Image
27. - 28. 5. 2024

Investment Risk Analytics

Concepts and Applications

Přihlásit se Agenda Program Online
divider graphic
icon
Místo
Praha, hotel NH Prague
icon
Cena
35.500 Kč + DPH
icon
Lektor
Andreas Steiner
icon
Jazyk
Angličtina
icon
Hodnocení
4,8
Hybrid Training
Hybrid
K dispozici jak prezenční, tak online školení
icon
Cena pro online školení
26.625 Kč + DPH
divider graphic

Key points / questions answered:

Best practice in 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.
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. 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.

Target audience

This course has been designed for the benefit of:
  • Research analysts
  • Portfolio managers
  • Risk managers
  • Fund analysts
  • Financial Economists
  • Quantitative investment analysts
Icon
PDF brožura s podrobnostmi o Investment Risk Analytics semináři je k dispozici na vyžádání.

Program semináře: Investment Risk Analytics

Seminář probíhá podle středoevropského času (CET).

09.00 - 09.10 Welcome

09.10 - 12.15

Introduction

  • The Economics of Risk: MPT
  • The Philosophy of Risk: Risk & Uncertainty
  • The Psychology of Risk: Behavioural Finance
  • Observations in the Financial Crisis 2008 and Coronavirus Pandemic 2020

Volatility

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

12.15 - 13.15 Lunch

13.15 - 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

09.00 - 12.15

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?

12.15 - 13.15 Lunch

13.15 - 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

Review and Conclusions

Two group exercises will be solved during the second day

Místo konání a registrace

Image
Místo

Praha

Semináře se konají v samém srdci střední Evropy v hlavním městě Praze.

Více informací
Image
Hybrid

Hybridní seminář

Seminář se bude konat také online ve stejné dny jako prezenční formát.

Online
Image
Registrace

Uzávěrka přihlášek:

13.5.2024

Přihlásit se
Katalog seminářů v PDF
arrow-up icon