November 7, 2019 : Nachhaltigkeitsrisiken

PRMIA Frankfurt präsentiert Nachhaltigkeitsrisiken - Risikomanagement und Anforderungen der Aufsicht. Das Thema 'Nachhaltigkeit' gewinnt in allen Bereichen des öffentlichen Lebens mehr und mehr an Bedeutung. Auch im Finanzsektor beschäftigt man sich seit mehreren Jahren intensiv u.a. mit Klimarisiken und nachhaltiger Finanzierung. Einerseits haben verschiedene Initiativen auf nationaler und europäischer Ebene die Erarbeitung von Standards vorangetrieben. Daneben hat auch die BAFin im September einen Entwurf für ein Merkblatt zum Umgang mit Nachhaltigkeitsrisiken veröffentlicht. Wir wollen mit Ihnen die Inhalte des Merkblattes analysieren und die Auswirkungen auf das Risikomanagement in Ihren Häusern diskutieren.



https://prmia.org/Shared_Content/Events/PRMIA_Event_Display.aspx?EventKey=8433&WebsiteKey=e0a57874-c04b-476a-827d-2bbc348e6b08

Continuous Testing Meetup

There is a cool meetup coming up about test automation:

Date: Thursday, May 23rd
Time: 6:00 PM
Location: WeWork, Stresemannstraße 123, Berlin

https://www.meetup.com/de-DE/continuous-testing-meetup-berlin/events/260127011/?eventId=260127011

Test Automation Day 2019

Test Automation Day is a multi-tracks software testing conference organized for software testers and IT professionals in the Netherlands. It features talks and workshops by international speakers focused on Test Automation. The Test Automation Day Netherlands offers the opportunity to interact with world class speakers about innovative automated testing methods, technologies, strategies and tools.

In the agenda of the Test Automation Day conference you can find topics like “Balancing your test automation with exploratory testing”, “Model-based testing of probabilistic programs”, “Test Automation Smells – Automatically uncovering quality defects”, “Test automation, handcuffs or enforcement?”, “Agile Functional Test Automation”, “What makes a test automation engineer so special?”, “Automation, Now, Then, Where”, “Intelligent Mistakes in Test Automation”, “Automated integration testing with Arquillian”, “Implementing Test Automation, A simple strategy?”, ” Effective Risk Analysis in Performance Testing: the Dutch Railways approach” or “The ROI of (Acceptance) Test Driven Development”

June 19-20 2019,
Utrecht, 

Netherlands, 

http://www.testautomationday.com/

The Beauty of a DSL for Finance

With Theta Suite you can structure and evaluate any financial product or trading strategy faster and more accurate than ever before. Thus any exotic product or complex hedging strategy looses it´s magic.

How is this possible? 

The coding language ThetaML serves only one goal: optimally define financial products, trading strategies and evaluation models (e.g. stochastic models). It does nothing else but that! The power of this language lies in the fact that the description of the product (payoff structure), the stochastic model and the numerical implementation are separated. Each individual component is much easier to understand than a complex numerical algorithm containing all three aspects in one piece of low level computer code.

June 14th - PRMIA Event with Tom Wilson on Value and Capital Management

PRMIA Munich is proud to invite you to a presentation by Tom Wilson on:
 

Value and Capital Management: A New Era for Insurers

Abstract:

Given today’s environment, characterized by tepid economic growth, highly volatile capital markets, record low interest rates and risk-based Solvency II regulation, capital management and value management are becoming synonymous.

Against these headwinds, an accounting earnings focus is no longer sufficient: a tighter focus on where and how capital is generated and invested is critical for building profitable, long-term sustainable businesses.

•           What are the forces defining the “New Era”?

•           What are the implications for value and risk management?

 About the Speaker:

Tom Wilson is Chief Risk Officer of Allianz, based in Munich. He has over 20 years’ experience working in finance and risk with insurance companies and banks, both in line management CRO and CFO roles at Allianz, Dresdner Bank, ING and Swiss Re as well as leading the Risk consulting practices at Oliver Wyman and McKinsey. He is the author of Value and Capital Management: A Handbook for the Finance and Risk Functions of Financial Institutions (Wiley, 2015). He received his BSc in Business from the University of California at Berkeley and his PhD in Economics from Stanford University.

Date and Venue:

Tuesday June 14th 2016, 6:00 pm
Muenchner Kuenstlerhaus
Lenbachplatz 8, 80333 Munich
Room Miller
(Entrance Maxburgstr.)
Link to the venue

Refreshments will be provided thanks to our sponsor d-fine.

Looking forward to seeing you there,
The Munich Steering Committee and Dominik Dersch, Regional Director PRMIA Munich

For more details regarding this event, venue and registration please use the following link: http://www.prmia.org/civicrm/event/info?reset=1&id=6871

Theta Suite 3 available now

All kinds of structured financial products, especially Variable Annuities (VAs), can be described via ThetaML - the programming language for all Thetaris products including Theta Suite.



With the brand new developed Java backend ThetaML Compiler the product development of VAs will be even more simplified. Furthermore, existing VAs can easily be migrated in ThetaML, enabling a simplified data flow within server components.


In detail the ThetaML Compiler

- generates standalone Java classes (no Matlab required),

- minimalizes the initialization time,

- no re-compilation after input parameter change and

- supports simplified ThetaML language.



The second component ThetaML for Java developers offers

- full integration into Java IDE,

- full integration into Eclipse Debugging framework,

- convenient JAVA API and

- on the fly code generation.


Both components can be provided as Plug-In for the Java developer enviroment (e.g. Eclipse).


For more information, please follow the link: http://www.thetaris.com/thetasuite/

November 10th - PRMIA Event on Cyber Risk: Threats and Mitigation Strategies

PRMIA Munich is proud to invite you to an Expert Panel on:

Cyber Risk: Threats and Mitigation Strategies 

This chapter meeting of  PRMIA Munich adresses important cyber risk themes by an expert panel of practitioners from IT - software, hardware, security, insurance, and consulting discussing about:
 

• Anecdotal evidence about cyber risks - examples for various industries
• Types of cyber threats
• Harm and damages - dimensions and costs of cyber risks
• Responses to cyber attacks and recovering
• Mitigation strategies
• Markets and types for cyber insurance
• What’s the focus of insurance underwriters

The panelists are:

• José Fidalgo: Head of Risk Consulting Liability Central and Eastern Europe at Allianz Global Corporate and Specialty
• Thomas Fritzsche: Senior Manager at KPMG Forensic
• Kai Bender: Head of Oliver Wyman’s Strategic IT & Operations Practice/Germany
• Andreas Schlayer: Head of global team of experts at Munich Re, responsible for the insurance of information technology risks
• Thomas Schoen: Managing Director of RIGS IT GmbH
• Juergen Kohr: SVP at T-Systems

For more details regarding this event, venue and registration please use the following link:

http://www.prmia.org/civicrm/event/info?reset=1&id=6733

Theta Suite Release Fall 2014 is available now

Theta Suite 2.3: Concentration on speed

- A new release of Thetaris' flagship product is now available. Theta Suite allows valuation, hedging and risk management of any financial contract. The focus lies on exotic structures, especially Variable Annuities. 

For this release, besides many minor improvements, Thetaris focused on minimal initialization time and significant speed-up during aggregation processes. Furthermore the newest version of Theta Suite is now fully compatible with the Matlab 2014a. So it supports all Matlab versions since 2007b.

A new feature is the integration of a very efficient variance reduction technique. This technology allows running a simulation with only about one tenth of the scenarios while keeping the accuracy.

For more information please follow the link:  http://www.thetaris.com/thetasuite/

Press release: Who is happy in the finance community?

Thetaris developed a crowdsourcing platform, that gives the answer.

Shortly before years’ end, Thetaris asks the finance community for their input regarding the economic and financial expectations for 2015 (please see: who-is-happy.com). How happy are you with job, career, work, infrastructure. What are your expectations for economic and financial development in different regions of the world. It's time to sum up sector trends.

Thetaris, a provider of cutting-edge modeling solutions for easy structuring exotics, developed this easy to use crowd-sourcing platform. The site promises an entertaining interview process with instant feedback. 

Crowd answers can be immediately matched against your own. The platform is completely anonymous, intuitive to use and comes with a modern design. Reports show the wisdom of the finance crowd for every topic and gives the user the ability to explore the data of all users in an analytics dashboard. Examples for what the users are able to investigate immediately include

• expectations for growth of the world economy in 2015  by Europeans vs Americans vs Asians.
• amounts of bonuses for senior level in Russia vs Europe vs China,
• career expectations of male vs female juniors in Europe,
• personal allocation of financial assets of finance professionals and
• many other topics.

We are looking forward to your input -   anonymously: who-is-happy.com

November 12th - PRMIA Event on Managing Systemic Exposure

PRMIA Munich is proud to invite you to a presentation by Dr. Federico Galizia on:

Managing Systemic Exposure

Prior to the financial crisis, exposure to systemic entities had been assumed to be largely risk free. Yet the exposures were not risk free. The losses were catastrophic and set the whole system back in reverse. Today’s systemic entities trade with each other on a collateralized basis and on the assumption that no one is too big to fail. The system has frozen with smaller players paying a high price.

This presentation aims at taking the fear out of the equation and showing how systemic banks could resume activity while managing concentration, counterparty and maturity risk on wholesale markets. We will advocate moving out of ‘risk avoidance’ and back into ‘risk management’. Dr. Galizia will also comment on SIFI exposure limits recently set by the Basel Committee.

For more information regarding venue, speaker and registration please use the following link:
http://www.prmia.org/civicrm/event/info?reset=1&id=6469

October 13th - PRMIA Event on Operational Risk Management

PRMIA Munich is proud to invite you to a presentation by Dr. Ariane Chapelle on:

Recent developments in Operational Risk Management

During this talk we will cover the aspects of ORM for financial institutions gaining traction over the recent years as best market practice. These include: risk appetite, tolerance and risk limits; preventive key risk indicators, scenario identification and assessment, embedding risk culture.

The talk summarizes some of the highlights of the flagship PRMIA course  “Advanced Operational Risk Management”  delivered by Dr. Chapelle.

For more information regarding venue, speaker and registration please use the following link:
http://www.prmia.org/civicrm/event/info?reset=1&id=6471

July 22nd - PRMIA Event on Energy and Risk

PRMIA Munich is proud to invite you to a presentation by Prof. Rüdiger Kiesel on:

Energy and Risk

During the talk various aspects of risk and uncertainty relating to energy and climate change will be illustrated. It will start with a general discussion of the concepts of risk and risk management. Using the valuation of power plants as an example the impact of model risk will be investigated and related to political risk. A discussion on the perception of risk related to climate change will conclude the talk.

For more information regarding venue, speaker and registration please use the following link:

http://www.prmia.org/civicrm/event/info?reset=1&id=6391

Feb.25th - PRMIA Event on Liquidity Risk Management

PRMIA Munich is proud to invite you to our first chapter meeting in 2014 with a presentation by Dr. Carlo Acerbi on:

Liquidity Risk Management - New trends, challenges and instruments for the financial industry
Abstract:

New Thetaris Research in Open Journal of Statistics

High-Dimensional Regression on Sparse Grids Applied to Pricing Moving Window Asian Options

Author(s)

Stefan Dirnstorfer, Andreas J. Grau, Rudi Zagst

ABSTRACT

The pricing of moving window Asian option with an early exercise feature is considered a challenging problem in option pricing. The computational challenge lies in the unknown optimal exercise strategy and in the high dimensionality required for approximating the early exercise boundary. We use sparse grid basis functions in the Least Squares Monte Carlo approach to solve this “curse of dimensionality” problem. The resulting algorithm provides a general and convergent method for pricing moving window Asian options. The sparse grid technique presented in this paper can be generalized to pricing other high-dimensional, early-exercisable derivatives.

KEYWORDS

Sparse Grid; Regression; Least-Squares Monte Carlo; Moving Window Asian Option

Link

S. Dirnstorfer, A. Grau and R. Zagst, "High-Dimensional Regression on Sparse Grids Applied to Pricing Moving Window Asian Options," Open Journal of Statistics, Vol. 3 No. 6, 2013, pp. 427-440. doi: 10.4236/ojs.2013.36051.

http://dx.doi.org/10.4236/ojs.2013.36051

Theta Proxy XL works with FinAnSu

Theta Proxy XL  is optimized for FinAnSu: A library for free real-time data acquisition in MS Excel. That means, people can try Theta Proxy XL with free real-time data and without the need to link into Bloomberg or tompson reuters. 

Oct. 1st, 2013: Workshop on Domain-Specific Languages for Financial Systems at 16th International MODELS Conference

MODELS is the premier venue for the exchange of innovative ideas and experiences of modelbased approaches in the development of complex systems and will take place from the 29th of September through 4th of October in Miami/USA:

The MODELS 2013 will continue the MODELS history in providing the top forum for researchers and practitioners to meet and share experiences in software and systems modeling. Traditional events (e.g., Foundations/Applications track papers, Workshops, Tutorials, and Panels) will represent key venues for disseminating novel ideas in modeling research. The most interesting workshop will be Domain-Specific Languages for Financial Systems (DSLFIN) on Oct. 1st.

Functions in ThetaML

Many users asked for the introduction of function call into ThetaML. Since today, we provide a test release of Theta Suite version 2.4 together with the new function syntax. Besides the usual function concept, ThetaML functions also support function handles and partial evaluation with model time sensitive default values for some parameters. You will be surprised how much this can simplify your coding.

New release: Theta Suite Spring 2013

Theta Suite Release: Excel-bridge better speed and many small improvements

Thetaris ends the wintertime and  is proud to announce  the new Theta Suite Spring 2013 release.

We focused on the full functionality of the so called "Excel bridge" which offers new possibilities to run models from Excel. Furthermore the Theta Suite Spring release improves significantly the speed of the Debugger Analysis and Evaluation Run.

For more information go to :  http://www.thetaris.com/thetasuite/

Theta Proxy XL on c't software CeBIT - DVD Edition

As in previous years, some 2013 issues of the c't magazine include a covermount DVD-ROM. The DVD-ROM that will be in c't issue 6/2013 (CeBIT edition) features a hand-selected collection of free- and shareware programs as well as fully registered versions. This compilation includes software related to "science and technology" as well as "office workflows".

Theta Proxy XL, the Thetaris Excel Add-in software that accelerates the performance of complex Excel functions, such as user-defined functions (UDF) for Monte-Carlo simulation will be featured on the DVD and described in the c't magazine. 

Please see also: http://www.thetaris.com/thetaproxy

We are happy and proud, that the c't magazine - one of the most important and widest-circulated software magazines in Germany - selected Theta Proxy XL for this DVD edition, which is issued in parallel to the CeBIT 2013,  the world's largest trade fair showcasing digital IT and telecommunications solutions for home and work environments.

Merry Christmas and a Happy New Year

The Thetaris team wishes all of you Merry Christmas and all the best for 2013. 

We would like to thank all our customers and partners for your support, loyalty and feedback and are looking forward - together with you -  to new challenges and ambitious projects in the next year.

See you!
Your Thetaris Team