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Risk Management
Total risk management is the combination of all the elements of risk management into a consistent strategy...
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Training - Equity Market & Investment
Companies
Risk Management Course:
3 days
The Risk Management course has been developed by Global Risk
Management Group with the aim of providing participants with a
comprehensive understanding of the theory and practice of risk
management methodology that will assist them to formulate,
analyse, develop and implement strategies for effective risk
management.
The course draws together the latest innovative developments
as well as the most effective practical tools and quantitative
methods, guiding delegates through a step by step learning
process which makes extensive use of labs, case studies and
worked examples in the setting of the state-of-the-art
computer facility at the Judge Institute. Delegates will gain
a thorough understanding of the most important aspects of risk
management and how to apply the latest modelling, forecasting
and simulation techniques for VaR and credit risk management
applications.
Date
20-22 January, 2006
Course Outline
DAY 1
PART 1: INTRODUCTION TO RISK MANAGEMENT
1.0 Why Risk Management?
_ A history of events
1.1 Risk and Return
_ Statistical properties of prices and returns
_ Asset risk and return
_ Portfolio risk and return
_ Diversification
_ Square root of time rule
1.2 Derivative Products
_ Forwards and Futures
_ Options
_ Option Valuation
_ Swaps
1.3 Value at Risk (VaR)
_ VaR methodology
_ Factors affecting VaR
_ VaR and derivatives
_ Historical simulation and stress testing
_ Monte Carlo simulation
1.4 Exercises: Applications of VaR to Equity Portfolios
_ Stock, currency and index returns
_ Portfolio returns, currency adjusted returns
_ Calculating VaR
_ Historical VaR
_ Tracking error and backtesting
DAY 2
1.5 Exercises: Applications of VaR to Options Portfolios
• Option risk and returns
• Option VaR
Case Study: The Barings Portfolio
PART 2: INTEREST RATE RISK
2.1 Fixed Income Products
_ Fixed income securities
_ Treasury markets
_ Yield-to-maturity
_ Bond values and interest rates
Case Study: The Orange County Portfolio
2.2 Bond Risk
_ Duration and convexity
_ Applications of VaR to bond portfolios
_ Immunisation and Internal Rate of Return (IRR)
2.3 Fixed Income Derivatives
_ Forwards, futures and futures options
_ Caps, floors and collars
_ Swaps and swaptions
_ Options on bonds
DAY 3
2.4 Interest Rate Models
_ Interest rate models
_ VaR for interest rate derivatives
Exercises: Black-Derman-Toy model
Case Study: The Procter and Gamble - Bankers Trust swap VaR
PART 3: CREDIT RISK, CREDIT DERIVATIVES AND EXTREME RISKS
3.1 Credit Risk
_ Sources and types of credit risk and its relation to market
risk
_ Credit risk measures and models
_ Estimating default and credit migration probabilities
_ Pricing and hedging defaultable bonds and swaps
3.2 Credit Derivatives and Extreme Risks
_ Portfolio credit risk and VaR
_ Credit derivatives and their applications
_ Market, credit and operational risk management
Case Study: Long Term Capital
Course Fees
VAT to be included at the local rate, if applicable. Costs
shown are per delegate inclusive of refreshments, lunches and
seminar materials. Cost of accommodation is not included.
GBP 3000
Certificates of Participation
Certificates of participation are remitted to course
participants upon request. |
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