Modelling Financial Risk
Training
Provided by London Financial Studies
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.
|
|
Modelling Financial Risk
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
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
About The Training Provider: London Financial Studies
London Financial Studies - London Financial Studies 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.
Our business is driven by a distinct philosophy and clear values:
* Practical Application
* Intellectual Clarity
* Personal Approach
*...
