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New York Institute of Finance

Measuring Risk: Equity, Fixed Income, Derivatives and FX

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Next dates

Jul 9
New York, New York, United States
USD 1019
USD 1019 per day
Dec 3
New York, New York, United States
USD 815
USD 815 per day

Description

A survey of risk measures and risk measurement practices applied to individual securities and portfolios. A risk report of a publicly traded financial institution is studied.

This course is a component of the Risk Management Professional Certificate.

Prerequisite knowledge:

  • Basic MS Excel skills
  • Basic probability and statistics
  • Basic knowledge of financial securities and markets

CURRICULUM

Day 1

MODULE 1: RISK BY ASSET CLASS

  • Equity - Idiosyncratic vs systematic risk, Impact of correlation on portfolio risk, Beta
  • Fixed Income - Bond prices and yields, Duration and Convexity
  • Derivatives - Forwards and Futures, Options, Greeks
  • Credit - Rating agencies, Default probabilities, Credit spreads
  • Foreign Exchange - Spot and Forward Rates, Covered arbitrage
  • Commodities - Spot and Forward prices

MODULE 2: PORTFOLIO RISK MEASUREMENT

  • The role of correlation in portfolio risk
  • Measuring risk with historical data
  • Measuring risk with models
  • Application: Market risk measurement for an equity portfolio

MODULE 3: RISK REPORTING

  • Structure of a risk report - Risk by risk factor, Risk by business unit, Component risk vs overall risk, Comparing P/L, VaR and ES
  • Case Study: Deutsche Bank Annual Risk Report

WHAT YOU'LL LEARN

  • Understand beta as a measure of equity risk
  • Describe duration and convexity as first and second order interest rate sensitivity / risk measures for fixed income instruments
  • Explain and provide examples of linear and non-linear (‘convex’) securities
  • Describe and the sensitivity measures (Greeks) for options
  • Describe the various approaches utilized for determining value at risk and expected shortfall as measures of market and credit risk for portfolios

Who should attend

  • Risk managers and assistants
  • trading assistants
  • finance professionals
  • auditors and controllers
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