Investment Risk Analytics - Concepts and Applications

2 days
Prague, NH Hotel Prague
    Attend this intensive 2-day training and learn to:
  • Understand best practice risk analytics: Gaining an overview of modern concepts in quantitative investment risk management.
  • Applications of insights: Transfer concepts and models to practical problems in investment risk management
  • Interaction with peers: gain additional insights from the discussions between participants and lecturer and discussions that will emerge during the group exercises
  • Communication of Quantitative Analysis: a major emphasis is developing a qualitative understanding of the quantitative concepts in order to improve the communication with the non-quantitative stakeholders in the investment risk management process
Modelling, Quantifying and Managing Investment Risk

Course background:
In this intense two-day course, participants will gain a deeper understanding for the traditional investment risk concepts used in investment management and extensions introduced in recent years, many of them being reactions to specific issues experienced by investors and investment managers in the Financial Crisis and changes in the investment management industry since then. The concepts presented were selected with regard to application and implementation in real-world investment processes. We believe that investment risk modelling, measurement and management are not art for art's sake, but tools for investors and investment management professionals. Participants will also receive all spreadsheet examples discussed during the course, which be used as a basis for developing customized in-house models. As most delegates will be "investment risk practitioners" with diverse backgrounds, a lively exchange of ideas and experiences is guaranteed.

Delegates will receive colour printouts of all slides and electronic access to Excel spreadsheets used during the course.

Target audience:
The course is not only for specialists but for a wider audience including investment managers, asset management executives of all levels, institutional investors and research analysts. This course has been designed for the benefit of:
  • Research analysts
  • Portfolio managers
  • Risk managers
  • Fund analysts
  • Financial Economists
  • Quantitative investment analysts

The course assumes a general familiarity with financial markets, instruments and investment portfolios. A basic understanding of statistical and mathematical concepts is an advantage.

09.10 - 12.30


  • The Economics of Risk: MPT
  • The Philosophy of Risk: Risk & Uncertainty
  • The Psychology of Risk: Behavioural Finance
  • Impact of the Financial Crisis


  • Introduction, Calculations, Interpretations
  • Portfolio Volatility: Linear & Non-Linear Dependence
  • Did Diversification Fail?
  • Contribution Analysis
  • Tracking Error
  • Factor Models
  • Limitations

12.30 - 13.30 Lunch

13.30 - 17.30

Risk Measures beyond Volatility

  • Risk Measure Classification
  • Desirable Properties of Risk Measures
  • Loss-Based Risk Measures
    • Semi-Variance
    • Partial Moments
    • Value-At-Risk
    • Conditional Value-At-Risk
    • Drawdown Risk
  • Tail Risk Analysis: Black Swans, Dragons & Extreme Events
  • Contagion
  • Full Distribution Measures
    • Omega
    • Stochastic Dominance

Two group exercises will be solved during the first day

Day Two

09.00 - 12.30

Topics in Quantitative Risk Analysis

  • The Riskfree Rate
  • Dynamic Risk Analysis
  • The Normal Distribution Assumption
  • Outliers
  • Non-Normal Distributions
  • Historical, Parametric, Monte Carlo Approaches
  • Introduction to Copulas

Integration of Performance and Risk Analysis

  • Brinson Risk Attributions
  • Integrated Risk and Return Attribution Analysis
  • Risk-Adjusted Performance Attribution?

12.30 - 13.30 Lunch

13.30 - 17.30

Stress Testing and Scenario Analysis

  • Scenario Analysis
  • Stress Testing
  • Manipulating Correlations

Investment Risk Management

  • Design Principles
  • The Illusion of Control
  • Risk Monitoring
  • Considering other risk aspects
    • Counterparty risk
    • Liquidity risk

Model Risk Management

  • Model Risk
  • Model Risk Management Framework

Review and Conclusions

Four group exercises will be solved during the second day

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