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.
Loans offered through Affirm are available in the U.S. and Canada.
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