Market Risk Management

New York Institute of Finance

ITEM Risk0503

11 Dec 2024 - 11 Dec 2024

12:00 AM - 04:30 PM

$1,395.00

group

In-person (NY Campus)

update

1

language

English

school

Advanced

11 Dec 2024 - 11 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

Market Risk Management

This course 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.

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.)
  • Fixed income arithmetic
  • Elementary differential calculus
  • Basic probability and statistics

 

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Module 1: Equity Risk

  • Elements of portfolio theory
  • Capital Asset Pricing Model
  • Systematic vs. idiosyncratic risk
  • Equity portfolio risk and performance evaluation

Module 2: Fixed Income Risk

  • Bond and swap arithmetic
  • Rate risk - DV01, Duration, Convexity
  • Delta and delta-gamma (convexity) approximations
  • Foreign Exchange Risk

Module 3: Derivatives Risk

  • Forwards, Futures, Options
  • Option valuation
  • Sensitivity Measures: Greeks

Module 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

Module 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
  • Extreme Value techniques
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Market Risk Management

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$1,395.00

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