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New York Institute of Finance

Risk Management Concepts

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Description

This course is a non-technical survey of the concepts and practice of Risk Management. The major types of risk are identified, risk management tools and techniques are reviewed and financial regulation is covered. A number of case studies are analyzed to illustrate key principles of risk measurement and management.

Prerequisite knowledge:

  • Some knowledge of financial markets and instruments

CURRICULUM

Day 1

MODULE 1: INTRODUCTION

  • A definition of risk
  • Sources of risk
  • Why do firms manage risk?
  • Market risk
  • Credit risk
  • Operational Risk
  • Liquidity risk
  • Systemic risk
  • Case Study: Risk measurement vs risk management - Goldman Sachs Manages Subprime Risk, 2007

MODULE 2: CONCEPTS IN RISK MODELING

  • Risk factors
  • Loss distributions
  • Risk measures - Value at risk (VaR), Expected shortfall (ES) or Conditional VaR (CVaR)
  • Scenario analysis and stress testing
  • Model risk

MODULE 3: MARKET RISK

  • Equity portfolio risk
  • Fixed income risk
  • Asset-liability management
  • Derivatives risk

MODULE 4: CREDIT RISK

  • Credit risk modeling concepts
  • Interpreting credit spreads
  • Counterparty risk, settlement and clearing

Day 2

MODULE 1: LIQUIDITY RISK

  • Properties of liquid markets
  • Embedding liquidity risk in market risk modelss
  • Case Study: Liquidity Risk - Northern Rock, 2007

MODULE 2: OPERATIONAL RISK

  • What is operational risk? - Internal fraud, External fraud, Employment practices, obligations to clients
  • Case Study: Operational risk failures - Rogue trading at Allied Irish Bank, 2002, Customer business at Enron, 2001, Rogue trading at Societe-Generale, 2008
  • Operational value at risk

MODULE 3: STRESS TESTING

  • Scenario analysis: Historical vs hypothetical
  • Stress testing best practices
  • History of stress testing at financial institutions
  • Reverse stress testing

MODULE 4: RISK REGULATION

  • Why regulation? - Systemic Risk, A brief history of regulation
  • Impact of the subprime crisis on regulation
  • The Basel capital accords
  • Regulatory stress testing

WHAT YOU'LL LEARN

  • Develop a conceptual understanding of risk measures for portfolios comprising a variety of asset classes
  • Be aware of the strengths and weaknesses of the various approaches to risk measurement.
  • Learn how to evaluate risk reports
  • Understand the central role of asset liability management in the overall risk management of financial institutions
  • Understand the implications of recent risk events for risk management and prudential regulation
  • Be aware of the role stress testing within the enterprise risk management framework
  • Understand the issues surrounding current risk regulation

Who should attend

  • Risk managers
  • regulators and finance professionals with risk-related roles.
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