Investment Risk Analytics Concepts and Applications

Thursday, December 13th

09.00 - 09.10 Welcome and Introduction

09.10 - 12.30

Introduction

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

Volatility

  • 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

Friday, December 14th

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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