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A Complete Course in Risk Management

Overview

In an uncertain, complex world with increased risks from societal, environmental and operational factors the role of a future ready Risk Manager is critical for any successful business. Gain confidence and control with The Complete Course in Risk Management at Imperial College London – situated at the heart of the world’s financial capital. The programme is five intensive days that will challenge you to think creatively about finance and risk; it will compel you to overturn existing patterns; it will ultimately make you and your organisation more competitive and sustainable.

Our experienced team will guide you and your international peers towards the development of financial foresight – enabling the prediction of new societal, financial, corporate and environmental risks. Starting with the management of risk in finance, risk measurement, markets and financial instruments you will learn practical ways to measure and hedge risk applicable to your organisation, enabling powerful business decision making and an ability to face up to regulatory risk.

Who should attend?

This short and practical programme is for those seeking to become a more complete Risk Manager. Senior professionals engaged with any aspect of risk management looking to blend technical skills, quantitative research and intelligent risk strategies with newly developed financial intuition to broaden their risk management abilities. Participants will be required to have good quantitative skills.

Benefits

  • Evaluate risk management frameworks and practices in an applied industry setting
  • Critically assess risk management reports and research
  • Identify the limitations and the positive role of risk management in real-life situations
  • Examine changes in risk management practices as a result of paradigm shifts in global banking, insurance and asset management
  • Analyse the mechanism of corporate governance and its critical relationship to and with risk
  • Be able to explain current governance best practices
  • Investigate the catalyst role that regulation currently plays in the markets

Programme content

Introduction to Risk Management – The Big Picture

  • History of risk management
  • Risk management – the big picture
  • Carbon Capture Lab experience – Risk and Decision Making Under Stress
  • Asset-liability management in banks and asset managers

Foundations of Risk Measurement

  •  Statistics for Risk: Mean, Variance, Correlation, Skewness
  • Basic rules of probability
  • Probability Distributions Useful for Risk and Financial Models.
  • Linear Regressions and Risk Modeling Fundamentals

Foundations of Risk Finance Theory

  • Risk and Risk Aversion
  • Portfolio Theory and Basic Portfolio Mathematics
  • Efficient Frontier
  • Introduction to CAPM
  • Multi-factor models
  • Basic Capital Structures

Financial Markets and Instruments

  • Bond Pricing
  • Futures and Forwards
  • Options and Swaps
  • Recent developments in OTC and Exchange-traded Derivatives

Market Risk Management (1)

  • Overview of Market Risk Management
  • Risk measures for different asset classes
  • Portfolio Risk Measures
  • Value at Risk (VaR) and Expected Shortfall
  • Analytical VaR Models

Market Risk Management (2)

  • Nonparametric VaR Models
  • Monte Carlo VaR Models
  • Modeling complex portfolios
  • Backtesting and stress testing
  • Risk measures beyond market risk

Credit Risk Management

  • Single name Credit products: Bonds, CDS
  • Market implied default probabilities and correlations
  • Firm Value Models: Merton, Black Cox and AT1P models.
  • Case study of Calibration on Lehman Brothers CDS with firm value models
  • Intensity Models: Constant, time inhomogeneous and stochastic spreads
  • Case study of Calibration of Lehman with intensity models
  • Multi-name credit products: Default Baskets and CDOs
  • Correlation and Dynamic loss models
  • CDOs and the credit crisis of 2007-2008

Counter-Party and Funding Risk

  • Credit valuation adjustments (CVA)
  • Debt valuation adjustments (DVA)
  • New Regulatory requirements in CVA and centralized counter-parties
  • Re-hypothecation and closeout rules
  • Funding Valuation Adjustment
  • Lehman Brothers Case Study
  • Hedging Counterparty risk

Capital Allocation

  • Regulatory Capital – Banks
  • Introduction to Economic Capital
  • Capital Allocation by Risk Type
  • CRD IV

Macro-prudential regulation

  • Macro-prudential capital regulation
  • Stress Testing
  • Implementing Risk Management
  • Visit to the Global Data Observatory – experiential learning with Bitcoin visualisation

Programme key info

25/09/2017
29/09/2017
19/03/2018
23/03/2018
5 days
£5,600
Imperial College Business School

Only at Imperial

Effective risk management requires you to calculate risk and communicate your conclusions efficiently across the business. Unique to Imperial is our Carbon Capture Lab, an immersive experience which tests your decision making ability under pressure. By learning and experimenting in these conditions you’ll acquire the skills to assess, negotiate, communicate and take action in demanding circumstances.

Read more about the Carbon Capture Lab

What people are saying

The balance of theory and practical cases was very good. The presenters gave lots of insights in their extracurricular work when working within the financial industry. I have gained new insights into credit risk and topics like optimal capital distribution and enterprise risk. I have also benefited from the views on the topics from the other participants and the lecturers. All in all I would strongly recommend this course going forward.

The course provides an in depth look into the mechanics of risk calculations and was run by some of the most interested, interesting and informative people I have had the pleasure to meet.

Associate DirectorMoody’s Analytics

The overall experience of Imperial College and A Complete Course in Risk Management was unforgettable. I was hoping for something a little different but I got a lot more, even a change in a career

Business Relations Manager

“Comprehensive and engaging, A Complete Course in Risk Management addresses the key concepts, processes and tools underlying risk management and lays out how to manage a highly complex issue.”

Head of Process Engineering, Swiss Card

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