Credit, Liquidity and Operational Risk Management

New York Institute of Finance

ITEM RISK0504

12 Dec 2024 - 12 Dec 2024

09:00 AM - 04:30 PM

$1,395.00

group

In-person (NY Campus)

update

1

language

English

school

Advanced

12 Dec 2024 - 12 Dec 2024

09:00 AM - 04:30 PM

$1,395.00

videocam

Virtual (Full-time)

update

1

language

English

school

Advanced


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17

Credit, Liquidity and Operational Risk Management

This course is a quantitative survey of the best practices and modeling techniques for the measurement and management of credit, liquidity and operational risk.

CPE Credits: 7

This course is a component of:
Advanced Risk Management Professional Certificate

Prerequisite knowledge:

  • Intermediate MS Excel skills (lookup functions, matrix multiplication, etc.)
  • Knowledge of financial instruments (bonds, options, swaps, etc.)
  • Familiarity with basic calculus and statistics (Freshman/Sophomore level)

 

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To make it even easier to learn, you can finance your program through Affirm.

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Module 1: Credit Risk

  • Approaches to modeling credit risk
  • Credit risk measures
  • PD, EAD, LGD
  • Duration x spread
  • Single name credit derivatives
  • Default correlation and portfolio credit risk
  • Portfolio credit derivatives

Module 2: Counterparty Risk Management

  • 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 credit VaR calculations on the back of an envelope

Module 4: Liquidity Risk

  • 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

  • Taxonomy of operational risks
  • Operational risk regulation
  • Operational risk modeling
  • A VaR approach to operational risk
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Credit, Liquidity and Operational Risk Management

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$1,395.00

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