To assist in better decoding this complex matter, Deloitte Luxembourg recently launched a series of Quantitative Finance Master Classes.

“Our new Master Classes aim to provide a deeper knowledge of complex and highly technical topics related to quantitative finance,” explains Xavier Zaegel, Partner at Deloitte Luxembourg. “The idea is to gather interested market professionals and give them the opportunity to dive deeper into this special field, guided by highly qualified professors who normally also hold a subject-related PhD.”

First seminar on PRIIPS analytics
The first seminar in March focused on PRIIPS analytics and hosted professionals and experts from the banking, insurance and fund industries. The class addressed and discussed various subjects in the light of quantitative finance, including the technical foundations of the regulation from a theoretical point of view and an analysis of the quantitative part of PRIIPS in the light of both financial theory and regulation.

“According to the feedback we received, the first edition was a full success. Our participants especially appreciated the detailed ‘flavor’ of the analytical part of PRIIPS, and more specifically the exploration of particular constraints and challenges lying ahead,” explains Zaegel.

Four more sessions are planned until November 2017 with the following topics:

• A close look at Market Value-at-Risk (18 May 2017)
  • Challenges
  • Valuation methods
  • Z-spreads
  • Determining credit spreads / Credit spread in structured products

• Exotic and path-dependent options – Numerical methods (15 June 2017)

• Pricing Collateral Debt Obligations (CDO’s) using different techniques (28 September 2017)

• Liquidity modelling for investment funds – (16 November 2017)

Deloitte’s Quantitative Master Classes are paid seminars taking place at the Deloitte Villa in Neudorf. Interested market professionals can learn more and register on the Deloitte Luxembourg website at: https://www2.deloitte.com/lu/en/pages/financial-advisory/solutions/deloitte-quantitative-finance-master-classes.html.