Market Risk Management (New York Institute of Finance)

Colleagues, the Market Risk Management program from the New York Institute of Finance is a rigorous review of the complete market risk reporting cycle: from risk model selection to data aggregation and model calibration to risk computation and ultimately risk reporting. Understand the issues and tradeoffs associated with building market risk models, generate realistic, but ‘scaled down’ market risk reports.and learn to clearly communicate the implications of the risk metrics in the report to ‘non-technical’ audiences (CPE Credits: 7). Students should have knowledge of Intermediate MS Excel skills (lookup functions, matrix multiplication, etc.), Fixed income arithmetic, Elementary differential calculus, Basic probability and statistics. Skill-based training modules include: 1) Equity Risk - Elements of portfolio theory, Capital Asset Pricing Model, Systematic vs. idiosyncratic risk, Equity portfolio risk and performance evaluation, 2)  Fixed Income Risk - Bond and swap arithmetic, Rate risk - DV01, Duration, Convexity, Delta and delta-gamma (convexity) approximations, Foreign Exchange Risk, 3) Derivatives Risk - Forwards, Futures, Options, Option valuation, Sensitivity Measures: Greeks, 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, and 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 and Extreme Value techniques. 

Enroll today (teams & execs welcome): https://tinyurl.com/ykf3wnkt 

Much career success, Lawrence E. Wilson - Financial Certification Academy