R2 Financial Technologies | Risk Management Company

R² delivers actionable, content-driven valuation, risk and capital management solutions, which effectively integrate advanced quantitative methodologies, financial technology and data. We create business value for our clients by delivering superior analytical capabilities presented in a simple, practical and intuitive way.

The company is based at the prestigious Fields Institute in Toronto.

Upcoming and recent presentations

Shanghai Supercomputer Center Workshop on Computational Finance, "Valuation and Risk Management of Credit Portfolios and Structured Credit Products," Shanghai, July 4 2008, Dan Rosen
http://www.ssc.net.cn/financeworkshop/index.htm
IAFE, "The Need for Second Generation Models for Structured Credit Products," New York, May 7 2008, Dan Rosen
http://iafe.org/05072008.html
Oliver Wyman Risk Technology Roundtable: Navigating the Markets with Practical Solutions in Risk Technology, "Industry Trends on Risk Technology - Impact of Credit Crisis," New York, May 8 2008, Dan Rosen
Risk Training: Counterparty Credit Risk Management in OTC Derivatives, New York, April 17-18 2008, Dan Rosen
http://db.riskwaters.com/public/showPage.html?page=im_events_riskccr08_front&tempId=701772
ERM Symposium, Banking and Insurance Workshop and "Valuation and Risk of Structured Credit Portfolios: A Scenario Framework," Chicago, April 14-15 2008, Dan Rosen
http://www.ermsymposium.org
VII International RiskLab Conference, "Valuation and Risk of Structured Credit Portfolios: A Scenario Framework," Madrid, February 28 2008, Dan Rosen
http://www.risklab.es/
VIII Jornada Anual de Riesgos, Club de Gestion de Risegos de Espan~a, "Integration of Market and Credit Risk - Structured Credit," Madrid, February 20 2008, Dan Rosen

Recently updated papers

Rosen D. and Saunders D., Risk Contributions of Systematic Factors in Portfolio Credit Risk Models (available at http://defaultrisk.com/pp_model180.htm)
Rosen D. and Saunders D., Valuing CDOs of Bespoke Portfolios with Implied Multi-Factor Models (available at http://www.defaultrisk.com/pp_cdo_23.htm)
Rosen D. and Saunders D., Analytical Methods for Hedging Systematic Credit Risk with Linear Factor Portfolios (available at http://www.defaultrisk.com/pp_model158.htm), Forthcoming Journal of Economic Dynamics and Control, 2008
Mausser H. and Rosen D., Economic Credit Capital Allocation and Risk Contributions, Handbooks in Operations Research and Management Science, Volume 15, Chapter 16 (J. Birge and V. Linetsky Editors)

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