Available dates

May 18—22, 2020
5 days
London, United Kingdom
GBP 5600 ≈USD 7576
GBP 1120 per day

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About the course

Financial Risk Management is an intensive five-day programme that challenges finance professionals to think critically and creatively about risk.

Based in London, the financial capital of the world, our experienced faculty will guide you and your international peers to predict future societal, financial, corporate and environmental risks.

Covering topics including the management of risk in finance, risk measurement, markets and financial instruments, you will learn practical ways to measure and hedge risk in your organisation. The programme blends quantitative research and intelligent risk strategies with practical case studies to broaden participants’ risk management understanding and ability.

Learning outcomes

Evaluate risk management frameworks and practices and apply them to industry settings

Critically assess risk management reports and research

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

Programme content

Day 1

Introduction to Risk Management – The Big Picture

Robert Kosowski, Associate Professor of Finance at Imperial College Business School

A brief history of risk management

Risk management – the big picture

Simulation of risk management under pressure – Carbon capture lab

This module will provide a big-picture overview of risk management and highlight key issues in bank and asset management risk management. It will introduce issues the key risks facing financial services companies and other corporates. The second part of the module will involve a risk management simulation in Imperial’s capture lab. The simulation will make risk management tangible as participants will need to make risk management decisions under pressure, communicate effectively within their team, their company and externally while solving the crisis at hand.

Module Outline - 1

Robert Kosowski, Associate Professor of Finance at Imperial College Business School

Back to the Future: the only certainty is “risk” – a brief history

“Risk”- integral to Financial institutions’ DNA, but what does it really mean?

The main risks affecting financial companies and other corporates

People, processes, Operational risk

Module Outline - 2

Guy Gumbrell, Director at The Domino Partnership

Carbon Capture Lab simulation

Risk management communication and decision making under pressure

What finance can learn from risk management in the energy industry

Novel technologies, information asymmetries, and risk management

Foundations of Risk Measurement

Guy Gumbrell, Director at The Domino Partnership

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

This module offers an overview of the essential tools of statistical analysis used in the quantitative analysis of financial instruments and risk management. These tools are all used in downstream modules of the Risk Management course. The mathematical prerequisites are similar to those of a newly admitted MBA student, and prior knowledge of statistics and probability is not assumed.

Descriptive Statistics

Paolo Zaffaroni, Professor in Financial Econometrics at Imperial College Business School

Numerical descriptive measures (measures of central tendency and of dispersion)

The empirical rule (the central limit theorem)

How to relate two things (covariances and correlations)

Linearly related variables (mean and variance of portfolios)

Linear regression model

The p.d.f. and the c.d.f., The normal family of distributions

Quantiles and Value-at-risk

Day 2

Foundations of Risk Finance Theory

Robert Kosowski, Associate Professor of Finance at Imperial College Business School

Risk and Risk Aversion

Portfolio Theory and Basic Portfolio Mathematics

Efficient Frontier

Introduction to CAPM

Multi-factor models

Basic Capital Structure

This module deals with two fundamental problems in finance and risk management:

Robert Kosowski, Associate Professor of Finance at Imperial College Business School

How to allocate capital across multiple investments

How to evaluate and monitor portfolio risks

Portfolio Allocation across multiple assets: Risk/return tradeoffs

Optimal portfolio allocation: Expected utility maximization, efficient frontier

Asset liability management and liability driven investing (LDI)

Evaluating and monitoring risks

The capital asset pricing model (CAPM): A model of risks and expected returns. Performance measures and risk-adjustments. Multi-factor models.

Financial Markets and Instruments

Robert Kosowski, Associate Professor of Finance at Imperial College Business School

Bond Pricing

Futures and Forwards

Options and Swaps

Recent developments in OTC and Exchange-traded Derivatives

How to manage interest rate risk

Bond pricing and interest rates

Robert Kosowski, Associate Professor of Finance at Imperial College Business School

Markets and pricing methods

Start with the simplest securities: bonds

Default-free bonds: Spot rates, coupon bonds, zeros,

Yields and yield curves

Forward rates, No-arbitrage pricing Motivation: bonds and interest rates are the simplest products and are the basis for all derivative pricing. Develop no-arbitrage methods for pricing, which will be extensively used to price more complicated products.

Introduction to Option and Swap Markets

Robert Kosowski, Associate Professor of Finance at Imperial College Business School

Options contracts and markets, – Option pricing models

Swaps: Interest Rate Swaps

Case: Expand on ALM in context on Bank One Corp case study and interest rate risk management

How to manage currency risk (forwards, futures, currency and fx swaps)

Day 3

Market Risk Management

Enrico Biffis, Associate Professor of Actuarial Finance at Imperial College Business School

Overview of Market Risk Management

Risk measures for different asset classes

Portfolio Risk Measures

Value at Risk (VaR) and Expected Shortfall

Analytical VaR Models

Decision criteria and preferences for risk

Stylized features of asset returns

Risk measures: Value at Risk and Expected Shortfall examples

Analytical VaR case studies

Enrico Biffis, Associate Professor of Actuarial Finance at Imperial College Business School

Modeling the conditional distribution

Portfolio VaR limits

Risk limits in the carbon capture lab

Re-set provisions in agricultural insurance programs

Portfolio VaR case studies

Enrico Biffis, Associate Professor of Actuarial Finance at Imperial College Business School

Modelling dynamic correlations

Market and credit risk co-movement

Capital requirements in insurance

Market Risk Management

Enrico Biffis, Associate Professor of Actuarial Finance at Imperial College Business School

Nonparametric VaR Models

Monte Carlo VaR Models

Modeling complex portfolios

Backtesting and stress testing

Risk measures beyond market risk

Other approaches to the computation of risk measures

Enrico Biffis, Associate Professor of Actuarial Finance at Imperial College Business School

Standard, weighted, and filtered Historical Simulation

Monte Carlo simulation

Scenario analysis and stress testing

Modeling a “perfect storm” in asset management

Risk management of complex portfolios

Enrico Biffis, Associate Professor of Actuarial Finance at Imperial College Business School

Risk Factors and VaR Approximations

Managing risk in derivative portfolios

Measuring Concentration and Liquidity Risks

Risk measures beyond market risk case studies

Enrico Biffis, Associate Professor of Actuarial Finance at Imperial College Business School

Measuring the economic costs of space weather

Reputational risk in micro-finance/insurance programs

Day 4

Credit Risk Management

Damiano Brigo, Chair in Mathematical Finance at Imperial College London

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

Defaultable Bonds and Credit Default Swaps (CDS)

Market implied default probabilities and recovery rates.

Firm Value Models

Damiano Brigo, Chair in Mathematical Finance at Imperial College London

Merton Model and Black Cox Model.

AT1P model and Bond/CDS Calibration

Case study with Lehman Brothers CDS in 2007-2008

Extension to random default barrier and fraud risk

Intensity Models

Damiano Brigo, Chair in Mathematical Finance at Imperial College London

Intensity as local default probability or credit spread

Analogies between survival probabilities and bonds

Constant, time-varying or stochastic credit spreads

The JCIR++ model and CDS calibration

Case study with Lehman Brothers CDS in 2007-2008

Multi-name Products and Models

Damiano Brigo, Chair in Mathematical Finance at Imperial College London

Default Baskets, Credit Indices and CDOs. iTraxx and CDX pools.

Hints at Copula models, implied correlation and dynamic loss models

CDOs and the credit crisis 2007-2008. Where now?

Counter-Party and Funding Risk

Damiano Brigo, Chair in Mathematical Finance at Imperial College London

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

Hints at Capital Valuation Adjustment

Counterparty and Funding Risk

Damiano Brigo, Chair in Mathematical Finance at Imperial College London

Introduce CVA, DVA, FVA, KVA, and XVA

A consistent and comprehensive framework for counterparty credit and funding risk

Credit valuation adjustments (CVA), Incorporating CVA into Pricing

Debit Valuation Adjustment (DVA) and regulatory conflict. DVA as funding benefit?

Closeout. First to default risk. Payout risk for CVA/DVA.

Value at Risk of CVA?

CVA for interest rate swaps, commodities, credit and equity products

Hints at Funding valuation Adjustments and global valuation problems

Funding as aggregation dependent and nonlinear. No “law of one price”

Capital valuation adjustment (KVA)

Toward XVA

Lessons from Historical Case Studies: Lehman Brothers and other examples

Implementation of counter-party and funding risk: Hedging counterparty Risk

Day 5

Capital Management

Raul Rosales, Senior Advisor at Imperial College Business School

Regulatory framework Basel III: new business model for capital management

Capital management – RegCap approach: Risk Weighted Assets, RWAs optimization

Big picture of the regulatory framework for financial institutions, Banks, that is required to understand capital assessment from the regulator perspective,

Introduction of capital quantification and capital management from the regulator requirements – Risk Weighted Assets (RWAs)

Capital Management and Synthetic Securitization

Raul Rosales, Senior Advisor at Imperial College Business School

Case study of capital management based on current financial regulation

Case study of capital management from the perspective of RWAs Optimization, a regulatory capital relief structured through a synthetic securitization.

Operational Risk Management and ERM

Markus Krebsz, Former CRO and current Member of UNECE GRM

Operational Risk Management

Cybersecurity

Culture, governance and compliance

Enterprise Risk Management

Case studies

Thinking outside the risk (silo) box

ERM & Stress testing/Scenario modelling

Visualizing, forecasting and predicting risk

New kids on the ERM risk block:

  • People & Conduct risk
  • Cybersecurity

Risk Management and Insurance Markets

Jose Ribeiro, Insurance Lead and Guest Lecturer at Imperial College Business School

Insurance markets

Key risks

Risk management

Relevance for corporates, banks and asset managers

Risk premia in insurance markets

Principles of risk management in insurance markets

Lloyd’s and the London Insurance market

The relevance of insurance risk premia for banks, asset managers and insurance sectors.

Trends in insurance markets and risk management

Who should attend

This programme is appropriate for mid to senior-level finance managers looking to expand their knowledge of risk regulation and practice. Solid quantitative skills are required.

Trust the experts

Enrico Biffis

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...

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Paolo Zaffaroni

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...

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Robert Kosowksi

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 ...

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Damiano Brigo

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...

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Markus Krebsz

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...

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Course reviews

Webinar on Financial Risk Management February 2018

A Complete Programme in Risk Management - PRMIA and Imperial College Business School

Downloadable files