Dan Rosen

In addition to working with numerous financial institutions around the world, he lectures extensively on financial engineering, portfolio management, enterprise risk and capital management, credit risk and market risk, valuation of derivatives and structured finance. He has authored numerous risk management and financial engineering publications, including two books, and several patents, and serves in the editorial board of several industrial and academic journals.

Dr. Rosen was inducted in 2010 a fellow of the Fields Institute for Research in Mathematical Sciences for his “outstanding contributions to the Fields Institute, its programs, and to the Canadian mathematical community”. He currently serves in the Board of Directors of the Institute, as well as in the Advisory Boards of the International Association of Quantitative Finance (IAQF), and the Center for Advanced Financial Studies at the University of Waterloo.

He is also one of the founders of the Professional Risk Management International Association (PRMIA) and of RiskLab, an international network of research centers in Financial Engineering and Risk Management, initiated at the University of Toronto. Prior to founding R2 in 2006,

Dr. Rosen had a successful ten-year career at Algorithmics Inc. where he lead the company’s strategy, products, financial engineering and research. He holds an M.A.Sc. and Ph.D.in Chemical Engineering from the University of Toronto.

Scenario Analysis: Re-Thinking Next Generation of Scenario Analytics and Stress Testing for Multi-Asset Portfolios Scenarios are the language of Risk. The quality of a risk management analysis depends on the ability to generate relevant forward-looking scenarios that properly represent the future. Although scenario analysis and stress testing have been an explicit part of risk management methodologies and systems for a while, the typical scenario analysis tools are generally quite static, largely manual, incomplete and dated.

In this workshop, Dr. Dan Rosen, Managing Director of Portfolio Risk Analytics at S&P Capital IQ, discusses the new generation of scenario analytics and stress testing tools for multi-asset portfolios.? While this future cannot be fully predicted, the combination of expert economic analysis and advanced scenario and portfolio analytics provide a strong basis for managing risk and making better, more informed investment decisions.