Financial Risk Modeling - Online Course

The Institute for Statistics Education
Training overview
4 weeks
English

Course description

Financial Risk Modeling - Online Course

This course focuses on the main tools, techniques and principles in Financial Quantitative Risk Analysis. It effectively combines examples and exercises with theoretical sessions to provide participants with a detailed analysis of Monte Carlo techniques. The course also covers risk analysis modeling environments (in this case ModelRisk with the Insurance and Finance Module within Excel, but the lessons and techniques apply equally well to other modeling environments) as well as common mistakes and how to avoid them.

This course may be taken individually (one-off) or as part of a certificate program.

Who should attend?

Software:

Course illustrations and homework assignments will use ModelRisk, the Monte Carlo simulation and financial risk analysis tool from Vose Software. A limited time free trial license of will be provided to all course participants at the start of the course.

Who Should Take This Course:

Anyone in investment banking, asset/investment/fund management, merchant banking, insurance companies, software/technology, government/public body and academia with an interest in applying quantitative probabilistic techniques in the fields of finance and insurance.

Level:

intermediate/advanced

Prerequisite:

  • Risk Simulation and Queuing.
  • All models are developed using Excel and ModelRisk. It is therefore essential that all participants be proficient in Excel, including the use of Excel functions.

Training Content

Course Program:

Week 1: Introduction

  • Introduction to quantitative risk analysis and Monte Carlo
    • Core ideas of risk analysis
    • What is a probability distribution
    • How scenarios are generated, outputs produced and analyzed, why it works
  • Distributions
    • Most common univariate distributions in finance
    • Introduction to statistical descriptors-mean,mode,standard deviation,skewness,kurtosis
    • Example financial model and exercise

Week 2: Stochastic Time Series

  • Trend, volatility, seasonality, autocorrelaton, cyclicity, mean reversion
  • GBM, +mean reversion, jump diffusioin, both, seasonality
  • Autoregressive models: ARCH, GARCH, EGARCH, APARCH
  • Markov chains
  • Multi-variate time series
  • Discussion of attributes and application of different stochastic time series
  • Example model and exercise

Week 3: How to Deal with Correlations

  • Rank order
  • Covariance measures
  • Copulas
  • Example model and exercise

Week 4: Model Fitting and Conclusion

  • Fitting distributions, time series and copulas to historical data
    • Distributions (MLE)
    • Time series (MLE)
    • Copulas (MLE)
    • Fit comparisons with information criteria (i.e. AIC, SIC, HQIC)
    • Example model and exercise
  • Emphasis on examples model and practical case
    • VAR, expected shortfall examples
    • Some time series examples (including fitting to past financial datasets)
    • Analyzing correlations between stochastic variables, fitting copulas and applying then in a simulation model
    • Basel II example with operational risk
    • Markov Chain model example (for modeling credit portfolios)

Homework:

Homework in this course consists of short answer questions to test concepts, guided data analysis problems using software, and guided data modeling problems using software.

In addition to assigned readings, this course also has supplemental readings available online, and an end of course data modeling project.

Costs

The Financial Risk Modeling - Online Course costs $589.

Certification / Credits

There are a number of options for credit and recognition. Please contact The Institute for Statistics Education for more information.

About supplier

Laptop - Institute for Statistics Education

The Institute for Statistics Education

The Institute for Statistics Education at Statistics.com was established in 2002 and is the leading provider of online education in statistics, data science and analytics with 4 certificate programs and over 100 courses at novice, intermediate and advanced levels.  Their...


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