Verification of Financial Models

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EXTENT Conference - October 2011 Test Automation for Trading Systems Verification of Financial Models:Duplication of Development Efforts? Alyona Lamash, Head of Risk Management Systems Practice Innovative Trading Systems Boris Rabinovich, Senior QA Analyst ITS

Empresariales Economía y finanzas

Verification of Financial Models: Duplication of Development Efforts? Alyona Lamash, Boris Rabinovich EXTENT October 2011

Contents ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

1.Introduction ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

2.Model and Implementation ,[object Object],[object Object],[object Object],[object Object],[object Object]

2.Model and Implementation (cont.) ,[object Object],[object Object],[object Object],[object Object]

3.Application ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

4.Technical Analysis (cont.) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

4.Technical Analysis (cont.) ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

5.Derivatives Pricing ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

6.Implied Liquidity ,[object Object],[object Object],Bid 2Y Offer 5Y Offer 2Yv5Y

7.Value at Risk ,[object Object],[object Object],[object Object],[object Object],[object Object],[object Object]

8.Model Risk in Modern Markets ,[object Object],[object Object]

9.Summary ,[object Object],[object Object],[object Object],[object Object]

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