The recent global economic and financial crisis has once again revealed to us the crucial importance of understanding the intricacies of risk analysis and risk management applied to finance. This is equally true for private sector corporate actors, public sector officials and professionals working in private financial institutions and in public administrations such as ministries of finance and central banks. Measuring risk using mathematical formulae has become standard for major financial institutions worldwide, and the cost of borrowing or leveraging debt depends to a large extent upon the findings of risk and creditworthiness found through mathematical modeling and applying sophisticated statistical tools. This advanced course is designed to provide professionals with specific hands-on tools and modeling techniques for effective risk management, and builds on the Fundamentals of Risk Management course.
At the end of the course, the participants should be able to:
- Apply the mathematical, statistical and financial tools required to approach financial risk management;
- Compute the value of different types of fixed income securities, including calculations on yields and market prices;
- Interpret different ratios and indexes related to the stock exchange market, in particular for stock shares;
- Apply risk management techniques into different situations, in particular Value at Risk (VaR);
- Calculate risk indexes for a portfolio composed of different types of securities;
- Design different methodologies for generating risk management scenarios, in particular for interest rate or exchange rate variations, using Monte Carlo Simulation; and
- Evaluate methodologies applied by third parties on financial risk management.