ABN AMRO. Price of Risk. Ton Vorst Global Head of Quantitative Risk Analytics October 7, 2005. Quantitative Risk Analytics. Staff: 56(roughly 50% Ph-D’s) Most in Amsterdam (roughly 25% foreign). Some in London and New York
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Career Development Programs.
Product Analysis within QRA
Equity (stock: KPN, Shell, IBM,…; indices: AEX, DJ, Nikkei)
EUR 100,000,000 Capital Protected Securities
Linked to the Performance of an Inflation Index and Basket of Indices, due 2015
HICP - Harmonised Index of Consumer
Prices excluding Tobacco
Three types of financial instruments:
where r is the risk free interest rate.
The risk free interest rate is used to calculate a future value and to discount them.
Group Market Risk Management
Quantitative Risk Analytics
Market Risk Modelling
& Product Analysis
Credit Risk Modelling &
Quantitative Consultancy & Operations Research