Introduction to the Monte Carlo Method

Introduction to the Monte Carlo Method

Thought Leadership Webinar: An introduction to the Monte Carlo method, from first principles, through application to financial products. This webinar will also briefly describe inefficiency and implementation considerations.

 


Presented By:
Mark P. Kust, PRM
Sr. Risk Officer, World Bank Group


Date:
November 20, 2019


Time:
10:00 a.m. - 11:00 a.m.


Session Length:
60 minutes

 

About This Webinar

The Monte Carlo method is a major tool in the computational scientist’s and financial analyst’s arsenal. In this webinar, we’ll introduce the method from first concepts as a numerical integration technique and demonstrate both the method’s utility and well-known shortcomings. Starting with a simple numerical integration example, we’ll demonstrate how the method is both highly intuitive while also highly inefficient. We’ll further demonstrate the method’s applicability to derivatives pricing and risk management, and briefly discuss techniques to address inefficiency. Finally, we’ll consider implementation details, and provide a wealth of references and topics for further study.

About Our Expert  

  
 
  Mark Kust is Senior Risk Officer, Head of CRO Model Risk and Governance for the World Bank Group. He has worked in a variety of model development, implementation, and risk management roles over the past 15 years. At Brighthouse Financial, Mark designed the firm’s Model Risk Management function, and led the department for two years. At Ally Financial, Mark co-led Model Validation of capital markets, compliance, and AML models. At Wells Fargo, Mark’s work spanned designing and implementing derivatives pricing models to serving as a trading desk business manager to leading a technology implementation team to leading original research into novel model risk measurement and aggregation metrics. Immediately prior to joining the World Bank, Mark co-founded an incubation stage hedge fund specializing in volatility strategies.

Prior to Mark’s financial services career, he was an information technology and life sciences entrepreneur.

Mark is a PRM holder and CFA Charterholder, and has earned degrees from Western Michigan University, Stanford University, and the Duke University Fuqua School of Business.
 

Continued Risk Learning Credits: 1

PRMIA Continued Risk Learning (CRL) programs provide you with the opportunity to formally recognize your professional development, documenting your evolution as a risk professional. Employers can see that you are not static, making you a highly valued, dynamic, and desirable employee. The CRL program is open to all Contributing, Sustaining, and Risk Leader members, providing a convenient and easily accessible way to submit, manage, track and document your activities online through the PRMIA CRL Center. To request CRL credits, please email learning@prmia.org.

  Registration  
  Membership Type Price  
       
  Sustaining, Corporate, and RIM Members $ FREE  
  Contributing Member $ 35  
  Non Member $ 75  
       

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When
11/20/2019 10:00 AM - 11:00 AM
Where
Thought Leadership Webinar
 

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