New York Institute of Finance

Portfolio Risk Management

Available dates

Jul 22, 2020
New York, New York, United States
USD 1116
USD 1116 per day
Jul 22, 2020
Online
USD 1116

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About the course

Master the theory and practice of risk management applied to portfolios comprising a wide variety of asset classes.

This course is a component of the Advanced Portfolio Management Professional Certificate.

Prerequisite knowledge:

  • Some familiarity with equity, fixed income and alternative asset classes
  • Fixed income mathematics
  • Knowledge of portfolio theoretic concepts including mean-variance measures, portfolio diversification, systematic risk
  • Intermediate MS Excel skills (data tables, lookup functions, solver, etc.)
  • Knowledge of elementary calculus, probability theory and statistical methods

CURRICULUM

Day 1

MODULE 1: TAXONOMY OF RISKS

  • Market risk
  • Credit risk
  • Operational risk
  • Liquidity risk

MODULE 2: MARKET RISK MANAGEMENT TOOLS AND PRACTICES

  • Risk management tools
  • Index futures
  • Equity swaps
  • Options
  • Portfolio stress testing

MODULE 3: CREDIT RISK MANAGEMENT

  • Structural models of credit risk
  • Reduced form models of credit risk
  • Modelling default dependence
  • Credit value at risk

MODULE 4: RISK BUDGETING

  • Objectives of risk budgeting
  • Marginal risk and contributions to portfolio risk
  • Risk allocation and attribution

MODULE 5: RISK MANAGEMENT AND CONTROL STRUCTURES

  • Risk assessment vs. risk management
  • Exposure and loss limits
  • Risk monitoring best practices

** WHAT YOU'LL LEARN**

  • Compute a variety of risk measures for investment portfolios
  • Learn how to use derivatives as risk management tools in investment portfolios
  • Understand the risk and return characteristics of a number of investment strategies
  • Develop a deep understanding of risk management techniques appropriate for alternative asset classes
  • Understand the implications of liquidity risk for investment portfolios

Who should attend

This course is best suited for candidates working in portfolio management or for those with a solid background in finance looking to transition into a portfolio management role.

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