Advanced Risk Management Professional Certificate (NYIF)

Colleagues, the Advanced Risk Management Professional Certificate will equip you in the advanced theory and practice of risk management, with particular emphasis on practice. 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. Skill-based lessons include: 1) Introduction - Why risk management?, Risk assessment vs. risk management, Taxonomy of Risks, 2) Review of Quantitative Tools - Elements of differential and integral calculus, Linear algebra, Concepts in probability, Basic statistics, Stochastic processes, 3) Concepts in Risk Management - Risk factors and profit-loss distributions, Risk Measures: Lower partial moments, Value at Risk, Expected Shortfall, Scenario analysis, Stress testing, Coherent risk measures, 4) Model Risk - Sources of Model Risk, Backtesting VaR models, Additional tests for parametric VaR models (QQ plots), 5) Equity Risk - Elements of portfolio theory, Capital Asset Pricing Model, Systematic vs. idiosyncratic risk, Equity portfolio risk and performance evaluation, 6) Fixed Income Risk - Bond and swap arithmetic, Rate risk - DV01, Duration, Convexity, Delta and delta-gamma (convexity) approximations, Foreign Exchange Risk, 7) Derivatives Risk - Forwards, Futures, Options, Option valuation, Sensitivity Measures: Greeks, 8) 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, 9) 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, 10) Credit Risk - Approaches to modeling credit risk, Credit risk measures, Default correlation and portfolio credit risk, Credit derivatives, 11) Counterparty Credit Risk -  OTC instruments and counterparty default risk, Exposure measures: CE, EE, PFE, Value adjustments: CVA, DVA, 12) Credit Risk Management - Credit VaR models, Monte Carlo Techniques, Parametric approaches, Approximate VaR calculations on the back of an envelope, 14) 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, 15) Operational Risk Management - Taxonomy of operational risks, Operational risk regulation, Operational risk modeling, A VaR approach to operational risk, 16) 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, 17) The Bank Capital Debate - Modigliani-Miller and banks, Diamond-Rajan argument for financial fragility, Admati-Hellwig argument for more capital, Debt overhang, 18) Regulatory Capital - Motives for prudential risk regulation, Systemic risk, Evolution of the Basel capital requirements, Leverage and liquidity constraints under Basel III, 19) 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.

Enroll today at (teams & execs welcome): https://tinyurl.com/35xc5c42 

Download your free Finance, Accounting & Banking - Career Transformation Guide.

Much career success, Lawrence Wilson – Financial Certification Academy (share with your team)