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New York Institute of Finance

Market Risk Management

Dec 11, 2019
New York, New York, United States
USD 1395
USD 1395 per day
Dec 11, 2019
Online
USD 1395
Dec 9, 2020
New York, New York, United States
USD 1116
USD 1116 per day
+2 more options

How it works

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Description

This course is a rigorous review of the complete market risk reporting cycle: from risk model selection to data aggregation and model calibration to risk computation and ultimately risk reporting.

This course is a component of:

  • Advanced Risk Management Professional Certificate

Prerequisite knowledge:

  • Intermediate MS Excel skills (lookup functions, matrix multiplication, etc.)
  • Fixed income arithmetic
  • Elementary differential calculus
  • Basic probability and statistics

CURRICULUM

Day 1

MODULE 1: EQUITY RISKITEM 1

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

MODULE 2: FIXED INCOME RISKITEM 1

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

MODULE 3: DERIVATIVES RISK

  • Forwards, Futures, Options
  • Equity
  • Rates
  • Currencies
  • Commodities
  • Option valuation
  • Risk-neutral valuation
  • Put-Call parity
  • Black-Scholes-Merton
  • Implied volatility
  • Sensitivity Measures – Greeks

MODULE 4: MEASURING MARKET RISK WITH HISTORICAL DATA

  • Collecting data to model the behavior of the risk factors
  • Determining the loss distribution
  • Dollar P/L vs. returns
  • Computing risk measure estimates
  • Lower partial moments
  • VaR
  • Expected Shortfall (CVaR)
  • Confidence intervals for risk measure estimates
  • Techniques to improve accuracy of risk estimates
  • Time weighting
  • Volatility updating – EWMA and GARCH
  • Bootstrapping the sample data

MODULE 5: MODEL BASED APPROACHES TO MARKET RISK

  • Single risk factor models
  • Specifying a stochastic process for the risk factor
  • Parametric approaches
  • Monte Carlo Methods
  • Linear securities /portfolios
  • Convex securities /portfolios
  • Modeling the joint behavior of multiple risk factors
  • Correlation and dependence of risk factors
  • Copula techniques
  • Portfolio risk measures
  • Portfolio VaR
  • Marginal VaR
  • Component VaR
  • Techniques to reduce complexity / dimensionality
  • Full valuation vs. local (approximate) valuation
  • Principal Components
  • Using Copula functions for correlation
  • Extreme Value techniques

WHAT YOU'LL LEARN

  • Understand the issues and tradeoffs associated with building market risk models.
  • Be able to generate realistic, but ‘scaled down’ market risk reports.
  • Be able to clearly communicate the implications of the risk metrics in the report to ‘non-technical’ audiences.

Who should attend

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

Next dates

Dec 11, 2019
New York, New York, United States
USD 1395
USD 1395 per day
Dec 11, 2019
Online
USD 1395
Dec 9, 2020
New York, New York, United States
USD 1116
USD 1116 per day
+2 more options

How it works

Show more