Advanced Risk Management Professional Certificate
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Review the advanced theory and practice of risk management, with particular emphasis on practice. Delegates will be introduced to tools and techniques by way of in-class exercises. MS Excel/VBA will be the principal platform for computational work. Delegates are expected to be familiar with Excel, but not VBA. VBA routines will be provided and explained in class.
CPE Credits: 35
This Advanced Professional Certificate comprises the following NYIF courses:
- Advanced Risk Management Tools and Concepts (2 days)
- Market Risk Management (1 day)
- Credit, Liquidity and Operational Risk Management (1 day)
- Risk Capital and Enterprise Risk Management (1 day)
Prerequisite knowledge:
- Advanced MS Excel skills
- Fixed income arithmetic
- Differential calculus
- Probability and statistics
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Module 1: Introduction
- Why risk management?
- Risk assessment vs. risk management
- Taxonomy of Risks
Module 2: Review of Quantitative Tools
- Elements of differential and integral calculus
- Linear algebra
- Concepts in probability
- Basic statistics
- Introduction to stochastic processes
Module 1: Concepts in Risk Management
- Risk factors and profit-loss distributions
- Risk Measures: Lower partial moments, Value at Risk, Expected Shortfall, etc.
- Scenario analysis
- Stress testing
- Coherent risk measures
Module 2: Model Risk
- Sources of Model Risk
- Back testing VaR models
- Additional tests for parametric VaR models (QQ plots, etc.)
Module 1: Equity Risk
- Elements of portfolio theory
- Capital Asset Pricing Model
- Systematic vs. idiosyncratic risk
- Equity portfolio risk and performance evaluation
Module 2: Fixed Income Risk
- Bond and swap arithmetic
- Rate risk - DV01, Duration, Convexity
- Delta and delta-gamma (convexity) approximations
- Foreign Exchange Risk
Module 3: Derivatives Risk
- Forwards, Futures, Options
- Option valuation
- Sensitivity Measures: Greeks
Module 4: Measuring Market Risk with Historical Data
- Collecting data to model the behavior of risk factors
- Determining the loss distribution
- Dollar P/L vs. returns
- Computing risk measure estimates
- Confidence intervals for risk measure estimates
- Techniques to improve accuracy of risk estimates
- Volatility updating: EWMA and GARCH
- Bootstrapping the sample data
Module 5: Model Based approaches to Market Risk
- Single risk factor models
- Modeling the joint behavior of multiple risk factors
- Portfolio risk measures
- Techniques to reduce complexity / dimensionality
- Extreme Value techniques
Module 1: Credit Risk
- Approaches to modeling credit risk
- Credit risk measures
- Default correlation and portfolio credit risk
- Credit derivatives
Module 2: Counterparty Credit Risk
- OTC instruments and counterparty default risk
- Exposure measures: CE, EE, PFE
- Value adjustments: CVA, DVA
Module 3: Credit Risk Management
- Credit VaR models
- Monte Carlo Techniques
- Parametric approaches
- Approximate VaR calculations on the back of an envelope
Module 4: Liquidity Risk Management
- Trading risk: Liquidity-adjusted VaR
- Funding risk: Asset-Liability management
- Role of repurchase agreements in the financial crisis
- Algorithmic high frequency trading and market liquidity
Module 5: Operational Risk Management
- Taxonomy of operational risks
- Operational risk regulation
- Operational risk modeling
- A VaR approach to operational risk
Module 1: Risk Capital Allocation
- Definitions of risk- and economic capital
- Merton-Perold risk capital
- Risk capital as a risk management tool
- Risk budgeting
- Measures of risk-adjusted returns: RAROC, EVA
Module 2: The Bank Capital Debate
- Modigliani-Miller and banks
- Diamond-Rajan argument for financial fragility
- The Admati-Hellwig argument for more capital
- Debt overhang
Module 3: Regulatory Capital
- Motives for prudential risk regulation
- Systemic risk
- Evolution of the Basel capital requirements
- Leverage and liquidity constraints under Basel III
Module 4: Enterprise Risk Management
- Integrated risk management within financial institutions
- Aggregating financial and non-financial risks
- Designing effective risk management frameworks
- Best practices for risk governance
Module 5: Desk Ready Skills Knowledge Check