Quantitative Measurement & Risk Management

2 DAY WORKSHOP
(Workshop is not being offered at this time)

Qualifies for continuing education credits:

• CPE - 19.2
• CFA CE - 16
• CPD

This intensive and interactive two day training course is designed for basic to intermediate level practitioners, with basic knowledge of quantitative financial risk management. The program is designed to provide practical insights with the latest theoretical and practical examples, as well as up-to-the-minute case studies and explanations.

Course Overview & Outline

Risk measurement and key statistical techniques

• The impact of Basel II and banking regulation on quantitative risk management
• Reviewing risk measurement models for
  • Market risk
  • Credit risk
  • Operational risk and the benefits and challenges associated them
• What do they produce? Interpreting the results
• Overcoming the challenge of obtaining data and ensuring the quality of data
• Modeling and estimating volatility and implied volatility techniques for measuring risks

Understanding the concept of VaR

• Computing VaR - the main methods:
  • Historical simulation
  • Variance approach
  • Monte Carlo simulation
• Validating and benchmarking the accuracy of quantitative approaches - how can you prove VaR works?

Applying loss distribution techniques and VaR to measuring market risk

• Modeling across industry sectors and valuing different instrument types
• Calculating VaR for interest rate and liquidity risk
• Dealing with non-normal distributions
• Reviewing short term time scales for measuring market risk
• Calculating economic capital for market risk

Modeling portfolio credit risk and allocating economic capital

• Examining approaches to modeling defaults
• Examining approaches to modeling recoveries
• Modeling portfolio loss in the conditional independence framework
• Economic capital as a measure of portfolio credit risk
• Exploring methods of calculating portfolio economic capital
• Allocating portfolio economic capital to individual business lines and transactions

Quantifying counterparty credit risk

• Counterparty credit risk vs. lending risk
• Exposure at contract level
• Exposure at counterparty level
• Credit limits and exposure profiles
• Portfolio loss and economic capital
• Pricing and hedging

Reviewing the progress in ERM

• How real is ERM and the progress to far
• Examining the tools available to reach the goals of ERM
• Risk interaction and bringing risks together into one common framework
• A case study where increased clarity delivers actionable results