Because of COVID-19, many providers are cancelling or postponing in-person programs or providing online participation options.
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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
- Advanced MS Excel skills
- Fixed income arithmetic
- Elementary differential calculus
- Basic probability and statistics
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
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
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