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Imperial College Business School

A Complete Course in Risk Management

A Complete Programme in Risk Management - PRMIA and Imperial College Business School
Sep 23—27, 2019
5 days
London, United Kingdom
GBP 5600 ≈USD 7000
GBP 1120 per day
May 25—29, 2020
5 days
London, United Kingdom
GBP 5600 ≈USD 7000
GBP 1120 per day

How it works


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In an uncertain, complex world with increased risks from societal, environmental and operational factors the role of a future ready Risk Manager is critical for any successful business. Gain confidence and control with The Complete Course in Risk Management at Imperial College London – situated at the heart of the world’s financial capital. The programme is five intensive days that will challenge you to think creatively about finance and risk; it will compel you to overturn existing patterns; it will ultimately make you and your organisation more competitive and sustainable.

Our experienced team will guide you and your international peers towards the development of financial foresight – enabling the prediction of new societal, financial, corporate and environmental risks. Starting with the management of risk in finance, risk measurement, markets and financial instruments you will learn practical ways to measure and hedge risk applicable to your organisation, enabling powerful business decision making and an ability to face up to regulatory risk.


  • Evaluate risk management frameworks and practices in an applied industry setting
  • Critically assess risk management reports and research
  • Identify the limitations and the positive role of risk management in real-life situations
  • Examine changes in risk management practices as a result of paradigm shifts in global banking, insurance and asset management
  • Analyse the mechanism of corporate governance and its critical relationship to and with risk
  • Be able to explain current governance best practices
  • Investigate the catalyst role that regulation currently plays in the markets

Programme content

Day 1

Introduction to Risk Management – The Big Picture

History of risk management

  • Risk management – the big picture
  • Carbon Capture Lab experience – Risk and Decision Making Under Stress
  • Asset-liability management in banks and asset managers

Foundations of Risk Measurement

  • Statistics for Risk: Mean, Variance, Correlation, Skewness
  • Basic rules of probability
  • Probability Distributions Useful for Risk and Financial Models.
  • Linear Regressions and Risk Modeling Fundamentals

Day 2

Foundations of Risk Finance Theory –

  • Risk and Risk Aversion
  • Portfolio Theory and Basic Portfolio Mathematics
  • Efficient Frontier
  • Introduction to CAPM
  • Multi-factor models
  • Basic Capital Structures

Financial Markets and Instruments –

  • Bond Pricing
  • Futures and Forwards
  • Options and Swaps
  • Recent developments in OTC and Exchange-traded Derivatives

Day 3

Market Risk Management (1)

  • Overview of Market Risk Management
  • Risk measures for different asset classes
  • Portfolio Risk Measures
  • Value at Risk (VaR) and Expected Shortfall
  • Analytical VaR Models

Market Risk Management (2)

  • Nonparametric VaR Models
  • Monte Carlo VaR Models
  • Modeling complex portfolios
  • Backtesting and stress testing
  • Risk measures beyond market risk

Day 4

Credit Risk Management

  • Single name Credit products: Bonds, CDS
  • Market implied default probabilities and correlations
  • Firm Value Models: Merton, Black Cox and AT1P models.
  • Case study of Calibration on Lehman Brothers CDS with firm value models
  • Intensity Models: Constant, time inhomogeneous and stochastic spreads
  • Case study of Calibration of Lehman with intensity models
  • Multi-name credit products: Default Baskets and CDOs
  • Correlation and Dynamic loss models
  • CDOs and the credit crisis of 2007-2008

Counter-Party and Funding Risk

  • Credit valuation adjustments (CVA)
  • Debt valuation adjustments (DVA)
  • New Regulatory requirements in CVA and centralized counter-parties
  • Re-hypothecation and closeout rules
  • Funding Valuation Adjustment
  • Lehman Brothers Case Study
  • Hedging Counterparty risk

Day 5

Capital Allocation

  • Regulatory Capital – Banks
  • Introduction to Economic Capital
  • Capital Allocation by Risk Type
  • CRD IV

Macro-prudential regulation

  • Macro-prudential capital regulation
  • Stress Testing
  • Implementing Risk Management
  • Visit to the Global Data Observatory – experiential learning with Bitcoin visualisation

Who should attend

This short and practical programme is for those seeking to become a more complete Risk Manager. Senior professionals engaged with any aspect of risk management looking to blend technical skills, quantitative research and intelligent risk strategies with newly developed financial intuition to broaden their risk management abilities. Participants will be required to have good quantitative skills.


Summary Enrico Biffis is Associate Professor of Actuarial Finance at Imperial College Business School, a fellow of the Pensions Institute in London, and a member of the Munich Risk and Insurance Centre at LMU Munich. His areas of expertise are risk analysis and asset-liability management, with a...
Summary   Paolo is Professor in Financial Econometrics at Imperial College Business School. He has a summa cum laude degree in economic statistics from Roma and holds a PhD  in Econometrics  from the London School of Economics. He is also  teaching at the University of Rome La Sapienza  and  ha...
Summary Robert Kosowski is Associate Professor in the Finance Group of Imperial College Business School, Imperial College London. He is also a resea rch fellow at the Centre for Economic Policy Research (CEPR) and an associate member of the Oxford-Man Institute of Quantitative Finance at Oxford ...
Summary Professor Damiano Brigo holds the Chair in Mathematical Finance at Imperial College, London, where he co-heads the Mathematical Finance research group and is part of the Stochastic Analysis research group.  Previous roles of Professor Brigo include: 2012-2014, Prof. Brigo held the role...
Seasoned Risk Specialist, Research Director, Chief Risk Officer, Board member, NED and Government advisor with 25 years experience in global financial markets, thereof 19 years in Risk. Creator/Author of the 'New Global Conduct Risk Paradigm' (GCRP, for bank/FIs - released into the public domain...


Detailed Description
Detailed Description

Next dates

Sep 23—27, 2019
5 days
London, United Kingdom
GBP 5600 ≈USD 7000
GBP 1120 per day
May 25—29, 2020
5 days
London, United Kingdom
GBP 5600 ≈USD 7000
GBP 1120 per day

How it works

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