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Modelling Financial Risk

in London Financial Studies (England)

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Price:

£2,370 + VAT Special offers 

Duration:

3 Days

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Requirements:

Basic knowledge of Data Analysis for Risk Management.

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Course objectives:

This programme applies some of the latest econometric and data handling techniques to practical problems faced daily by organisations operating in the capital markets. The course is highly relevant to anyone analysing or interpreting financial market data.

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Course details

Type Course Duration 3 Days
Method / place Contact course provider Classes
Suitability * Traders * Risk Managers * Strategists * Consultants * Middle and Senior Managers
Course objectives This programme applies some of the latest econometric and data handling techniques to practical problems faced daily by organisations operating in the capital markets. The course is highly relevant to anyone analysing or interpreting financial market data.
Requirements
Basic knowledge of Data Analysis for Risk Management.
Price £2,370 + VAT
Special offer + Support
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Course programme

Modelling Financial Risk
Modelling Financial Risk

Course Outline


In current market conditions a rigorous approach to risk management is essential. This programme applies some of the latest econometric and data handling techniques to practical problems faced daily by organisations operating in the capital markets. The course is highly relevant to anyone analysing or interpreting financial market data.

Who The Course is For
Traders
Risk Managers
Strategists
Consultants
Middle and Senior Managers
Prior Knowledge

Basic knowledge of Data Analysis for Risk Management.

This program is eligible for 24 Continuing Education credit hours from the CFA Institute. If you are a CFA Institute member, CE credit for your participation in this program will be automatically recorded in your CE Diary.

Day One Basic Building Blocks: Volatility Modelling and Random Number Generation
  • Characteristics of financial data
  • QQ Plots
  • Simple volatility models
  • Limitations of simple volatility models
  • Introduction to GARCH models
  • Complex distributions
  • Acceptance-Rejection approach to random number generation
    Workshop: Generating numbers from complex distributions
     
    GARCH Modelling
  • Alternative GARCH models
  • Interpretation of GARCH models
  • Forecasting using GARCH models
  • Maximum likelihood estimation under normal distribution
  • Maximum likelihood estimation under t-distribution
  • Simulating GARCH models
    Workshop: Estimating GARCH parameters using Maximum likelihood estimation
     
    Day Two Correlation modelling
     
  • Variance-covariance and correlation
  • Different interpretation of correlation
  • Difficulties with interpreting correlation
  • Modelling time varying covariance
  • Modelling time varying correlation
  • Estimating parameters in covariance and correlation models
    Workshop: Measures of association and correlation modelling
     
    Risk Management for Non-Linear Products
     
  • Non-linear VaR
  • Risk neutral valuation
  • Option Delta
  • Option Gamma
  • Delta Gamma approach
  • Pitfall in the Delta Gamma approach
    Workshop: Value at Risk for options using Delta Gamma Approach
     
    Day Three Limitations of VaR - Alternative ways to measure risk
     
  • Limitations of VaR approach to modelling risk
  • Desirable properties of ideal risk measures
  • Expected Shortfall
  • Risk Aversion functions
  • Spectral Risk Measures
  • Estimating Spectral Risk Measures
    Workshop: Comparison of Expected Shortfall with VaR
     
    Testing the Results - VaR Simulation, Backtesting & Stress Testing
     
  • Historical simulation
  • Weighted historical simulation
  • Monte Carlo simulation and filtered historical simulation
  • Backtesting VaR
    Workshop: VaR simulation and backtesting
     
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    Teachers/ trainers

    profesorado Ghulam Sorwar


    Dr. Ghulam Sorwar is a highly experienced finance academic with a wealth of practical experience. Following a career on the derivatives desk at Abbey Life Investment Services, he joined City University Business School where he helped to develop the MSc in Mathematical Trading and Finance and taught
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    On London Financial Studies

    Provider description
    <strong>London Financial Studies</strong> is a specialist teaching resource that concentrates exclusively on capital markets. We offer individuals, teams and companies expert teaching that combines theoretical understanding with practical experience.
    Advantages of studying with London Financial Studies
    At <strong>London Financial Studies</strong> we concentrate exclusively on capital markets. We offer individuals, teams and companies a unique and expert teaching resource that combines theoretical understanding with practical experience and equips them to operate at the highest levels of efficiency and profitability.

    Our business is driven by a distinct philosophy and clear values:
    Practical Application Intellectual Clarity Personal Approach Economic Value
    Course provider history
    In the past decade London Financial Studies has become widely acclaimed as one of the best teaching resources for capital markets practitioners. Over that time we have delivered a diverse range of programmes to individuals, major financial institutions and government bodies worldwide.

    The <strong>London Financial Studies</strong> ethos of combining excellent and effective teaching grounded in sound theory as well as relevant and practical real-world experience is a direct result of the experience of the founder, David Cox.

    During his career in banking, he became aware of the acute need for high quality teaching relating to capital markets. After leaving the City he joined the London Business School and set out to develop techniques and materials to meet this need. The result was a series of short courses for practitioners: The Financial Markets Seminar Programme. London Financial Studies has refined the approach and uses the same methodology throughout its programme.
    Specialises in
    Credit Econometrics Equity Fixed Income and Inflation General Capital Markets Mathematics Other Asset Classes Quantitative Techniques

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    Words related to the courses viewed: risk assessment risk management financial modelling risk assessment health management risk

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