Managing Director, Risk and Analytics
S&P Capital IQ
Scenarios are the language of Risk. The quality of a risk management analysis depends on the ability to generate relevant forward-looking scenarios that properly represent the future. While this future cannot be predicted, the combination of expert economic analysis and advanced scenario and portfolio analytics provide a strong basis for managing risk and making better, more informed investment decisions.
In this talk, we discuss various problems that result when trying to incorporate economic forecasts or “expert” scenarios to analyze the risk of financial portfolios and present various simulation-based methodologies that can be used effectively in practice. We illustrate the application of these methodologies through the analysis of the performance of a real-life portfolio under recent economic research reports.
Dr. Dan Rosen is the Managing Director for Risk and Analytics at S&P Capital IQ, and an adjunct professor of Mathematical Finance at the University of Toronto. Dr. Rosen was the co-founder and CEO of R2 Financial Technologies, acquired by S&P Capital IQ in 2012.
In addition to working extensively with financial institutions around the world, Dr. Rosen has authored numerous publications on financial engineering and risk management, and serves in the editorial board of several industrial and academic journals.
Prior to founding R2 in 2006, he had a successful ten-year career at Algorithmics, where he led the company’s strategy, products, financial engineering and research. He holds an M.A.Sc. and PhD. in Chemical Engineering from the University of Toronto.
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