STUDY THREE:
Implementation of Operations Risk at a Leading Full Service Asian Bank Managing the Operations Risk at a Global Derivatives Exchange
► Operational Risk Revamp: Phase 1 – The Baselines ► Risk Control Self-Assessment at a Global Exchange
► Operational Risk Revamp: Phase 2 – Policy & Procedures ► Workflow for Risk Control Self-Assessment
► Operational Risk Revamp: Phase 3 – Processes & Assurance ► Aims of Risk Control Self-Assessment
► Milestones in the Operational Risk Revamp at Bank Alpha ► Key Risk Indicators assessment at a Global Derivatives Exchange
► Steps for Basel II, Operational Risk compliance at Bank Alpha ► Business Continuity Plans in Operations Risk at an Exchange
► What the regulators observed and look for in the Business Continuity Plans
CASE STUDY TWO: ► Process Mapping for Operational Risk in an Exchange
Operations Risk Strategy at a Major European Bank with Global Operations ► Inputs for mapping of Risk Processes
► Strategic Actions Undertaken at Bank Delta ► Outputs from the Risk Process Mapping exercise
► Stakeholder Management and Committee Reporting ► Training Non-risk Departments to Identify their KRIs
► Actions taken after the Operational Risk Project ► Mapping Processes, Assessing Risks and Developing KRIs at a Global
► Creating Policies, Processes and Procedures Derivatives Exchange
► Documentation and Training ► Operational Risk Scorecards
► Putting Best Practices in Place CASE STUDY FOUR:
► Ensuring the Documentation meets Regulatory Scrutiny Quantification of Operational Risk at a large American Bank
► Technical Libraries and Approvals ► Quantification of Operational Risk at Bank Gamma
► Establishing Benchmarks and Setting Up The Technical Content ► Loss Frequency and Loss Severity Distributions for Bank Gamma
► Approvals, Checks and Balances as Processes ► Bank Gamma’s Loss Frequency Distribution
► How Basel II, Operational Risk compliance was achieved at Bank ► Bank Gamma’s Loss Severity Distribution
Delta ► Generation of Aggregate Loss Distribution at Bank Gamma
► Computation of Operational Risk for Bank Gamma
© NEURAL 2018 25
14. Liquidity Risk
A. UNDERSTANDING THE NATURE OF LIQUIDITY RISK E. CONTINGENT LIQUIDITY RISK
► The universe of investable instruments ► The need for contingency planning
► Pools of liquidity and benchmark securities, off the run and illiquids ► Written contingency plans
► Normal market sizes, bid-offer, block trades ► Crisis management plans for assets
► Repo and the funding of illiquid instruments ► Crisis management plans for liabilities
► Liquidation and "fire-sales“ ► Internal and external communications
► Liquidity risk in banking, securities trading and insurance ► Other crisis management issues
© NEURAL 2018 26
C. INSURANCE & ACTUARIAL SCIENCES
© NEURAL 2018 27
15. Applied Financial Mathematics
A. ALGEBRA IN FINANCE D. TIME VALUE OF MONEY AND ASSOCIATED INTEREST RATES
► Mathematical Notations ► Simple Interest
► Basic Algebra related to Quadratic Equations, ► Compound Interest Rate
► Inverse Functions, ► Continuous Compound and the usage of the Euler’s constant e in Continuous Compound
► Log and Exponential functions ► The force of interest δ and its usage in finance
► Logarithms – especially to base e and its application in finance – especially ► Accumulation Factors and the Principles of Consistency
in Continuous Compounding ► Interest Payable p-thly
► Arithmetic and Geometric Progressions and their applications to Financial ► Discounting and Accumulating
math series such as discount factors v
► Gamma Functions and Factorials E. ANNUITIES AND PERPETUITIES
► Stirling Approximation ► Immediate and Deferred,
► Difference Equations ► Annuities Due, in Arrears and Continuous
► Usage of appropriate formulae for each
B. MATRIX ALGEBRA ► Deferred and Increasing Annuities and usage of appropriate formulae and notation
► Matrix Algebra and Vectors Algebra
► Eigen Values and Eigen Vectors F. NET PRESENT VALUE AND INTERNAL RATE OF RETURN
Loan Scheduling
C. APPLICATIONS OF CALCULUS IN FINANCE ►
► Compound Interest Issues related to Fixed Interest Rate Securities, Calculating Yields
► Differential and Integral Calculus
► Relationship between Term to Redemption and Price
► Chain Rule
► Relationship between Term to Redemption and Yield
► Nested Functions
► Deferred Income tax,
► Product and Quotient functions
► Uncertain Income Securities,
► Differentiation from 1st Principles
► Inflation Adjusted Cash Flows
► Differentiation of Euler’s constant
► Index Linked Bonds
► Exponential functions such as ex, e5x
► Capital Gains Tax
► Lagrangian Multiplier for Constrained Optimization
► Optional Redemption Dates
► Integration of Nested Functions
► Arbitrage and Forward Contracts
► Integration by Parts
► Term Structure of Interest Rates
► Leibnitz Rule
► Stochastic Interest Rate Models
► Double Integrals
► Swapping Limits in Definite Integrals
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16. Applied Financial Statistics
© NEURAL 2018 29
17. Insurance and Risk Management - 1
© NEURAL 2018 30
17. Insurance and Risk Management - 2
E. MODELLING LIFE INSURANCE F. FINANCIAL RISK IN INSURANCE
► Determination of Premiums and Price ► Assets under Management (AUM)
► Elements of Premium ► Types of Financial Risks
► Mortality – The Mortality Table – Standard Mortality Table – ► Reserving / Provisioning
► Calculation of Mortality Costs ► Application of shocks on financial parameters
► Interest - Future and Present Value of Annuity ► Fixed Income Credit Risk Framework
► The Net Premium – Net single Premium – Net Level Annual Premium ► Rating - Modulation of the Exposure limits
► Gross Premiums G. ACTUARIAL RISK IN INSURANCE
► Reasons for Loading ► Concept of Actuarial Risks in Insurance
– Loading for Expenses ► Key Factors Influencing Actuarial Risks
– Loading for contingencies ► Burning Cost
– Bonus Loading ► Concept of Pricing
► The Actuarial Control Cycle ► Experience Rating of a Health Insurance Policy
► Reserves – Net and Gross Premium Reserves ► Pricing Risk
► Assets Shares and Surrenders ► Solvency Risk
► Valuation and Surplus – Analysis of Surplus – Sources of Surplus – H. OPERATIONAL RISK IN INSURANCE
Determining the divisible surplus – Factors influencing retention of surplus – ► Qualitative Risk Assessment
Free Assets – Distribution of surplus – The Bonus mechanism. ► Analysis of Risks
► Reversionary Bonus – Cardinal principles in bonus distribution – Re ► Evaluation and Quantification of Risks
valorisation – The contribution method – Investment and Unit Linked ► Monitoring and Reporting Risks
Insurance. ► Quantitative Risk Assessment Steps
I. RISK MANAGEMENT TECHNIQUES FOR INSURANCE
► Risk Appetite Framework - Characteristics of Risk Appetite Framework
► Components of Risk Appetite Framework
► Risk Management Techniques- Risk Transfer - Methods of Risk Transfer
► Types of Reinsurance Contracts - Treaty Reinsurance - Types of Proportional
Reinsurance
► Concept of Own Risk Solvency Assessment (ORSA) – Features/ Objectives of ORSA.
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D. FINANCIAL ENGINEERING
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19. Structured Products & Financial Engineering - Day 1
© NEURAL 2018 34
19. Structured Products & Financial Engineering - Day 2
Session 8 OPEN DISCUSSION ON THE ROLE OF COLLATARELIZED DEBT OBLIGATIONS IN THE FINANCIAL CRISIS OF
2007-2008
► The sub-prime mortgages and their role in the start of the crisis
► Citigroup and the role of Meredith Whitney in unbundling the complex Citigroup balance sheet
► Goldman Sachs and AIG financial products
► The Big Short
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20. Exotic Options
© NEURAL 2018 39
23. Portfolio Management
© NEURAL 2018 40
24. Alternative Investments
© NEURAL 2018 41
F. REGULATORY & COMPLIANCE
# COURSE NAME SUGGESTED DURATION
25 Basel III and III+ 2 days
26 International Financial Reporting Standards (IFRS) 9 2 days
27 Anti Money Laundering 2 days
© NEURAL 2018 42
25. BASEL III and III+
A. BRIEF OVERVIEW OF EVENTS BEFORE AND DURING C. CHANGES TO THE REGULATION OF MARKET AND
THE BANKING CRISIS OF 2007-2008 CREDIT RISK
► Securitization and the mortgage markets ► Why has traded market risk been highlighted as requiring attention?
► CDO markets, super senior tranches, the chase for yield, and the role of − Reinforcement to the approval process for internal models
the rating agencies − Introduction of Stressed VaR
► Point of Sale accounting and mark-to-market valuation ► Introduction of the Incremental Risk Charge to replace Issuer Specific Risk
► Reliance on whole-sale funding and the creation of funding liquidity risk − What are the broad requirements?
► Use of structured investment vehicles and implicit support − Netting and other mitigation
► Impact on the interbank markets − Specifying and implementing the liquidity horizon
► Limitations in stress testing − Brief outline of credit portfolio modeling, including both default and
► Procyclicality migration, to estimate the IRC
− Criticisms of the IRC, and likely modifications
► Deficiencies in senior and risk management oversight
B. CHANGES TO CAPITAL ITSELF D. ESTIMATION OF A CAPITAL CHARGE FOR
► The major problems with the current definition
► An outline of the changes
COUNTERPARTY CREDIT RISK (CCR)
► What is the current state? Background to the existing formula
− Removal of hybrid securities
► Introduction of the Credit Valuation Adjustment
− Introduction of Common Equity Tier 1 and Additional Tier 1
− Regulatory adjustments ► How to model expected positive exposure
− Elimination of Tier 3 and harmonization of Tier 2 ► Proposed Bond Equivalent approach
− Treatment of minority interests and other investments
− Harmonization with IFRS E. CENTRALIZED CLEARING FOR OTC DERIVATIVES
− Bail-in bonds ► How is the credit default swap market operating?
► Conservation Capital Buffer ► Lessons to be learnt
► Counter-Cyclical Capital Buffers ► Incentives and disincentives to centrally clear
► SIFIs and SIBS ► What are the current Basel proposals?
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25. BASEL III and III+ …. continued
F. PROPOSALS UNDER THE FUNDAMENTAL REVIEW OF I. MARKET RISK - INTERNAL MODELS APPROACH
2012 ► 'General' and 'Qualitative' requirements banks need to fulfill to be
► Division between Trading and Banking revisited eligible to use the internal models approach
► Models to be calibrated in times of stress ► Quantitative standards that banks have to keep in mind for calculating
► Assumption of differing market liquidity assumptions their capital charge o Specification of market risk factor
► Changes to internal model approval ► Back Testing
► Replacement of VaR by Expected Shortfall ► Stress Testing
► Movement of non-traded market risk into Pillar 1
► Potential changes to credit risk within the Trading environment J. KEY PRINCIPLES OF SUPERVISORY REVIEW
PROCESS
G. MARKET RISK - MEASUREMENT FRAMEWORK ► Key principles of Supervisory review process
► Methods to measure market risk capital ► Supervisory Review Process for Securitization
► Market Risk - Standardized Measurement Approach ► Significance of Risk Transfer
► Treatment of Interest rate risk, Equity position risk, Foreign Exchange ► Market innovations
Risk, Commodity Price Risk ► Provision of Implicit Support and the supervisory action
► Treatment of options
K. DISCLOSURE REQUIREMENTS
► General considerations with regard to disclosure requirements
H. RATINGS FOR IRB SYSTEMS
► Scope and applications
► Supervisory guidance on ratings of IRB systems for corporate credit risk
► Disclosure requirements for various risk exposures
► Quantification of IRB Systems – PD, LGD, EAD, Maturity
© NEURAL 2018 44
26. International Financial Reporting Standards (IFRS) 9
A. Overview of IFRS 9 D. Impairment and Three Stages of Expected Loss Model
► Obligatory for European Union companies ► Impairment Expense is a Key Determinant of Bank Profits
► Paul Volcker on Global Accounting Standards and IFRS 9 ► Impairment under IFRS 9
► From IAS 39 to IFRS 9 – A Long Journey ► Accounting for the Three Stage model
► Timeline of International Financial Reporting Standards ► IAS 39: A Two Stage Approach versus IFRS 9: A Three State Approach to Loans
► Main Changes Introduced Through IFRS 9 ► Factors Influencing Migration from Stage 1 ►2 ► 3
B. Reaction of Banks & Investors towards IFRS 9 ► Scope of the EL Model
► Extra provisioning for credit risk from IFRS 9 ► Overview of the Expected Loss (EL) Model
► Is IFRS 9 a drain on Capital resources and inconsistent with new Basel Rules ► Stage Assessment – Critical Aspects
► Stage Assessment – The General Model
C. Classification and Measurement ► Case Study of Mortgage Bank Mu
►Differences in Classification & Measurement between IAS 39 and IFRS 9 ► Delta Corp case to measure change in Fair Value of a Bond due to Credit Risk
► Classification & Measurement – Decision Tree
© NEURAL 2018
H. Vega Bank Case Study 45
27. Anti-Money Laundering
E. Terrorist Financing
I. Banking
© NEURAL 2018 47
28. Advanced Financial Modeling & Corporate Valuation
A. FUNDAMENTAL FUNCTIONS USED IN VALUATION C. WEIGHTED AVERAGE COST OF CAPITAL …
► Present Value of a Finite Annuity continued
► Internal Rate of Return (IRR) including multiple IRRs ► Finding Tax Rates
► Flat payment on a loan ̶ Practical Application Whole Foods Inc and Merck Inc.
► Multiple compounding periods ► Finding Cost of Debt
► NPV and IRR of Time Dated Cash Flows ̶ Practical Application to Merck Inc and US Steel Inc
B. KEY CONCEPTS OF VALUATION ► Finding Cost of Equity using the Gordon Dividend Model
► Understanding Enterprise Value ̶ Applying Gordon Dividend Model to Merck Inc
► Four Methods of computing Enterprise Value: ► Two stage Gordon Dividend Model
̶ Accounting Approach ̶ Applying the Gordon Dividend Model to Wachovia Inc
̶ Efficient Market Approach ► Capital Asset Pricing Model (CAPM)
̶ Simplified Discounted Cash Flow (DCF) ̶ Practical Applications of the CAPM
̶ DCF via proforma simulation D. CORPORATE VALUATION
► Free Cash Flow (FCF) ► Basic Template for Corporate Valuation
► Mid Year discounting ► Practical Application to Valuation of Starbucks Corporation
► Terminal Value Model ► What if and Scenario Analysis using Data Tables to study the
C. WEIGHTED AVERAGE COST OF CAPITAL impact of WACC or Growth on Valuation
►How to compute WACC E. PRO-FORMA MODELS
► Five issues / problems in determining WACC ► Proforma Template for Corporate Valuation combining:
► Asset Beta approach to computing WACC ̶ Enterprise Value
► Finding Market Value of Equity ̶ Free Cash Flows
► Finding Market Value of Debt ̶ WACC
̶ Practical Applications ̶ Terminal Value and
̶ Intel Corp and Whole Foods ̶ Mid Year Discounting
© NEURAL 2018 48
28. Advanced Financial Modeling & Corporate Valuation … continued
© NEURAL 2018 49
29. Mergers & Acquisitions and Corporate Restructurings
A. THE GAMUT OF CORPORATE RESTRUCTURINGS B. MERGERS & ACQUISITIONS
Types of Mergers
► EXPANSIONS ►
Horizontal
Mergers
Vertical
Acquisitions
Conglomerate
Take Overs
Concentric
Tender Offers
Joint ventures ► Legal structures & Documentation
► Business valuation
► CONTRACTIONS / DEMERGERS ► Financing Options
Sell Offs Cash, Stock and Combinations
Spin Offs ► Motivations for Mergers & Acquisitions
Split Offs ► Statistics on Mergers & Acquisition activity
► CORPORATE CONTROL ► History of Mergers & Acquisitions
Takeover Defenses ► What to Analyze before a Merger or Acquisition
Share Repurchases ► The Logic behind M&A
Exchange Offers ► Value Creation
Proxy Contests ► Causes of Failure in M&A Transactions
► Friendly versus Hostile Takeovers
► CHANGES IN OWNERSHIP
► Defense tactics in Hostile Takeovers
Leveraged Buy Outs (LBOs)
► Regulatory Approvals
Going Private
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H. H. BUSINESS ANALYTICS and BIG DATA
© NEURAL 2018 52
30. Business Analytics - The Four Modules
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30. Business Analytics – Module 1
Module 1. Part A. Module 1. Part B.
Introduction to Business Analytics Analytics on Spreadsheets
I. What Is Business Analytics? I. Fundamental Excel Skills
II. Evolution of Business Analytics II. Excel Formulas
III. Impacts, Challenges and Scope III. Copying Formulas
IV. Software Support IV. Other Useful Excel Tips
V. Data Sets and Databases V. Excel Functions
VI. Big Data VI. Basic Excel Functions
VII. Metrics and Data Classification VII. Functions for Specific Applications
VIII. Data Reliability and Validity VIII. Insert Function
IX. Models in Business Analytics IX. Logical Functions
X. Decision Models X. Using Excel Lookup Functions for Database Queries
XI. Model Assumptions XI. Spreadsheet Add-Ins for Business Analytics
XII. Uncertainty and Risk XII. Problems and Exercises
XIII. Prescriptive Decision Models XIII. Case: Performance Lawn Equipment
XIV. Problem Solving with Analytics
XV. Recognizing, Defining and Structuring the Problem
XVI. Analyzing the Problem
XVII. Interpreting Results and Making Decisions
XVIII. Implementing the Solution
XIX. Fun with Analytics
XX. Problems and Exercises
XXI. Case: Drout Advertising Research Project
XXII. Case: Performance Lawn Equipment
© NEURAL 2018 54
30. Business Analytics – Module 2 – Parts A & B
Module 2. Part A. Module 2. Part B.
Visualizing and Exploring Data Descriptive Statistical Measures
I. Data Visualization and Dashboards I. Populations and Samples
II. Tools and Software for Data Visualization II. Understanding Statistical Notation
III. Excel Charts: Column and Bar Charts • Data Labels and Data Tables Chart Options • III. Measures of Location
Line Charts • Pie Charts • Area Charts • Scatter Chart • Bubble Charts IV. Arithmetic Mean • Median • Mode • Midrange
IV. Geographic Data V. Using Measures of Location in Business Decisions
V. Data Bars, Color Scales, and Icon Sets VI. Measures of Dispersion
VI. Spark lines VII. Range • Inter Quartile Range • Variance • Standard
VII. Excel Camera Tool VIII. Deviation
VIII. Data Queries: Tables • Sorting • Filtering IX. Chebyshev’s Theorem and the Empirical Rules
IX. Sorting Data in Excel X. Standardized Values
X. Pareto Analysis XI. Coefficient of Variation
XI. Filtering Data XII. Measures of Shape
XII. Statistical Methods for Summarizing Data XIII. Excel Descriptive Statistics Tool
XIII. Frequency and Relative Frequency Distributions XIV. Descriptive Statistics for Grouped Data
XIV. Frequency Distributions for Numerical Data XV. Descriptive Statistics for Categorical Data: The Proportion
XV. Excel Histogram Tool XVI. Statistics in PivotTables
XVI. Cumulative Relative Frequency Distributions XVII. Measures of Association
XVII. Percentiles and Quartiles XVIII. Covariance • Correlation • Excel Correlation Tool
XVIII. Cross-Tabulations XIX. Outliers
XIX. Exploring Data Using PivotTables XX. Statistical Thinking in Business Decisions
XX. Pivot Charts XXI. Variability in Samples
XXI. Slicers and PivotTable Dashboards XXII. Problems and Exercises
XXII. Problems and Exercises XXIII. Case: Drout Advertising Research
XXIII. Case: Drout Advertising Research Project XXIV. Case: Performance Lawn Equipment
XXIV. Case: Performance Lawn Equipment
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30. Business Analytics – Module 2 – Parts C & D
Module 2. Part C. Module 2. Part D.
Probability Distributions & Data Modeling Sampling and Estimation
I. Basic Concepts of Probability I. Populations and Samples
II. Probability Rules and Formulas II. Statistical Sampling
III. Joint and Marginal Probability III. Sampling Methods
IV. Conditional Probability IV. Estimating Population Parameters
V. Random Variables and Probability Distributions
V. Unbiased Estimators
VI. Discrete Probability Distributions
VI. Errors in Point Estimation
VII. Expected Value of a Discrete Random Variable
VIII. Using Expected Value in Making Decisions VII. Sampling Error
IX. Variance of a Discrete Random Variable VIII. Understanding Sampling Error
X. Bernoulli Distribution IX. Sampling Distributions
XI. Binomial Distribution X. Sampling Distribution of the Mean
XII. Poisson Distribution XI. Applying the Sampling Distribution of the Mean
XIII. Continuous Probability Distributions XII. Interval Estimates
XIV. Properties of Probability Density Functions XIII. Confidence Intervals
XV. Uniform Distribution XIV. Confidence Interval for the Mean with Known Population Standard Deviation
XVI. Normal Distribution XV. The t-Distribution
XVII. The NORM.INV Function
XVI. Confidence Interval for the Mean with Unknown Population Standard Deviation
XVIII. Standard Normal Distribution
XVII. Confidence Interval for a Proportion
XIX. Using Standard Normal Distribution Tables
XX. Exponential Distribution XVIII. Additional Types of Confidence Intervals
XXI. Continuous Distributions XIX. Using Confidence Intervals for Decision Making
XXII. Random Sampling from Probability Distributions XX. Prediction Intervals
XXIII. Sampling Probability Distributions XXI. Confidence Intervals and Sample Size
XXIV. Probability Distribution Functions in Analytic Solver Platform XXII. Problems and Exercises
XXV. Data Modeling and Distribution Fitting XXIII. Case: Drout Advertising Research Project
XXVI. Goodness of Fit XXIV. Case: Performance Lawn Equipment
XXVII. Distribution Fitting with Analytic Solver Platform
XXVIII. Case: Drout Advertising Research Project
XXIX. Case: Performance Lawn Equipment
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30. Business Analytics – Module 2 – Part E
Module 2. Part E.
Statistical Inference
I. Data Visualization and Dashboards
II. Hypothesis Testing
III. Hypothesis-Testing Procedure
IV. One-Sample Hypothesis Tests
V. Potential Errors in Hypothesis Testing
VI. Selecting the Test Statistic
VII. Drawing a Conclusion
VIII. Two-Tailed Test of Hypothesis for the Mean
IX. p-Values
X. One-Sample Tests for Proportions
XI. Confidence Intervals and Hypothesis Tests
XII. Two-Sample Hypothesis Tests
XIII. Two-Sample Tests for Differences in Means
XIV. Two-Sample Test for Means with Paired Samples
XV. Test for Equality of Variances
XVI. Analysis of Variance (ANOVA)
XVII. Assumptions of ANOVA
XVIII. Chi-Square Test for Independence
XIX. Cautions in Using the Chi-Square Test
XX. Problems and Exercises
XXI. Case: Drout Advertising Research Project
XXII. Case: Performance Lawn Equipment
© NEURAL 2018 57
30. Business Analytics – Module 3 – Parts A & B
Module 3. Part A. Module 3. Part B.
Trend Lines and Regression Analysis Forecasting Techniques
I. Modeling Relationships and Trends in Data I. Modeling Relationships and Trends in Data
II. Simple Linear Regression II. Qualitative and Judgmental Forecasting
III. Historical Analogy
III. Finding the Best-Fitting Regression Line
IV. The Delphi Method
IV. Least-Squares Regression V. Indicators and Indexes
V. Simple Linear Regression with Excel VI. Statistical Forecasting Models
VI. Regression as Analysis of Variance VII. Forecasting Models for Stationary Time Series
VII. Testing Hypotheses for Regression Coefficients VIII. Moving Average Models
VIII. Confidence Intervals for Regression Coefficients IX. Error Metrics and Forecast Accuracy
X. Exponential Smoothing Models
IX. Residual Analysis and Regression Assumptions
XI. Forecasting Time Series with a Linear Trend
X. Checking Assumptions XII. Double Exponential Smoothing
XI. Multiple Linear Regression XIII. Regression-Based Forecasting for Time Series with a Linear Trend
XII. Building Good Regression Models XIV. Forecasting Time Series with Seasonality
XIII. Correlation and Multicollinearity XV. Regression-Based Seasonal Forecasting Models
XIV. Practical Issues in Regression Modeling XVI. Holt-Winters Forecasting for Seasonal Time Series
XVII. Holt-Winters Models for Forecasting Time Series with Seasonality and Trend 318
XV. Regression with Categorical Independent Variables
XVIII. Selecting Appropriate Time-Series-Based Forecasting Models
XVI. Categorical Variables with More Than Two Levels XIX. Regression Forecasting with Causal Variables
XVII. Regression Models with Nonlinear Terms XX. The Practice of Forecasting
XVIII. Advanced Techniques for Regression Modeling using XLMiner XXI. Problems and Exercises
XIX. Problems and Exercises XXII. Case: Drout Advertising Research Project
XX. Case: Drout Advertising Research Project XXIII. Case: Performance Lawn Equipment
XXI. Case: Performance Lawn Equipment
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30. Business Analytics – Module 3 – Parts C & D
Module 3. Part C. Module 3. Part D.
Data Mining Spreadsheet Modeling & Analysis
I. Modeling Relationships and Trends in Data I. Strategies for Predictive Decision Modeling
II. The Scope of Data Mining II. Building Models Using Simple Mathematics
III. Building Models Using Influence Diagrams
III. Data Exploration and Reduction
IV. Implementing Models on Spreadsheets
IV. Sampling V. Spreadsheet Design • Spreadsheet Quality
V. Data Visualization VI. Spreadsheet Applications in Business Analytics
VI. Dirty Data VII. Models Involving Multiple Time Periods
VII. Cluster Analysis VIII. Single-Period Purchase Decisions
VIII. Classification IX. Overbooking Decisions
X. Model Assumptions, Complexity, and Realism
IX. An Intuitive Explanation of Classification
XI. Data and Models
X. Measuring Classification Performance XII. Developing User-Friendly Excel Applications
XI. Using Training and Validation Data XIII. Data Validation • Range Names
XII. Classifying New Data XIV. Form Controls
XIII. Classification Techniques XV. Analyzing Uncertainty and Model Assumptions
XIV. k-Nearest Neighbors (k-NN) XVI. What-If Analysis
XVII. Data Tables
XV. Discriminant Analysis
XVIII. Scenario Manager
XVI. Logistic Regression XIX. Goal Seek
XVII. Association Rule Mining XX. Model Analysis Using Analytic Solver Platform
XVIII. Cause-and-Effect Modeling XXI. Parametric Sensitivity Analysis
XIX. Problems and Exercises XXII. Tornado Charts
XX. Case: Drout Advertising Research Project XXIII. Problems and Exercises
XXIV. Case: Drout Advertising Research Project
XXI. Case: Performance Lawn Equipment
XXV. Case: Performance Lawn Equipment
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30. Business Analytics – Module 3 – Part E
Module 3. Part E.
Monte Carlo Simulation
I. Modeling Relationships and Trends in Data
II. Spreadsheet Models with Random Variables
III. Monte Carlo Simulation
IV. Monte Carlo Simulation Using Analytic Solver
V. Defining Model Inputs and Output Cells
VI. Running a Simulation
VII. Viewing and Analyzing Results
VIII. New-Product Development Model
IX. Confidence Interval for the Mean
X. Sensitivity Chart
XI. Overlay Charts
XII. Trend Charts
XIII. Box-Whisker Charts
XIV. Simulation Reports
XV. Newsvendor Model
XVI. The Flaw of Averages
XVII. Monte Carlo Simulation using Historical Data
XVIII. Monte Carlo Simulation Using a Fitted Distribution
XIX. Overbooking Model
XX. The Custom Distribution in Analytic Solver Platform
XXI. Cash Budget Model
XXII. Correlating Uncertain Variables
XXIII. Problems and Exercises
XXIV. Case: Drout Advertising Research Project
XXV. Case: Performance Lawn Equipment
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30. Business Analytics – Module 4 – Parts A & B
Module 4: Part A. Module 4. Part B.
Linear Optimization Applications of Linear Optimization
I. Building Linear Optimization Models I. Types of Constraints in Optimization Models
II. Identifying Elements for an Optimization Model II. Process Selection Models
III. Translating Model Information into Mathematical Expressions III. Spreadsheet Design and Solver Reports
IV. More about Constraints IV. Solver Output and Data Visualization
V. Characteristics of Linear Optimization Models V. Blending Models
VI. Linear Optimization Models on Spreadsheets VI. Dealing with Infeasibility
VII. Excel Functions to Avoid in Linear Optimization VII. Portfolio Investment Models
VIII. Solving Linear Optimization Models VIII. Evaluating Risk versus Reward
IX. Using the Standard Solver IX. Scaling Issues in Using Solver
X. Using Premium Solver X. Transportation Models
XI. Solver Answer Report XI. Formatting the Sensitivity Report
XII. Graphical Interpretation of Linear Optimization XII. Degeneracy
XIII. How Solver Works XIII. Multiperiod Production Planning Models
XIV. How Solver Creates Names in Reports XIV. Building Alternative Models
XV. Solver Outcomes and Solution Messages XV. Multiperiod Financial Planning Models
XVI. Unique Optimal Solution XVI. Models with Bounded Variables
XVII. Alternative (Multiple) Optimal Solutions XVII. Auxiliary Variables for Bound Constraints
XVIII. Unbounded Solution XVIII. A Production/Marketing Allocation Model
XIX. Infeasibility XIX. Using Sensitivity Information Correctly
XX. Using Optimization Models for Prediction and Insight XX. Problems and Exercises
XXI. Solver Sensitivity Report XXI. Case: Performance Lawn Equipment
XXII. Using the Sensitivity Report
XXIII. Parameter Analysis in Analytic Solver Platform
XXIV. Problems and Exercises
XXV. Case: Performance Lawn Equipment
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30. Business Analytics – Module 4 – Parts C & D
Module 4: Part C. Module 4. Part D.
Integer Optimization Decision Analysis
I. Solving Models with General Integer Variables I. Formulating Decision Problems
II. Workforce-Scheduling Models II. Decision Strategies without Outcome Probabilities
III. Alternative Optimal Solutions III. Decision Strategies for a Minimize Objective
IV. Integer Optimization Models with Binary Variables IV. Decision Strategies for a Maximize Objective
V. Project-Selection Models V. Decisions with Conflicting Objectives
VI. Using Binary Variables to Model Logical Constraints VI. Decision Strategies with Outcome Probabilities
VII. Location Models VII. Average Payoff Strategy
VIII. Parameter Analysis VIII. Expected Value Strategy
IX. A Customer-Assignment Model for Supply Chain Optimization IX. Evaluating Risk
X. Mixed-Integer Optimization Models X. Decision Trees
XI. Plant Location and Distribution Models XI. Decision Trees and Monte Carlo Simulation
XII. Binary Variables, IF Functions, and Nonlinearities in Model Formulation XII. Decision Trees and Risk
XIII. Fixed-Cost Models XIII. Sensitivity Analysis in Decision Trees
XIV. Problems and Exercises XIV. The Value of Information
XV. Case: Performance Lawn Equipment XV. Decisions with Sample Information
XVI. Bayes’s Rule
XVII. Utility and Decision Making
XVIII. Constructing a Utility Function
XIX. Exponential Utility Functions
XX. Problems and Exercises
XXI. Case: Performance Lawn Equipment
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31. Big Data Analytics - The Twenty-Two Modules
© NEURAL 2018 63
31. Big Data Analytics – Modules 1 and 2
© NEURAL 2018 64
31. Big Data Analytics – Modules 3 and 4
© NEURAL 2018 65
31. Big Data Analytics – Modules 5 and 6
5. Relational Databases and SQL 3 Days 6. Design Patterns in Statistical Computing 1 Day
RDBMS concepts Brief history of Statistical Programming, Comparison between
Data types statistical programming languages
Acid test How focusing on statistical programming paradigms can result in
DDL / DML
improved code and faster learning of new languages
Simple DDL statements
Simple Query and aggregate functions Fundamental paradigms
Inner Join Vectors as the fundamental DS
Outer Join Vectorization and Vectorized code
Class room exercises Data Frames
Other DML statements (Insert, Update, Delete) Relational Operator patterns across languages
Sub query and cursors Hands-on with R
QoS Requirements
Comparison of Python examples with R
High Volume
Scalability
Overall conceptual architecture of server
Physical implementations
Various Indexes,
Partitions
High Availability
Transactional integrity.
Security
Access control
Audit logs
Classroom exercises
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31. Big Data Analytics – Modules 7 and 8
7. Mastering PYTHON 4 Days 8. DATA WAREHOUSING - 101 2 Days
Introduction and Motivation Data Warehouse Architecture
Operations System vs. DW Systems
Hello World To Variable Data Quality
List And Tuple Discussion ETL
List Comprehension DW Vs. Data Mart
Conditional Statement Status of DW Systems
Basics of Data Warehouse Design
Loops Discussion ER Modelling Vs. Dimension Modelling
Functions Dimension Modelling – Facts and Dimensions
Dictionary Designing Star Schema
DW Keys
Error handling Discussion OLAP using Pivot table of Excel
Solving Practice of some Project in Python Advanced Data Warehouse Design
Object Oriented Programming using Python Multiple Hierarchies
Error Handling DW BUS Matrix Architecture
Rapidly Changing Monster Dimension
Module Programming Fact less fact tables
NumPy , SciPy Dimension Tables in Multiple Roles
Pandas , MatplotLib Degenerate Dimension
Junk Dimension
Solving Practice of some Project in Python for data Snow flaking
analysis Different type of Facts
Fine Tuning Design
Aggregates Building
Partitioning, Indexing
© NEURAL 2018 67
31. Big Data Analytics – Modules 9 and 10
9. DATA WAREHOUSING - 102 2 Days 10. Mastering HADOOP 3 Days
ISSUES INVOLVED IN DATA WAREHOUSE PROJECT Introduction to Hadoop
Assess Readiness Hadoopable Problems - Uses of Big Data analytics in various
Business Requirements industries like Telecom, E- commerce, Finance and Insurance etc
Data Track, Analysis Track Problems with Traditional Large-Scale Systems & Existing Data
Deployment & Maintenance analytics Architecture
DATA WAREHOUSE DESIGN UNDER VARIOUS SCENARIOS Key technology foundations required for Big Data
(EXERCISES) Comparison of traditional data management systems with Big Data
management systems
ADVANCED DATA WAREHOUSE DESIGN CASE STUDY I
Evaluate key framework requirements for Big Data analytics
Designing Data Model
Apache projects in the Hadoop Ecosystem
Designing & Creating DW structure
Hadoop Ecosystem & Hadoop 2.x core components
Designing & Creating Staging Area Structure
Explain the relevance of real-time data
Designing & Creating E-T-L Audit Tables
Explain how to use Big Data and real-time data as a Business planning
Populating default data and static dimension
tool
Designing E-T-L Workflow & Loading DW
HDFS
Creating and Querying Cubes
YARN and MapReduce
NEW TRENDS Pig
Operations Data Store Hive
Real Time Data Warehouse Hbase
DW from Semi-structured Data Sqoop
BIG DATA CASE STUDY II – BUILDING DATA WAREHOUSE Flume
Oozie
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31. Big Data Analytics – Modules 11 and 12
11. Mastering NoSQL 2 Days 12. Business Metrics 1 Day
Data Science and NoSQL Why metrics matter?
Various types of NoSQL dbs Defining good business metrics for data driven decisions
Consistency and the CAP theorem Segments, cohorts and financial analysis
A quick survey of NoSQL database systems Designing the metric architecture of a business
Deep dive into 2 NoSQL dbs E-commerce
Using DB1 with Python and R SaaS
Using DB2 with Python and R
Case study: Building a real world NoSQL application
Hands-on with mongodb operations
Interacting with Twitter REST API to collect tweets and
perform text classification (sentiment analysis) on them
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31. Big Data Analytics – Modules 13 and 14
13. Machine Learning – 101 5 Days 14. Machine Learning – 102 3 Days
(Supervised Learning) (Un-supervised Learning)
Introduction to Machine Learning Unsupervised Learning – I
What is Machine Leaning (Cluster Analysis)
What is Data mining Basic Concepts
Some practical examples Partitioning Methods
Steps in KDD K-means
Supervised Learning- I (Regression) K-medoids
Basic concepts Hierarchical Methods
Linear Regression Diana
Multiple Linear Regression Density based Methods
Logistic Regression DBSCAN
Supervised Learning- II (Classification) Evaluation of Clustering
Basic Concepts
Decision Tree, Random Forest Unsupervised Learning- II
Bayes Classification (Associations & Correlations)
Rule-Based Classification Basic Concepts
Classification with ANN Frequent Itemset Mining Methods
SVM classification Apriori
Model Evaluation and Selection Improving the Efficiency of Apriori
Techniques to Improve Classification Accuracy: Ensemble FPGrowth
Methods ECLAT: Frequent Pattern Mining with Vertical Data Format
Bagging, Boosting Pattern Evaluation Methods
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31. Big Data Analytics – Modules 15 and 16
15. Machine Learning – 103 3 Days 16. Data Visualization – 101 3 Days
(Advanced Topics)
Visual Cognition
Introduction to Machine Learning Workflow Perception, Orientation
Introduction to Machine Learning with Python Creation of Different Chart types and Interpretation
Setting up a Machine Learning Pipeline with Python Commonly used features in Tableau
Advanced topics in machine learning Principles of Analytical Design
Hyperparameter tuning (grid and random search) Elimination of Visual Clutter
Cross-validation How to use filters extensively
Creation of Groups
Hands-on Projects Create and modify Hierarchy of data for Drill ups & Drill downs
Predicting mortality in Titanic dataset How to create a Basic Dashboard with interactivity
Benchmarking ML algorithms on the MNIST dataset. How to create a Basic Story book
Exploring Hyper parameter tuning Effective display of quantitative information
Cross-validation Visualization of Time Series
How to incrementally enhance visualization using calculated fields
Variations in Geo Spatial Analysis
Math, Text, Logical & Date calculations
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31. Big Data Analytics – Modules 17 and 18
17. Data Visualization – 102 3 Days 18. Data Security 2 Days
Using Parameter controls to perform the following- Managing affairs of security: conventional efforts and their limitation
- Dynamic Multi Dimensions for various scenarios Imperatives of Big Data Analytics to security
- Create What if Scenarios Four dimensions of security analytics
- KPI Controls External Intelligence or Situational Awareness feeds
Quick Table Calculations Behavior analytics of systems and users
Create special chart types Consumer analytics for threat management
Bollinger, Pareto, Funnel, Waterfall, Control charts, Word Analytics for security life cycle governance
clouds National Security imperatives of Big Data Analytics
Generate Visual Insights Future of security analytics
Separate out noise from facts. Rapid analysis of large data Ethical, privacy and governance issues of security analytics
sets
Power of Sets
Work Sheet & Dashboard Actions
Guided Analytics
Formatting
Putting it all together – In class hands on exercise: Industry
example of visual
Putting it all together – In class hands on exercise: Industry
example of visual
storytelling and visual analytics
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31. Big Data Analytics – Modules 19 and 20
19. Stream Processing 2 Days 20. Natural Language Processing – 101 3 Days
Introduction to Stream Processing; Why is it necessary Lexical Module
Example of problems and contexts for stream processing Fundamental Concepts - Regular Expressions - Tokenization and
Architecture of stream processing systems Sentence
Introduction to Spark streaming library with pySpark Segmentation - Normalization - Minimum Edit Distance -
Streaming Context and D Streams Morphology
Input D Streams and Receivers N-Grams
Transformations on Dstreams Probability - Language Modeling (Evaluation & Smoothing)
Output Operations on Dstreams
Caching / Persistence Syntactic Module
Hands-on with Spark streaming with pySpark Part-of-Speech and Named Entity Tagging
Word Classes - Rule based and Stochastic - Hidden Markov Model -
Maximum Entropy
Parsing Techniques
Top-Down and Bottom-Up – Ambiguity
Semantic Module
Lexical and Computational Semantics
WordNet - Relations - Word Sense Disambiguation
Information Retrieval
Vector Space Model - TF-IDF – Evaluation Measures
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31. Big Data Analytics – Modules 21 and 22
21. Natural Language Processing – 102 3 Days 22. Recommender Systems 2 Days
Application Module – I Introduction to Recommender System
Text Classification and Sentiment Analysis Types of Recommender Systems
Naïve Bayes – PMI - Sentiment Components - Co-reference Related algorithms
Resolution – Social Media
1. Collaborative Filtering
Data – Tracking
2. Content-based
Application Module – II 3. Hybrid models
Machine Translation Evaluation of Recommender System
Language Similarities and Differences Hands-on case study
Lexical and Syntactic Transfer – RBMT– EBMT - SMT
Question Answering and Summarization
Question Classes and Processing – Answer Extraction –
Textual Entailment - Key-phrase
Extraction – Single and Multi-Document Summarization
Future of NLP
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Our Partners
Dr. MAHENDRA MEHTA Mr. RAJ MITTAL Dr. RANJAN CHAKRAVARTY Mr. RAJAT BHATIA
PhD Managing Partner PhD
© NEURAL 2018 75
Work Experience of our Partners & Principals
Our Partners & Instructors have a combined work experience of more than 100 years gained at top tier
investment and commercial banks, hedge funds and strategy consulting firms in global financial centers such as
New York, London, Mumbai, Hong Kong, Singapore, Sydney and Zurich.
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Educational Backgrounds of our Partners & Principals
All our Partners & Principals have a PhD or a Post Doctoral Fellowship or a dual Masters degree from
the following top tier universities
© NEURAL 2018 77
RAJ MITTAL, Managing Partner
Mr. Raj Mittal, is the Managing Partner of Neural International Partners, located at 110 Wall Street, New York.
Raj retired after a 29 year global career with Citigroup where he was a Managing Director and Worldwide
Head of Operations Risk Analytics in his last assignment, based in New York.
Ex Managing Director & Global Head of Operational Risk Analytics, Citigroup, New York
► Senior Banking Executive with 29 years of global career with Citigroup
► Over 10 years of Operational Risk Management experience
► Deep domain expertise and implementation experience across Risk Management and Quantitative frameworks for
Operation Risk.
► Extensive interface with Regulators in the US and UK on Operational Risk including Economic / Regulatory Capital
and Stress Testing methodologies.
Education:
► MBA, Stern Graduate School of Business, New York University
► M.A . Economics, Delhi School of Economics, Delhi University
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Dr. MAHENDRA MEHTA, PhD
Dr. Mahendra Mehta, is the Chairman & Managing Director of Neural Technologies & Software Ltd, as well as one of the
Founding Partners of Neural International Partners.
He was also the Director of the BIG DATA ANALYTICS program at the SP Jain School of Global Management.
Dr. Mehta is a recognized international expert on Derivatives and Risk Management and has taught more than one
thousand courses on Market, Credit and Operational Risk Management, Derivative Products, Treasury Management,
Artificial Intelligence and Mathematical Finance.
His expertise covers Risk Management (Market, Credit, Operational and CVA), Quantitative Trading Systems, Basel II / III
implementation, Kalman Filters, Machine Learning, Big Data Analytics and Artificial Intelligence.
► Dr. Mehta was the Head of Analytics, India and a Vice President in Citibank’s Asia Pacific Analytics group from 1988 to 1995.
At Citibank, he developed fully automated quantitative trading strategies in collaboration with Dr. Pratap Sondhi, the Global Head of Analytics for Citibank
These trading strategies were deployed in Citibank London and Tokyo to trade major currency pairs
► Subsequently, he served as the Head of RISK Management and the Head of Derivatives at the Saudi American Bank (a Citibank subsidiary), from 1995 to 2002
► Prior to his career in Banking & Finance, Dr. Mehta was the Chief Design Engineer (Radar Systems) of the Light Combat Aircraft project for Hindustan
Aeronautics Limited, Bangalore and the Indian Air Force
► He has regularly conducted finance courses in Turkey, Poland, South Africa, Saudi Arabia, India, Hungary and UAE. He has lectured widely on application of
Artificial Intelligence techniques in trading
► In particular, he has presented papers on hedging and risk management at the London Business School, The Indian Institute of Management and the Swiss Federal
Institute of Technology (ETH), Zurich
► He has published more than 20 articles on engineering and financial sciences in a variety of journals and co-authored Neural Networks in Capital Markets, 1995
► Dr. Mehta earned a PhD from the Indian Institute of Technology, Bombay and a Bachelors of Technology from the Indian Institute of Technology, Kharagpur
► His PhD thesis was in the area of adaptive Kalman filters and Neural Networks
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Dr. RANJAN CHAKRAVARTY, PhD
Dr. Ranjan Chakravarty, is the former Chief Risk Officer of the Singapore Mercantile Exchange. Prior to that, Dr.
Chakravarty served as the Managing Director and Head of Global Capital Markets Valuation and Product Control at the
DBS Bank’s worldwide headquarters in Singapore. He also served as a Managing Director and Head of Risk Management at
Hypovereins Bank for the Asia Pacific Region. As a member of the bank’s Executive Committee, he was responsible for the
risks of a US$ 18 billion balance sheet.
Currently, Dr. Chakravarty is a Senior Professor of Finance at a well known business school in India and also one of the
Founding Partners of Neural International Partners.
In the USA, Dr. Chakravarty worked as a Senior Vice President with GE Capital, Stamford, CT with responsibility for managing a US$ One Billion US high yield bond
portfolio and a US$ 700 million US preferred stock portfolio. Other roles included Vice President of Risk Management with Bank Boston in Boston, Associate, Bankers
Trust, New York and Proprietary Trader at Millennium Partners, New York.
His product knowledge and experience covers: Fixed Income Relative Value, Proprietary FX Trading, Credit Derivatives, US High Yield Bonds, Emerging Market
Bonds (Latin America and Asia Pacific), Interest Rate Derivatives, Equity Derivatives, Hybrid Derivatives, Convertible Bonds, Asset Swaps, Market Microstructure and
Program Trading Strategies.
He published a highly quoted research paper in the Journal of Banking and Finance (1995). This paper is a pioneering work on intra-day trading, bringing together
management science, econometrics and high frequency data analysis. It identifies and rigorously explains the unseen but powerful factors that drive intra-day patterns in
the bid-offer spread. He also published a paper on Applied Econometrics in Ciencia Ergo Sum (1995).
Dr. Chakravarty earned a PhD in Finance from the University of Texas at Arlington. His thesis was in the area of Market Microstructure: Intra-day Pricing and
Volatility Patterns.
He is a member of Omicron Delta Epsilon, International Honor Society in Economics. He was also a Post Doctoral Fellow at the Graduate School of Business in
Columbia University, New York City.
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RAJAT BHATIA
Rajat Bhatia is the Founder & CEO of Neural Capital and a Partner in Neural International Partners. He also serves as the Dean of the Indian Institute of Quantitative Finance and the Chairman
of the Board of Advisors of Invenzo Labs. After working with many top tier investment banks in a wide range of areas in the global markets, he became an entrepreneur in 2003.
During his professional career, Rajat worked with the following His areas of expertise include:
international banks and consulting firms: ► Alternative Investments
► Citibank Global Asset Management, Alternative Investment Strategies, London Hedge Funds and Fund of Hedge Funds
► Lehman Brothers International, Global Derivative Products Group, London Private Equity
► Merrill Lynch Capital Markets, Hong Kong ► Collateralized Loan and Bond Obligations
► Industrial Bank of Japan, London ► Debt Capital Markets
► Citicorp Investment Bank, Proprietary FX Trading Group, Mumbai, India ► Proprietary Trading and Quantitative Trading Strategies
► Financial Engineering LLC, Delray Beach, Florida Foreign Exchange
► Williams Energy, Tulsa, Oklahoma Equity Indices
► Booz.Allen & Hamilton, Sydney, Australia Commodities
► Andersen Consulting, London Fixed Income
► Quantitative Financial Modeling
As an entrepreneur, Rajat has been associated with several start ups: ► Derivatives Structuring & Marketing
► Neural Capital, Delaware and India Credit
► Neural Trading Strategies, India Foreign Exchange
► Artificial Intelligence Capital LLC, Florida Equity
► Financial Engineering LLC, Florida Fixed Income and
► India FX, London and India Commodities
► GREENTECH, India ► Corporate Finance, M&A
► Advanced Solar Devices, California
► Rajat was educated at Columbia University, New York City where he was a Dean’s Fellow at the School of International Affairs from 1991 to 1992. He also earned an MBA with a major in Finance &
Information Systems from the Indian Institute of Management, Ahmedabad (1985-87) and a first class degree with Honors in Economics from St Stephen’s College, Delhi (1982-85). He was the recipient of the
Founder’s Gold Medal at La Martiniere for Boys, Calcutta and the Cambridge Essay Prize at St. Stephen’s College, Delhi.
► In September 2007, he published a very prescient paper in the Hedge Fund Journal, London which was titled “Financial Chernobyl or Manageable Risk – The brewing Storm in ub-prime and CDO Markets”.
This paper predicted the onset of the 2007-2008 global financial crisis at a time when Ben Bernanke and Hank Paulson were telling the world that all is well with the global financial system.
► He is also the principal author of a 181 page white paper titled the “Cutting Edge of Operational Risk Management” which is now being developed into a book of the same name.
► As a student at the Indian Institute of Management, Ahmedabad, he published papers on “Currency & Interest Rate Swaps”, “Offshore Banking” and “Interest Rate Caps, Collars and Floors” in the Financial
Express and the Economic Times. In 2005, he published an extensive two part paper on “Neural Networks in the Financial Markets”.
► He has taught programs on Fixed Income Markets, Swaps Markets, Commodity Markets, Equity Markets, Mortgage Backed Securities, Credit Derivatives, Structured Products & Financial Engineering, Portfolio
Management, Alternative Investments, Derivative Products, Quantitative Trading, Market Risk, Credit Risk and Operational Risk at Lehman Brothers, London, BlackRock, New York, Deutsche Bank, India
Barclays Technology Center, India and Macquarie Bank Global Financial Control, India, Credit Suisse, the Saudi American Bank and at a School of Global Management in Singapore.
► In 2016 and in 2017, he was an invited Speaker and Moderator of a panel of experts at the Asia Pacific Fixed Income Leaders’ Summit in Singapore.
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THANK YOU