Jul 2022
Register by Jun 24 2022
15 hours

Choose your session

Start: Jul 01 End: Jul 02
Register by Jun 24 2022
Language: English
640 €

Course information

In the current turbulent economic environment of extreme events and black swans, Applied Data Science for Investment, Banking & Insurance reflects to a cross-disciplinary field which relies on a very broad spectrum of mathematical methods.

This executive training seminar is solidly founded on two fundamental principles: Sound theoretical content and highly practical value.

Participants will acquire an in-depth grasp of the whole underlying knowledge which underpins many of the quantitative techniques exploited in modern investment, banking, and insurance analytics. The seminar’s unique and special feature is the ‘teaching-by-example’ approach since all models shall be practically demonstrated on a real-time basis. Participants will gain exposure to the superior quality training of Profs. DELIS, XIDONAS, and RAIS, leading experts in the area.

Finally, the seminar adopts a very innovative format, consisting of 2 phases, i.e., online training on July 1-2, and on-campus lobbying dinner event on September (TBA).

  • Live sessions: 
    2 sessions: Friday July 1st from 9am to 6:45pm & Saturday July 2nd from 9am to 1:15pm
    September 2022 [On-campus, Exact Date TBA] 6:15pm to 9pm: Seminar’s Dinner Event at ESSCA Campus in Paris
  • Who is this course for?

    The seminar constitutes a crash master course, being thoroughly conceived particularly for professionals, whose business scope is strongly related to the investment, banking, and insurance industries.

    The seminar shall be particularly useful for

    • Bankers
    • Portfolio managers
    • Risk managers
    • Insurance managers
    • Investment advisors
    • Quantitative analysts
    • Financial products salespeople
    • Academic researchers
    • Students
  • What is the content of this program?

    Friday, July 1 2022 [Online]

    09:00-11:00 Risk Modeling

    • Statistics of returns, higher moments & risk metrics
    • Historical simulation & bootstrapping
    • Stochastic analysis & Monte Carlo simulation
    • Estimation, hypothesis testing & regression modeling
    • Regression metrics for portfolio performance evaluation
    • Equilibrium testing & multi-factor asset pricing
    • Volatility modeling with EWMA & GARCH
    • Econometrics for corporate event studies

    11:00-11:15 Break

    11:15-13:15 Portfolio Engineering

    • Portfolio optimization with real-world policy constraints
    • Portfolio optimization with alternative risk metrics
    • Portfolio optimization with binary constraints
    • Portfolio optimization with genetic algorithms
    • Portfolio optimization with indexing
    • Portfolio optimization with transaction costs
    • Multi-objective portfolio optimization with goal programming
    • Multi-objective portfolio optimization with minimax regret

    13:15-13:45 Break

    13:45-15:45 Advanced Risk Management for Insurance

    • Multidimensional aspect of the risk
    • Dependence & Co-movement
    • Correlation coefficients & others
    • Copulas theory
    • Archimedean copulas
    • Monte Carlo method
    • Simulation & dependencies
    • Assessment & valuation

    15:45-16:00 Break

    16:00-18:00 Insurance & Solvency II

    • Insurance industry & specifications
    • Technical provisions
    • Solvency II balance sheet & risks
    • Solvency II capital requirement
    • SCR & MCR valuation
    • Own risk & solvency assessment (ORSA)
    • Review of models
    • Internal model & VaR

    18:00-18:45 Panel Discussion

    Saturday, July 2 2022 [Online]

    09:00-11:00 Bank Capital, Risk & Performance

    • Measures of bank capital, risk & performance
    • Panel data for banking applications
    • The fixed effects model of banks
    • The interplay between capital, risk, & performance
    • Determinants of bank capital & non-performing loans
    • Determinants of bank performance
    • Stress testing for banking institutions
    • The Coronavirus shock on bank capital & credit risk

    11:00-11:15 Break

    11:15-13:15 Bank Regulations & the Macroeconomic Environment

    • Capital & liquidity requirements
    • The effect of bank regulations on bank lending
    • Lending implications of stress tests
    • Conventional monetary policy
    • Unconventional monetary policy
    • Monetary policy & bank capital
    • Monetary policy & bank risk
    • The Coronavirus shock on bank lending

    September 2022 [On-campus, Exact Date TBA] 18:15-21:00 Seminar’s Dinner Event at ESSCA Campus in Paris

  • How will this program benefit my career?

    With this online program, you will:

    • Learn how to model cutting-edge banking quantitative prototypes
    • Find out how to develop a broad variety of portfolio engineering models
    • Explore how to build insurance risk management models
    • Strong applied dimension with integrated real market data applications
    • Unique ‘teaching by example’ educational approach
    • Panel discussions with field experts
  • Practical information

    Live sessions:

    • 2 sessions: Friday July 1st from 9am to 6:45pm & Saturday July 2nd from 9am to 1:15pm
    • September 2022 [On-campus, Exact Date TBA] 6:15pm to 9pm: Seminar’s Dinner Event at ESSCA Campus in Paris

    25% Off Early bird offer until June 10, 2022 with the code “ESSCA-EARLY-DS”.

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