Portfolio Risk Management
Master the theory and practice of risk management applied to portfolios comprising a wide variety of asset classes.
CPE Credits: 7
This course is a component of the Advanced Portfolio Management Professional Certificate.
Prerequisite knowledge:
- Some familiarity with equity, fixed income and alternative asset classes
- Fixed income mathematics
- Knowledge of portfolio theoretic concepts including mean-variance measures, portfolio diversification, systematic risk
- Intermediate MS Excel skills (data tables, lookup functions, solver, etc.)
- Knowledge of elementary calculus, probability theory and statistical methods
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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: Taxonomy of Risks
- Market risk
- Credit risk
- Operational risk
- Liquidity risk
Module 2: Market Risk Management Tools and Practices
- Risk management tools
- Index futures
- Equity swaps
- Options
- Portfolio stress testing
Module 3: Credit Risk Management
- Structural models of credit risk
- Reduced form models of credit risk
- Modelling default dependence
- Credit value at risk
Module 4: Risk Budgeting
- Objectives of risk budgeting
- Marginal risk and contributions to portfolio risk
- Risk allocation and attribution
Module 5: Risk Management and Control Structures
- Risk assessment vs. risk management
- Exposure and loss limits
- Risk monitoring best practices