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Functional Finances

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Financial derivatives and Risk Management
A short introduction to Market and Credit Risk Management with a special focus on using financial derivatives as risk management tools. This presentation was the basis of a guest lecture held at the Amsterdam Business School, the business school of the University of Amsterdam (UvA) at the invitation of Alessandro Beber.
Quantifying model related risks
A framework is proposed to quantify model risk, one of the most relevant and most difficult to tackle aspects of Model Validation. A white paper elaborating on the ideas forming the basis of the presentation is under development.
Estimating time to default
This presentation is an adaptation of the author's paper: Survival prediction using gene expression data: a review and comparison to the credit market. The tools of survival analysis are applied to select the most relevant predictors for estimating time to default.
Capital Management under Solvency II
An introduction to the challenges of managing capital under the Solvency II regime. This presentation formed the basis of a workshop run by the author at the Risk Management and Capital Modelling in Insurance conference in London organized by marcus evans in 2012. The examples discussed in the slide are available for commenting and further online discussion on our blog: http://blog.functionalfinances.com/category/workshop-discussions/.
RDBL introduction
An introduction to the R Database Layer package.
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