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Advance Risk Management Models – Free Online Resource Guide

Advance Risk Management Models (aka RM II) course is a 1 credit course taught at the SP Jain Campus in Dubai and Singapore by Jawwad Ahmed Farid.

A variation of this course was recently delivered (22-29th August 2012) at the SP Jain Dubai Campus by Jawwad. A smaller version of the course is scheduled for delivery at the Singapore campus in mid October 2012.

The course builds up on the work done in earlier MBA specialization courses (Risk Management I, Derivatives I and Derivatives II) conducted for regular and executive MBA students. The focus is on model building and practical applications using hands on models in Excel. The course reviews risk management models from the world of portfolio optimization, derivatives pricing and hedging, hedge optimization, banking regulation, credit risk, probability of default estimation.

Advance Risk Management Models – Course Prerequisites

Students are expected to be comfortable with materials covered in Risk Management I and the Derivatives I and II course series. See the reference site for Risk Management I for a quick review of risk management concepts. Without the relevant background you are likely to struggle so familiarity with the shared material is highly recommended.

Advance Risk Management Models – Course Plan

Here is the lesson plan for seven days of classes. The training workshop classes run for 150 minutes every day with homework assignments due for submission the next morning. As course material is documented and available for release the core theme links on this page (below) will be updated.

Advance Risk Management Models – Core Themes and study notes

  1. Fixed Income Value at Risk (VaR) Calculations for fixed rate bonds
  2. Fixed Income Investments Portfolio Optimization Model using Excel Solver
  3. Implied volatility, a simple introduction
  4. Delta Hedging introduction
  5. Delta Hedging European Calls and Put Contracts using Monte Carlo Simulation
  6. Option Greek Crash Course – Delta, Gamma, Vega, Theta & Rho
  7. A review of bank regulation and why it really doesn’t work.
  8. Basic credit analysis and models
  9. Probability of default calculations using the structured (Merton’s) approach
  10. Kill a bank in one day simulation – integrating funding, liquidity, ALM, credit allocation, capital adequacy and probabilty of shortfall.

Course note in the form of html posts are available for free. Downloadable pdf files and excel templates are available for purchase separately from our online store.

 

Related posts:

  1. Fixed Income Investment Portfolio Management & Optimization Case Study – Risk Training
  2. Financial Risk Management Workshop – Value at Risk, Volatility and Trailing correlations – Day One
  3. The Asset Liability and Liquidity Management Training Workshop, Subang Holiday Resort, Kula Lumpur, Malaysia, January 2011.