Measuring Risk: Equity, Fixed Income, Derivatives and FX
A survey of risk measures and risk measurement practices applied to individual securities and portfolios. A risk report of a publicly traded financial institution is studied.
CPE Credits: 7
This course is a component of the Risk Management Professional Certificate.
Prerequisite knowledge:
- Basic MS Excel skills
- Basic probability and statistics
- Basic knowledge of financial securities and markets
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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: Risk by Asset Class
- Equity - Idiosyncratic vs systematic risk, Impact of correlation on portfolio risk, Beta
- Fixed Income - Bond prices and yields, Duration and Convexity
- Derivatives - Forwards and Futures, Options, Greeks
- Credit - Rating agencies, Default probabilities, Credit spreads
- Foreign Exchange - Spot and Forward Rates, Covered arbitrage
- Commodities - Spot and Forward prices
Module 2: Portfolio Risk Measurement
- The role of correlation in portfolio risk
- Measuring risk with historical data
- Measuring risk with models
- Application: Market risk measurement for an equity portfolio
Module 3: Risk Reporting
- Structure of a risk report - Risk by risk factor, Risk by business unit, Component risk vs overall risk, Comparing P/L, VaR and ES
- Case Study: Deutsche Bank Annual Risk Report