Key information

Duration: 5 days
Start date(s):
Location:
Address
Imperial College Business School, London, United Kingdom
Fees: £5,600

Overview

In an uncertain, complex world with increased risks from societal, environmental and operational factors, the role of a future ready Risk Manager is critical for any successful business. Gain confidence and control with this Risk Management course at Imperial College London – situated at the heart of the world’s financial capital. The programme is five intensive days that will challenge you to think creatively about finance and risk; it will compel you to overturn existing patterns; it will ultimately make you and your organisation more competitive and sustainable.

Our experienced team will guide you and your international peers towards the development of financial foresight – enabling the prediction of new societal, financial, corporate and environmental risks. Starting with the management of risk in finance, risk measurement, markets and financial instruments, you will learn practical ways to measure and hedge risk applicable to your organisation, enabling powerful business decision making and an ability to face up to regulatory risk.

Who should attend?

This risk management training is for those seeking to become a more complete Risk Manager. Senior professionals engaged with any aspect of risk management looking to blend technical skills, quantitative research and intelligent risk strategies with newly developed financial intuition to broaden their risk management abilities. Participants will be required to have good quantitative skills.

Benefits

  • Evaluate risk management frameworks and practices in an applied industry setting
  • Critically assess risk management reports and research
  • Identify the limitations and the positive role of risk management in real-life situations
  • Examine changes in risk management practices as a result of paradigm shifts in global banking, insurance and asset management
  • Analyse the mechanism of corporate governance and its critical relationship to and with risk
  • Be able to explain current governance best practices
  • Investigate the catalyst role that regulation currently plays in the markets
Administrative label
A Complete Course in Risk Management modules

Programme content

Day 1

Introduction to Risk Management – The Big Picture

  • A brief history of risk management
  • Risk management – the big picture
  • Simulation of risk management under pressure – Carbon capture lab

This module will provide a big picture overview of risk management and highlight key issues in bank and asset management risk management. It will introduce issues the key risks facing financial services companies and other corporates. The second part of the module will involve a risk management simulation in Imperial’s capture lab. The simulation will make risk management tangible as participants will need to make risk management decisions under pressure, communicate effectively within their team, their company and externally while solving the crisis at hand.

Module Outline:
Session I (Instructor: Robert Kosowski (Imperial College Business School)

  • Back to the Future: the only certainty is “risk” – a brief history
  • “Risk”- integral to Financial institutions’ DNA, but what does it really mean?
  • The main risks affecting financial companies and other corporates
  • People, processes, Operational risk

Session II (Instructor: Guy Gumbrell (Imperial College Business School))

  • Carbon Capture Lab simulation
  • Risk management communication and decision making under pressure
  • What finance can learn from risk management in the energy industry
  • Novel technologies, information asymmetries and risk management

Foundations of Risk Measurement

  • Statistics for Risk: Mean, Variance, Correlation, Skewness
  • Basic rules of probability
  • Probability Distributions Useful for Risk and Financial Models.
  • Linear Regressions and Risk Modeling Fundamentals

This module offers an overview of the essential tools of statistical analysis used in the quantitative analysis of financial instruments and risk management. These tools are all used in downstream modules of the Risk Management course. The mathematical prerequisites are similar to those of a newly admitted MBA student, and prior knowledge of statistics and probability is not assumed.

Module Outline:
Session I (Instructor: Paolo Zaffaroni (Imperial College Business School))
Descriptive Statistics

  • Numerical descriptive measures (measures of central tendency and of dispersion)
  • The empirical rule (the central limit theorem)
  • How to relate two things (covariances and correlations)

Session II (Instructor: Paolo Zaffaroni (Imperial College Business School))

  • Linearly related variables (mean and variance of portfolios)
  • Linear regression model
  • The p.d.f. and the c.d.f., The normal family of distributions
  • Quantiles and Value-at-risk

Day 2

Foundations of Risk Finance Theory 

  • Risk and Risk Aversion
  • Portfolio Theory and Basic Portfolio Mathematics
  • Efficient Frontier
  • Introduction to CAPM
  • Multi-factor models
  • Basic Capital Structure

This module deals with two fundamental problems in finance and risk management:

  • How to allocate capital across multiple investments
  • How to evaluate and monitor portfolio risks

Session I (Instructor: Robert Kosowski (Imperial College Business School)

  • Portfolio Allocation across multiple assets: Risk/return tradeoffs
  • Optimal portfolio allocation: Expected utility maximization, efficient frontier
  • Asset liability management and liability driven investing (LDI)

Session II: (Instructor: Robert Kosowski (Imperial College Business School))

  • Evaluating and monitoring risks
  • The capital asset pricing model (CAPM): A model of risks and expected returns. Performance measures and risk-adjustments. Multi-factor models.

Financial Markets and Instruments 

  • Bond Pricing
  • Futures and Forwards
  • Options and Swaps
  • Recent developments in OTC and Exchange-traded Derivatives

Session I (Instructor: Robert Kosowski (Imperial College Business School))

  • How to management interest rate risk:

Bond pricing and interest rates.

  • Markets and pricing methods
  • Start with the simplest securities: bonds
  • Default-free bonds: Spot rates, coupon bonds, zeros,
  • Yields and yield curves
  • Forward rates, No-arbitrage pricing
    Motivation: bonds and interest rates are the simplest products and are the basis for all derivative pricing. Develop no-arbitrage methods for pricing, which will be extensively used to price more complicated products.

Session II (Instructor: Robert Kosowski (Imperial College Business School))
Introduction to Option and Swap Markets

  • Options contracts and markets, – Option pricing models
  • Swaps: Interest Rate Swaps
  • Case: Expand on ALM in context on Bank One Corp case study and interest rate risk management

Session III (Instructor: Robert Kosowski (Imperial College Business School))

  • How to manage currency risk (forwards, futures, currency and fx swaps)

Day 3

Market Risk Management (1)

  • Overview of Market Risk Management
  • Risk measures for different asset classes
  • Portfolio Risk Measures
  • Value at Risk (VaR) and Expected Shortfall
  • Analytical VaR Models

Session I (Instructor: Enrico Biffis (Imperial College Business School))

Overview

  • Decision criteria and preferences for risk
  • Stylized features of asset returns
  • Risk measures: Value at Risk and Expected Shortfall examples

Analytical VaR case studies

  • Modeling the conditional distribution
  • Portfolio VaR limits
  • Risk limits in the carbon capture lab
  • Re-set provisions in agricultural insurance programs

Portfolio VaR case studies

  • Modelling dynamic correlations
  • Market and credit risk co-movement
  • Capital requirements in insurance

Market Risk Management (2)

  • Nonparametric VaR Models
  • Monte Carlo VaR Models
  • Modeling complex portfolios
  • Backtesting and stress testing
  • Risk measures beyond market risk

Session I (Instructor: Enrico Biffis (Imperial College Business School))

Other approaches to computation of risk measures

  • Standard, weighted, and filtered Historical Simulation
  • Monte Carlo simulation
  • Scenario analysis and stress testing
  • Modeling a “perfect storm” in asset management

Risk management of complex portfolios

  • Risk Factors and VaR Approximations
  • Managing risk in derivative portfolios
  • Measuring Concentration and Liquidity Risks

Risk measures beyond market risk case studies

  • Measuring the economic costs of space weather
  • Reputational risk in micro-finance/insurance programs

Day 4

Credit Risk Management

  •  Single name Credit products: Bonds, CDS
  • Market implied default probabilities and correlations
  • Firm Value Models: Merton, Black Cox and AT1P models.
  • Case study of Calibration on Lehman Brothers CDS with firm value models
  • Intensity Models: Constant, time inhomogeneous and stochastic spreads
  • Case study of Calibration of Lehman with intensity models
  • Multi-name credit products: Default Baskets and CDOs
  • Correlation and Dynamic loss models
  • CDOs and the credit crisis of 2007-2008

Session I – Single name Credit Risk Instruments (Instructor: Damiano Brigo (Imperial College London))

  • Defaultable Bonds and Credit Default Swaps (CDS)
  • Market implied default probabilities and recovery rates.

Session II – Firm Value Models (Instructor: Damiano Brigo (Imperial College London))

  • Merton Model and Black Cox Model.
  • AT1P model and Bond/CDS Calibration
  • Case study with Lehman Brothers CDS in 2007-2008
  • Extension to random default barrier and fraud risk

Session III – Intensity Models (Instructor: Damiano Brigo (Imperial College London))

  • Intensity as local default probability or credit spread
  • Analogies between survival probabilities and bonds
  • Constant, time-varying or stochastic credit spreads
  • The JCIR++ model and CDS calibration
  • Case study with Lehman Brothers CDS in 2007-2008

Session III – Multi-name Products and Models (Instructor: Damiano Brigo (Imperial College London))

  • Default Baskets, Credit Indices and CDOs. iTraxx and CDX pools.
  • Hints at Copula models, implied correlation and dynamic loss models
  • CDOs and the credit crisis 2007-2008. Where now?

Counter-Party and Funding Risk

  • Credit valuation adjustments (CVA)
  • Debt valuation adjustments (DVA)
  • New Regulatory requirements in CVA and centralized counter-parties
  • Re-hypothecation and closeout rules
  • Funding Valuation Adjustment
  • Lehman Brothers Case Study
  • Hedging Counterparty risk
  • Hints at Capital Valuation Adjustment

Counterparty and Funding Risk

Session I (Instructor: Damiano Brigo (Imperial College London))

  • Introduce CVA, DVA, FVA, KVA and XVA
  • A consistent and comprehensive framework for counterparty credit and funding risk
  • Credit valuation adjustments (CVA), Incorporating CVA into Pricing
  • Debit Valuation Adjustment (DVA) and regulatory conflict. DVA as funding benefit?
  • Closeout. First to default risk. Payout risk for CVA/DVA.
  • Value at Risk of CVA?

Session II (Instructor: Damiano Brigo (Imperial College London))

  • CVA for interest rate swaps, commodities, credit and equity products
  • Hints at Funding valuation Adjustments and global valuation problems
  • Funding as aggregation dependent and nonlinear. No “law of one price”
  • Capital valuation adjustment (KVA)
  • Toward XVA
  • Lessons from Historical Case Studies: Lehman Brothers and other examples
  • Implementation of counter-party and funding risk: Hedging counterparty Risk

Day 5

Capital Management

  • Regulatory framework Basel III: new business model for capital management
  • Capital management – RegCap approach: Risk Weighted Assets, RWAs optimization

Session I (Instructor: Raul Rosales (Imperial College Business School))

  • Big picture of the regulatory framework for financial institutions, Banks, that is required to understand capital assessment from the regulator perspective,
  • Introduction of capital quantification and capital management from the regulator requirements – Risk Weighted Assets (RWAs)

Capital Management and Synthetic Securitization

  • Case study of capital management based on current financial regulation

Session II (Instructor: Raul Rosales (Imperial College Business School))

  • Case study of capital management from the perspective of RWAs Optimization, a regulatory capital relief structured through a synthetic securitization.

Operational Risk Management and ERM

  • Operational Risk Management
  • Cybersecurity
  • Culture, governance and compliance
  • Enterprise Risk Management
  • Case studies

Session I (Instructor: Markus Krebsz (Former CRO and current Member of UNECE GRM))

  • Thinking outside the risk (silo) box
  • ERM & Stress testing/Scenario modelling
  • Visualizing, forecasting and predicting risk
  • New kids on the ERM risk block:
    o People & Conduct risk
    o Cybersecurity

Risk Management and Insurance Markets

  • Insurance markets
  • Key risks
  • Risk management
  • Relevance for corporates, banks and asset managers

Session II (Instructor: Jose Ribeiro, Mondego Developments LLC)

  • Risk premia in insurance markets
  • Principles of risk management in insurance markets
  • Lloyd’s and the London Insurance market
  • Relevance of insurance risk premia for banks, asset managers and insurance sectors.
  • Trends in insurance markets and risk management
Comprehensive and engaging, A Complete Course in Risk Management addresses the key concepts, processes and tools underlying risk management and lays out how to manage a highly complex issue.
Head of Process Engineering
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The course provides an in depth look into the mechanics of risk calculations and was run by some of the most interested, interesting and informative people I have had the pleasure to meet.
Associate Director
Moody’s Analytics
Moody’s Analytics
The overall experience of Imperial College and A Complete Course in Risk Management was unforgettable. I was hoping for something a little different but I got a lot more, even a change in a career

Business Relations Manager
Business Relations Manager

Key information

Duration: 5 days
Start date(s):
Location:
Address
Imperial College Business School, London, United Kingdom
Fees: £5,600
Administrative label
A Complete Course in Risk Management cta
Administrative label
A Complete Course in Risk Management apply

Only at Imperial

Effective risk management requires you to calculate risk and communicate your conclusions efficiently across the business. Unique to Imperial is our Carbon Capture Lab, an immersive experience which tests your decision making ability under pressure. By learning and experimenting in these conditions you’ll acquire the skills to assess, negotiate, communicate and take action in demanding circumstances.

Read more about the Carbon Capture Lab

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Jose Rosario
José Rosário
Director of Business Development, Open Programmes