Measuring Risk: Equity, Fixed Income, Derivatives and FX

New York Institute of Finance

How long?

  • 1 day
  • in person, online

What are the topics?

New York Institute of Finance

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Full disclaimer.

Who should attend

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

About the course

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

Measuring Risk: Equity, Fixed Income, Derivatives and FX at New York Institute of Finance

From  $815

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Disclaimer

Coursalytics is an independent platform to find, compare, and book executive courses. Coursalytics is not endorsed by, sponsored by, or otherwise affiliated with any business school or university.

Full disclaimer.

Because of COVID-19, many providers are cancelling or postponing in-person programs or providing online participation options.

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