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.
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.
- 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
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
- 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
Because of COVID-19, many providers are cancelling or postponing in-person programs or providing online participation options.
We are happy to help you find a suitable online alternative.