Financial Risk Management: Back to Basics

In this three-session evening class, participants will start with the mathematical underpinnings of how derivatives are priced, the qualitative way risk management is currently implemented and how risk management could change in the future.

Starting with the very basics of financial mathematics, participants will be able to understand exactly how derivatives are priced, how their risk is evaluated, and effectively communicate what is meant by “risk” and the story it tells about a portfolio.

The course will focus first on basic probability and move on to the necessary basic principles needed to value fixed income derivative products. From there, product specific valuations topics are introduced, including how the valuation of product types impacts the risks inherent within the portfolio.

No sessions currently available. Contact client services to get the next available date.
CPE CREDITS
7.5
Anyone who needs to understand and effectively communicate in the language of risk and valuation.
No advance preparation required.
Students will be able to:
  • Effectively demonstrate the mathematical principles that form the basis of current risk management
  • Formulate specific differences among various product types, how they are valued differently and how this could impact a portfolio comprised of various products
  • Demonstrate application of these skills to solve a variety of risk and valuation related problems
None
"Very knowledgeable instructor!"
Mathematical Basics
Basic Interest Rates

    Duration and Convexity

      Risk Neutral Pricing

        Option Greeks

          Introduction to Probability Models

Valuation Basics
Product Specific Valuations
  • Cash products
  • Swaps
  • Swaptions
  • Mortgage backed securities
  • Credit derivatives

Risk Management
Value at Risk: Theoretical Basis
  • Origin and history
  • What went wrong in 2008?
  • Current/future usage

Risk Budgeting and Enterprise Risk Management

  • How do we get from valuation to risk?
  • Portfolio risks and budgeting:
  • - Asset class budgeting
  • - Manager budgeting
  • - Asset liability management

Clients who register for this course will receive a complimentary 3 month subscription to the Financial Times and FT.com. The Financial Times is the world's most respected financial newspaper, providing a broad assessment on finance, business and the industrial sector. Subscriptions will start within 6-8 weeks of the application process and are limited to one per client. For questions about your subscription, call 800-628-8088 or email uscirculation@ft.com. U.S. enrollees only. (All non-U.S. enrollees will receive a subscription to FT.com only.)

Lunch included for all students taking day classes.