Investment Risk Analytics - Concepts and Applications
Location: Prague, NH Hotel Prague
Lecturer: Andreas Steiner
Attend this intensive 2-day training and learn to:
Understand best practice 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
Modelling, Quantifying and Managing Investment Risk
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, many of them being reactions to specific issues experienced by investors and investment managers in the Financial Crisis and changes in the investment management industry since then. 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.
Delegates will receive colour printouts of all slides and electronic access to Excel spreadsheets used during the course.
The course is not only for specialists but for a wider audience including investment managers, asset management executives of all levels, institutional investors and research analysts.
This course has been designed for the benefit of:
Quantitative investment analysts
The course assumes a general familiarity with financial markets, instruments and investment portfolios. A basic understanding of statistical and mathematical concepts is an advantage.
09.00 - 09.10 Welcome and Introduction
09.10 - 12.30
The Economics of Risk: MPT
The Philosophy of Risk: Risk & Uncertainty
The Psychology of Risk: Behavioural Finance
Impact of the Financial Crisis
Introduction, Calculations, Interpretations
Portfolio Volatility: Linear & Non-Linear Dependence
Did Diversification Fail?
12.30 - 13.30 Lunch
13.30 - 17.30
Risk Measures beyond Volatility
Risk Measure Classification
Desirable Properties of Risk Measures
Loss-Based Risk Measures
Tail Risk Analysis: Black Swans, Dragons & Extreme Events
Full Distribution Measures
Two group exercises will be solved during the first day
09.00 - 12.30
Topics in Quantitative Risk Analysis
The Riskfree Rate
Dynamic Risk Analysis
The Normal Distribution Assumption
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?
12.30 - 13.30 Lunch
13.30 - 17.30
Stress Testing and Scenario Analysis
Investment Risk Management
The Illusion of Control
Considering other risk aspects
Model Risk Management
Model Risk Management Framework
Review and Conclusions
Four group exercises will be solved during the second day