Want to boost enrolments? Login and promote your courses
Searching for courses? Login or register
Courses    
  Most popular search | Share this page  
open My list: 0 courses
Homepage Finance Courses Banking and Insurance Courses Investment Banking Courses

Risk Management and Modelling

in London Financial Studies (England)

Classes Course

Price:

£2,970 + VAT Special offers 

Duration:

3 Days

Start:

consult dates and times
See course programme

Requirements:

* Numerate background (intermediate) * A good grounding in capital markets products and techniques ... see more

Request free information

Course objectives:

This course develops a set of tools essential for the accurate management of the wide range of risks encountered in capital markets. Techniques are applied cumulatively in a sequence of workshops that include Value at Risk and its limitations, practical uses of Monte Carlo simulations and the Merton and Gaussian approaches for estimation of probabilities.

More courses Subject area
Place
 

Request information

Contact directly and with no obligation with
London Financial Studies
You must complete all fields on this form in order for us to send it to the course provider.
We have highlighted incomplete/ incorrect details in red.
* Compulsory fields
By clicking "Email request / Telephone" you registering and accepting the Terms of Use and privacy policy of Emagister.
I wish to receive the personalised newsletter (during a maximum period of 15 days)

Availability?
How do I enrol?
Where can I get more information?

The person in charge of this course will receive your information request instantly.

Response time:
:| :) ;)
Average Fast Very fast
 

Course details

Type Course Duration 3 Days
Method / place Contact course provider Classes
Suitability * Traders and Dealing Room Staff * Risk Managers * Middle Office and Senior Managers * Investors * Quantitative Analysts, Financial Engineers and Systems Developers * Structured Products Desks, Product Controllers and Researchers * Loan Portfolio Managers and Fund Managers * Credit Analysts and Credit Risk Managers
Course objectives This course develops a set of tools essential for the accurate management of the wide range of risks encountered in capital markets. Techniques are applied cumulatively in a sequence of workshops that include Value at Risk and its limitations, practical uses of Monte Carlo simulations and the Merton and Gaussian approaches for estimation of probabilities.
Requirements
* Numerate background (intermediate) * A good grounding in capital markets products and techniques * Microsoft Excel.
Price £2,970 + VAT
Special offer
Request this special offer here
Get direct information on how to enrol, venues and availability...

Investment Banking courses (from other course providers)

 
OEIC & Unit Trust Accounting
Investment Education PLC
London - £960 + VAT
 
Principles of Portfolio Management
MSConsultants (Training) LLP
Distance - Price: On request
 
Introduction to Investment Management
TFPL Ltd
London - Price: On request
 
Interest Rates : Basics And Market Applications
CSE-Demos Training and Development
London - £845 + VAT
 
Advanced International Treasury Management
Eurofinance Training
London - £3,420 + VAT
Compare the selected courses

Course programme

Risk Management and Modelling
Risk Management and Modelling

Day One
  • Introduction and Risk Management Toolbox

  • Why risk management?

  • Famous market events

  • The Limitations of models

  • Volatility, quantiles and conditional expectation

  • Fat tails and heteroskedacity

  • Correlation matrices, factor models and principal component analysis (PCA)

  • Value-at-Risk (VaR)
    Workshop: Characterising risk using simple distribution and study of properties of coherent risk measures with simple examples  
     

  • Market Risk

  • Methods of computation

  • Marginal and incremental VaR

  • Parameter estimation

  • Stress testing
    Workshop: Calculating the VaR on a simple portfolio using:  
     

  • i) Variance-covariance approach

  • ii) Historical simulation

  • iii) Monte Carlo simulation
    Day Two  
     

  • Credit risk

  • Issuer and default risk, default rates

  • Credit ratings, migration and transition matrices

  • Spread risk

  • Recovery risk

  • Merton type approaches to assessing default probability
    Workshop: Using commercial Merton approaches to estimate default
    probability : KMVTM and CreditGradesTM  
     
     
     

  • Credit portfolio risk

  • Credit correlation

  • Gaussian copula approach to credit modelling

  • Credit migration

  • Credit loss distributions and credit VaR

  • Tranching and credit derivatives

  • Basel II and securitization
    Workshop: Computation of credit portfolio losses using the Gaussian copula approach of CreditMetricsTM  
     
    Day Three

  • Operational and Liquidity Risk

  • Definition and growing importance of operational risk

  • Basel II operational risk overview : basic indicator, standardised and advanced measurement approaches

  • Normal market sizes, bid-offers and big trades

  • Liquidation and fire sales

  • Gap risk
    Workshop: Building a model to assess the price impact of a large liquidation  
     

  • Counterparty Risk

  • Credit exposure

  • Netting and collateralization

  • Credit value adjustment (CVA)

  • Contingent credit default swaps (CCDS) and hedging

  • Integration of market and credit risk

  • Wrong-way and bilateral counterparty risk
    Workshop: Calculating the CVA for an interest-rate swap and assessing
    the impact of netting, collateralisation and wrong-way risk
  • see the full course programme

    on request

    get more information on the programme directly from London Financial Studies.

    Request information for free
    Get direct information on how to enrol, venues and availability...
     

    Teachers/ trainers

    profesorado Jon Gregory


    Dr Jon Gregory has over ten years experience as a practitioner in quantitative finance. From 1995 to 1997 he worked in the Fixed Income division of Salomon Brothers. From 1997 to 2005 he was with BNP Paribas and worked on many projects across the interest rate, equity, credit, insurance and risk man
    Get direct information on how to enrol, venues and availability...
     

    Ex-students

     
    Opinions
     
    Have you attended this course?

    Voice your opinion and help thousands of other users

    opinions

    from users who have attended
    this course.
    Get direct information on how to enrol, venues and availability...
     

    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

    All courses

    by London Financial Studies on emagister.

    See list of courses

    Get direct information on how to enrol, venues and availability...

    Training related to Investment Banking

     
    International sites Spain  |  Italy  |  France  |  Mexico  |  Germany  |  UK  |  Japan  |  Argentina

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

    emagister.com complies with the 15/1999 Organic Law dated 13th December (Spain), the Data Protection Law and holds the inscription code 2002010053 on the General Register of the Data Protection Agency. Copyright 1999/2000 - Grupo Intercom - All rights