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Como el año pasado, se vuelve a realizar el ARPM Bootcamp, un curso de capacitación intensivo de 6 días de teoria y ejercicios dictado en Nueva York.

What You Get

»Knowledge: in-depth understanding of buy-side modeling from the foundations to the most advanced statistical and optimization techniques, in 6 intensive days of theory and MATLAB live examples and exercises:

  • -Market modeling: random walk, ARMA, GARCH, Levy, long memory, stochastic volatility
  • -Multivariate statistics: non-parametric, non-normal MLE, shrinkage, robust, Bayesian estimation; copula/marginal factorization; location-dispersion ellipsoid
  • -Factor modeling: theory and pitfalls of time-series and cross-sectional factor models, CAPM, APT, principal components analysis, random matrix theory
  • -Pricing: full evaluation, Greeks, stress-matrix interpolation; analytical, Monte Carlo, historical
  • -Risk analysis: diversification, stochastic dominance, expected utility, Sharpe ratio, Omega, Kappa, Sortino, value at risk, expected shortfall, coherent and spectral measures
  • -Portfolio construction: robust/SOCP optimization, shrinkage/Bayesian allocations, Black-Litterman and beyond; transaction costs, liquidity, market impact; statistical arbitrage; convex/concave dynamic strategies, CPPI, delta-replication

»TextbookRisk and Asset Allocation by Attilio Meucci;

»Code: full set of case studies; temporary MATLAB and NAG licenses;

»Certifications

  • -40 credits – CFA Institute Continue Education Program
  • -40 credits – GARP Continuing Professional Educational Program
  • -Certificate of Attendance – Advanced Risk and Portfolio Management Bootcamp
  • -Certificate in Advanced Risk and Portfolio Management (upon completion of an optional examination)

»Networking: mingle with like-minded people; meet our guests speakers Rob Almgren, Peter Carr, Emanuel Derman, Bruno Dupire, Bob Litterman, Fabio Mercurio, Jim Gatheral, Maureen O’Hara; network with our corporate partners Sebastian Ceria – Axioma, Dan diBartolomeo – Northfield, plus GARP, CFA Institute, FactSet, MSCI, Mathworks, NAG; learn more

»Bookstore: Access quant books at a discount here

What You Pay

$950 (Academic/Student);$1,350 (Partner), $1,700 (Professional), group rates contact us
After regular expenses and rent for the venue, profits will be donated to charities

When/Where

Monday August 12 through Saturday August 17, 2013, 8:30am-6:00pm
New York University – Kimmel Center, 60 Washington Square South, New York City

Audience

»Finance professionals with quantitative background:

  • -Portfolio managers/risk managers will learn the latest developements in the field and deepen their knowledge of mainstream approaches
  • -Sell-side professionals will bridge the gap to quantitative buy-side finance

»Academics and students

Instructor

Attilio Meucci, PhD, CFA. Chief risk officer at Kepos Capital LP. Author of Risk and Asset Allocation. Regular contributor to publications, including Risk Magazine and to GARP Risk Professional MagazineClick here to learn more about Attilio.

Contact

For more information, please contact us!
View photos and more from the ARPM Bootcamp 2012 here