|
This newsletter was created by the
volunteer leadership of the Calgary Chapter for its members.
|
|
|
|
|
|
The
Professional Risk Managers'
International Association
|
|
A Higher Standard for Risk
Professionals
|
|
|
|
PRMIA Calgary
Newsletter
|
Issue: 3Q11
|
|
Quarterly
|
|
News and Updates
|
|
₪ Stress Testing A
Bayesian Net Approach with Riccardo Rebonato (1 & ½ day
course)
This course
presents a novel approach to Stress Testing, which combines statistical
information and expert knowledge. The integration of the two
components is achieved by means of Bayesian Nets technology.
The transparency of this method makes it the opposite of a black-box
approach, lending itself to challenge, interrogation and investigation by
senior non-technical users (e.g. board members, non-executive directors,
heads of trading, etc.) more ...
₪ Exxon Mobil clinches
Arctic oil deal with Rosneft
US oil major
Exxon Mobil has clinched an Arctic oil exploration deal with Russian
state-owned oil firm Rosneft. The venture seemingly extinguishes any
remaining chance of BP reviving its own deal, which lapsed in May.
more ...
₪ Quantnet’s
Best-Selling Books of 2010
What are the best-selling books that
Quantnet members purchased in 2010? more ...
|
|
|
Upcoming
PRMIA Calgary
Events
|
|
Risk Management
Internships at Direct Energy
September 20,
2011 at 11:30AM. Location: Basement auditorium in Bankers Hal
more ...
|
|
Other
Upcoming Events
|
U of C Lunch at
the Lab – The Mathematical and Computational Finance Laboratory
more ...
Haskayne School of Business – Fall 2011 Seminars
more ...
|
|
Calgary Recent Events
|
|
₪ Review of "The
Volatility Surface"
Implied volatilities are crucial elements in the
measurement and analysis of market risk. They are also frequently used as
building blocks to more advanced credit risk analytics.
Presenters: Anatoliy
Swishchuk, University
of Calgary. more ...
₪ Managing the
Differential Risks of Crude Oil, Refined Products and Other Energy
Commodities
Explore the risks and opportunities associated with the
various differential pricing methods for energy commodities. Alternatives
include low/high/mean, volume weighting, defining a market close window,
and timestamp price assessment. Presenters: Jeff Kralowetz, Canada
Country Manager, Argus Media
more ...
₪ Hedging the Extrinsic
Value of Natural Gas Storage
We begin with a brief overview of the natural gas storage
industry and its financial modeling aspects. Three different trading
strategies around storage will then be introduced: cash, rolling
intrinsic and basket of options. After a brief discussion of the pros and
cons, the discussion will focus on the problem of monetizing extrinsic
value. Storage will be viewed as a basket of calendar spread options and
hedged dynamically using the delta hedging approach. By way of a real example
we go through the details of the daily corrections to hedging. The
methodology is tested over a six month period using Henry Hub daily
forward curves and implied volatilities. We test the effect of model
errors, parameter estimation, hedging frequencies and other model
components. Our results show that there is a critical hedge-able
correlation, significantly lower than the actual correlation, which
results in a very high hedging efficiency and a reasonably high extrinsic
value.. Presenters: Ali Sadeghi, Senior Quantitative
Specialist, Nexen Marketing
more ...
₪ Commodities/Energy Risk Management
The lecture will begin with a brief overview of the
current status of the oil markets. The discussion will then focus on the
interdependence of oil price risk and related risks. Strategies to hedge
oil price risk will be presented and the issue of speculation in the
energy markets will be addressed. The perspective of portfolio managers
who are commercial hedgers (i.e. producers, refiners, users) versus that
of the non commercial hedgers will be examined, and the best risk
management tools for each to use. We will also discuss the reasons for
the increasing number of new energy exchange traded funds. In closing we
will look at the issue of speculation under the new regulatory
environment. Presenters: Panel Discussion
more ...
|
|
|
PRMIA Membership
|
|
₪ Membership Overview
Join PRMIA and collaborate with a fast
growing network of professionals working to improve the knowledge base,
increase the standards and define the professional practices of risk
management globally.
As a non-profit association, PRMIA relies on the essential financial
support of our members to help PRMIA maintain its status as a global
leader. Member dues help to sustain our local chapter activities, enhance
online resources, support the development and advocacy of best practice industry
standards and much more. We invite you to show your partnership in PRMIA
through a Sustaining membership.
learn more here ...
|
|
|
PRMIA Education
|
|
₪ PRM Designation - The
Higher Standard in Risk Management
The Professional Risk Manager
(PRM™) designation is an independent validation of skills and
commitment to the highest standard of professionalism, integrity, and
best practices within the risk management profession. The PRM™ is
the leading certification for risk managers, having received public
endorsements from top university programs and businesses.
The PRM™ Standard is recognized world-wide and is the benchmark
against which the best risk professionals measure their skills. The
PRM™ Standard offers predictive power by assuring that the exam
candidate is being tested in all areas of risk management for the
required broad knowledge and understanding that risk managers must bring
to the job.
Candidates are required to pass four exams to achieve the PRM
Designation:
• EXAM I: Finance Theory,
Financial Instruments and Markets
• EXAM II: Mathematical
Foundations of Risk Measurement
• EXAM III: Risk Management
Practices
• EXAM IV: Case Studies, PRMIA
Standards of Best Practice, Conduct and Ethics, Bylaws
learn more here ...
₪ Associate PRM
Certificate Exam Registration
The Associate Professional Risk Manager
(Associate PRM) is a new PRMIA certificate program intended for staff
entering the risk management profession, or those who interface with risk
management disciplines on a regular basis, such as auditing, accounting,
legal, and systems development personnel who want to understand
fundamental risk management methods and practices. Designed to be
mathematically and theoretically less detailed than the Professional Risk
Manager (PRM™) certification, the new program will cover the core
concepts allowing non-specialists to interpret risk management
information and reports, make critical assessments and evaluate the
implications and the limitations of such results.
Only successful candidates of the PRM designation are entitled to use the
PRM title. Associate PRM members will receive a certificate but will not
be entitled to use the PRM title.
lean more here ...
₪ Preparing for The
PRM™?
If you are a practicing risk manager
you are already preparing for the exams by going to work each day and
interacting with other professionals. You're also preparing if you use
the free resources of the PRMIA web site, read industry magazines,
software manuals, company policies and procedures, academic journals,
websites and regulatory notices, attend PRMIA chapter meetings,
participate in on-line forums and attend risk management conferences.
Still, the requirements of the PRM exams are high. We recommend a
disciplined approach to assessing your current skills and developing the
new skills that you will need to be a successful candidate. The
information in our website will direct you to many of these resources,
but we encourage you to develop your professional skills even beyond
those needed to attain the PRM.
PRMIA provides you with the following in order to help you prepare:
• Self-Study Guide
• Reading Materials
• Online Training Courses and
Diagnostics
• Lectures, Worked Examples and
Diagnostic Exams
• Training Programs
lean more here ...
₪ The PRM™ Study
Groups in Calgary
Please contact Calgary@PRMIA.org
lean more here ...
|
|
|
PRMIA Calgary Chapter
|
|
₪ Speakers
If interested in speaking for the Calgary chapter
please contact: Calgary@PRMIA.org.
If interested in speaking for other chapters in the PRMIA global chapter
network, please contact Speakers@PRMIA.org.
₪ Sponsorship
For chapter sponsorship opportunities please contact Calgary@PRMIA.org.
₪ Volunteers
If you would like to become a volunteer
at the PRMIA Calgary Chapter, send
an email to Calgary@PRMIA.orgwith
your one-page resume.
₪ LinkedIn Groups
To join the PRMIA LinkedIn Group, click
here.
|
|
|
PRMIA
Calgary Members
|
|
₪
Regional Director
 Scott Dalton
– Encana, Advisor Market Risk
₪
Steering Committee
Alexander
David– University of Calgary, Director of Calgary Centre for Research in Finance
Anatoliy Swishchuk – University of Calgary,
Associate Professor of Mathematics & Statistics
Carlos
Morales – CISA, CISM
Dave Evans
– CSC Project Management Services
Frank Chen
– Director, Financial Risk Management, KPMG
Nima Safaian – Market
Risk – NAGP, BP Energy Canada
Peter Ding
– Associate Director, Basel II, ATB Financial
Raymond Cheng
– Enbridge, Inc.
Reza Simchi – Manager
Commercial Analytics, Nexen
Robin Moritz
– Manager, Risk Projects & Information Delivery
Roger Coroas
– Mathematician/Financial Engineer, QUIC
Rouzbeh
Amirazodi – Market Risk – Midstream & Trading, Direct
Energy
Tony Ware
– University
of Calgary,
Associate Professor of Mathematics & Statistics
|
|
|
|
|
|
Copyright
© 2011 PRMIA. All rights reserved.
|
|
|