Advanced Risk Management Tools and Concepts
This course is an in-depth survey of risk management concepts and tools, and the underlying mathematical and statistical techniques.
CPE Credits: 14
This course is a component of:
Advanced Risk Management Professional Certificate
Prerequisite knowledge:
- Advanced MS Excel skills
- Fixed income arithmetic
- Elementary differential calculus
- Basic probability and statistics
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Module 1: Introduction
- Why risk management?
- Risk assessment vs. risk management
- Taxonomy of Risks
Module 2: Review of Quantitative Tools
- Elements of differential and integral calculus
- Linear algebra
- Concepts in probability
- Basic statistics
- Introduction to stochastic processes
Module 1: Concepts in Risk Management
- Risk factors and profit-loss distributions
- Risk Measures: Lower partial moments, Value at Risk, Expected Shortfall, etc.
- Scenario analysis
- Stress testing
- Coherent risk measures
Module 2: Model Risk
- Sources of Model Risk
- Back testing VaR models
- Additional tests for parametric VaR models (QQ plots, etc.)