Introduction
2020 was a stark reminder of just how unpredictable the world is. As events unfolded and policy makers responded it was necessary for banks and other economic agents to continuously update their outlook on how the economy would respond. Markets initially lurched downwards, stocks, commodities and interest rates but then started to look through the immediate impact of the crisis to a recovering economy benefiting from vaccines and the monetary and fiscal tools deployed by policy makers. Many would argue that the markets have been wildly optimistic about recovery, others would disagree. What is clear is that forecasting is much more difficult, and yet far more important, than we might like. The aim of this course is to provide participants with an overview of approaches to forecasting ranging from the classical linearforecasting methods to non-linear approaches, predicting extreme events and the types of techniques used by traders. While the aim is to present a range of techniques, the course is also frank about their weaknesses and great emphasis is placed on making use of all available techniques together with incorporation of expert judgement. During the presentation the trainer will develop models using a range of tools to demonstrate techniques. Participants will have opportunities to explore the models further.
Some of the Learning Outcomes
Trainer
Gary Dunn started out life as a statistician at the Bank of England in 1977 and after a 16-year career there ended up as a senior manager in UK foreign currency reserve management with responsibility for interest rate risk strategy and liquidity management. To aid liquidity management Gary created an internal market for funding between fixed income portfolio managers and the FX desks.
Gary ventured into the private sector where he spent a further 10 years as a proprietary trader. Here he used his past experience to develop trading tools.
Gary joined the FSA in 2005 where his main responsibility was reviewing regulatory market risk models (CAD models including VaR and IRC). Whilst at FSA Gary conducted a thematic review of the management of interest rate risk in the banking book (IRRBB) across London based banks. He also attended the AIG/TBG, a BCBS working group responsible for technical design of proposed market risk regulatory capital rules. Gary contributed to the design and calibration of IRC for Basel 2.5 and also wrote internal working papers on VaR, ES and other spectral risk measures that contributed to a review of the academic literature on market risk measures, the first in a long series of FRTB papers from BCBS and industry.
From 2010, as a senior manager at HSBC, Gary participated in many dialogues between industry and regulators covering topics such as FRTB, central clearing, margining, liquidity risk and IRRBB (interest rate risk in the banking book), as well as working on internal projects such as stress testing, IRC development, regulatory interactions and CRD IV submissions. Finally, before moving into consultancy and training, Gary took on an MD role at Morgan Stanley where he was head of risk analytics for the EMEA region.
Now Gary works as a consultant and trainer but also enjoys trading on personal account!
Feel free to suggest the topics that you would like to learn about at
our Advanced Forecasting In-house Training.
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Who should attend?
Analysts, Vice Presidents, Directors, Senior Managers in:
• Treasury Functions
• Capital Management
• Governance
• Audit
• Trading
• Risk Management
