Advanced Risk Management Professional Certificate

Colleagues, the Advanced Risk Management Professional Certificate introduces you 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. Training modules include: Day 1) Why risk management? Review of Quantitative Tools, Stochastic processes; Day 2) Concepts in Risk Management, Risk factors and profit-loss distributions, Risk Measures: Lower partial moments, Value at Risk, Expected Shortfall,  Sources of Model Risk, Backtesting VaR models, QQ plots; Day 3) Equity Risk - Capital Asset Pricing Model, Systematic vs. idiosyncratic risk, Equity portfolio risk and performance evaluation; Fixed Income Risk, Rate risk - DV01, Duration, Convexity, Delta and delta-gamma (convexity) approximations, Foreign Exchange Risk;  Derivatives Risk, Option valuation, Sensitivity Measures: Greeks; 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; 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; Day 4) Credit Risk - Credit risk measures, Default correlation and portfolio credit risk, Credit derivatives; Counterparty Credit Risk - OTC instruments and counterparty default risk, Exposure measures: CE, EE, PFE, Value adjustments: CVA, DVA, Credit Risk Management; and Day 5) Risk Capital Allocation, Regulatory Capital and Desk Ready Skills Knowledge Check.

Enroll today (teams & execs welcome): https://tinyurl.com/mp9wphta 

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