request course syllabus
This course provides an in-depth examination of best practices as they relate to risk management for companies engaged in trading and commercial hedging. Particular emphasis is placed on major corporate risk factors that could bankrupt or severely damage companies that trade and hedge. Although the primary emphasis is placed on price risk management, measurement and mitigation, our offering also covers operational risk, liquidity risk, systemic and credit risk.
Topics covered include:
• How to establish a corporate risk policy • Implementation of broad-based and specific trading controls to mitigate operational risk • Outright price risk, correlation risk and optionality risk • Designing a robust risk management program • Determining hedge objectives and strategies • Implementation of a daily mark-to-market • The pros and cons of various VaR models and stress testing techniques • Hedge implementation, monitoring and adjustment • Weissman’s Risk Management Pyramid • How statistical theories relate to Value-at-Risk calculations • How non-normal distributions such as skewness and kurtosis impact VaR calculations • Extreme Value Theory and GARCH • Modeling for liquidity risk • Measurement, management and mitigation of credit risk including CVaR, KMV, Z-Score and the ratings agency approach
There are no reviews yet.
Your review *
Save my name, email, and website in this browser for the next time I comment.