Advanced Risk Management Tools and Concepts

New York Institute of Finance

How long?

  • 2 days
  • online, in person

New York Institute of Finance

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Who should attend

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

About the course

This course is an in-depth survey of risk management concepts and tools, and the underlying mathematical and statistical techniques.

This course is a component of: Advanced Risk Management Professional Certificate

Prerequisite knowledge:

  • Advanced MS Excel skills
  • Fixed income arithmetic
  • Elementary differential calculus
  • Basic 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.)

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

Advanced Risk Management Tools and Concepts at New York Institute of Finance

From  $2,156

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Disclaimer

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Full disclaimer.

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