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New York Institute of Finance

Advanced Risk Management Professional Certificate

Dec 9—13, 2019
5 days
New York, New York, United States
USD 5395
USD 1079 per day
Dec 9—13, 2019
Online
USD 5395
Dec 7—8, 2020
2 days
New York, New York, United States
USD 4796
USD 2398 per day
+2 more options

How it works

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Description

Review the advanced theory and practice of risk management, with particular emphasis on practice. Delegates will be introduced to tools and techniques by way of in-class exercises. MS Excel/VBA will be the principal platform for computational work. Delegates are expected to be familiar with Excel, but not VBA. VBA routines will be provided and explained in class.

Prerequisite knowledge:

  • Advanced MS Excel skills
  • Fixed income arithmetic
  • Differential calculus
  • Probability and statistics

CURRICULUM

Day 1

MODULE 1: INTRODUCTION

  • Why risk management?
  • Risk assessment vs. risk management
  • Taxonomy of Risks

MODULE 2: REVIEW OF QUANTITATIVE TOOLS

  • Elements of differential and integral calculus
  • Linear algebra
  • Concepts in probability
  • Basic statistics
  • Introduction to stochastic processes

Day 2

MODULE 1: CONCEPTS IN RISK MANAGEMENT

  • Risk factors and profit-loss distributions
  • Risk Measures: Lower partial moments, Value at Risk, Expected Shortfall, etc.
  • Scenario analysis
  • Stress testing
  • Coherent risk measures

MODULE 2: MODEL RISK

  • Sources of Model Risk
  • Back testing VaR models
  • Additional tests for parametric VaR models (QQ plots, etc.)

Day 3

MODULE 1: EQUITY RISK

  • Elements of portfolio theory
  • Capital Asset Pricing Model
  • Systematic vs. idiosyncratic risk
  • Equity portfolio risk and performance evaluation

MODULE 2: FIXED INCOME RISK

  • Bond and swap arithmetic
  • Rate risk - DV01, Duration, Convexity
  • Delta and delta-gamma (convexity) approximations
  • Foreign Exchange Risk

MODULE 3: DERIVATIVES RISK

  • Forwards, Futures, Options
  • Option valuation
  • Sensitivity Measures: Greeks

MODULE 4: MEASURING MARKET RISK WITH HISTORICAL DATA

  • Collecting data to model the behavior of risk factors
  • Determining the loss distribution
  • Dollar P/L vs. returns
  • Computing risk measure estimates
  • Confidence intervals for risk measure estimates
  • Techniques to improve accuracy of risk estimates
  • Volatility updating: EWMA and GARCH
  • Bootstrapping the sample data

MODULE 5: MODEL BASED APPROACHES TO MARKET RISK

  • Single risk factor models
  • Modeling the joint behavior of multiple risk factors
  • Portfolio risk measures
  • Techniques to reduce complexity / dimensionality
  • Extreme Value techniques

Day 4

MODULE 1: CREDIT RISK

  • Approaches to modeling credit risk
  • Credit risk measures
  • Default correlation and portfolio credit risk
  • Credit derivatives

MODULE 2: COUNTERPARTY CREDIT RISK

  • OTC instruments and counterparty default risk
  • Exposure measures: CE, EE, PFE
  • Value adjustments: CVA, DVA

MODULE 3: CREDIT RISK MANAGEMENT

  • Credit VaR models
  • Monte Carlo Techniques
  • Parametric approaches
  • Approximate VaR calculations on the back of an envelope

MODULE 4: LIQUIDITY RISK MANAGEMENT

  • Trading risk: Liquidity-adjusted VaR
  • Funding risk: Asset-Liability management
  • Role of repurchase agreements in the financial crisis
  • Algorithmic high frequency trading and market liquidity

MODULE 5: OPERATIONAL RISK MANAGEMENT

  • Taxonomy of operational risks
  • Operational risk regulation
  • Operational risk modeling
  • A VaR approach to operational risk

Day 5

MODULE 1: RISK CAPITAL ALLOCATION

  • Definitions of risk- and economic capital
  • Merton-Perold risk capital
  • Risk capital as a risk management tool
  • Risk budgeting
  • Measures of risk-adjusted returns: RAROC, EVA

MODULE 2: THE BANK CAPITAL DEBATE

  • Modigliani-Miller and banks
  • Diamond-Rajan argument for financial fragility
  • The Admati-Hellwig argument for more capital
  • Debt overhang

MODULE 3: REGULATORY CAPITAL

  • Motives for prudential risk regulation
  • Systemic risk
  • Evolution of the Basel capital requirements
  • Leverage and liquidity constraints under Basel III

MODULE 4: ENTERPRISE RISK MANAGEMENT

  • Integrated risk management within financial institutions
  • Aggregating financial and non-financial risks
  • Designing effective risk management frameworks
  • Best practices for risk governance

MODULE 5: DESK READY SKILLS KNOWLEDGE CHECK

WHAT YOU'LL LEARN

  • Understand and apply the quantitative techniques employed to construct risk models
  • Be able to compute standard risk measures (VaR, CVaR, etc.) for multi-asset class portfolios using parametric and empirical approaches
  • Understand the strengths and weaknesses of a variety of backtests for risk models
  • Apply volatility updating techniques such as EWMA and GARCH to VaR models
  • Compute CVA and DVA adjustments for counterparty risk
  • Build a VaR model for operational risk
  • Be able to generate realistic, but ‘scaled down’ risk reports
  • Understand and apply models of risk capital to hypothetical financial institutions
  • Demonstrate an understanding of risk management lessons learned from recent risk events

Who should attend

  • Risk managers
  • risk analysts
  • treasury analysts
  • regulators auditors and controllers

Next dates

Dec 9—13, 2019
5 days
New York, New York, United States
USD 5395
USD 1079 per day
Dec 9—13, 2019
Online
USD 5395
Dec 7—8, 2020
2 days
New York, New York, United States
USD 4796
USD 2398 per day
+2 more options

How it works

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