Key information

Duration: 5 days
Programme dates:
to
Location:
Address
Imperial College Business School, London, UK
Fees: £5,600

Course overview

Financial Risk Management is an intensive five-day programme that challenges finance professionals to think critically and creatively about risk.

Based in London, the financial capital of the world, our experienced faculty will guide you and your international peers to predict future societal, financial, corporate and environmental risks.

Covering topics including the management of risk in finance, risk measurement, markets and financial instruments, you will learn practical ways to measure and hedge risk in your organisation. The programme blends quantitative research and intelligent risk strategies with practical case studies to broaden participants’ risk management understanding and ability.

Who should attend?

This programme is appropriate for mid to senior-level finance managers looking to expand their knowledge of risk regulation and practice. Solid quantitative skills are required.

Learning outcomes

  • Evaluate risk management frameworks and practices and apply them to industry settings

  • Critically assess risk management reports and research

  • 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

Administrative label
A Complete Course in Risk Management modules

Programme content

Day 1

Introduction to Risk Management – The Big Picture
Robert Kosowski, Associate Professor of Finance at Imperial College Business School

  • 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 - 1
Robert Kosowski, Associate Professor of Finance at 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

Module Outline - 2
Guy Gumbrell, Director at The Domino Partnership

  • 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
Guy Gumbrell, Director at The Domino Partnership

  • 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.

Descriptive Statistics
Paolo Zaffaroni, Professor in Financial Econometrics at Imperial College Business School

  • 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)

  • 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
Robert Kosowski, Associate Professor of Finance at Imperial College Business School

  • 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:
Robert Kosowski, Associate Professor of Finance at Imperial College Business School

  • How to allocate capital across multiple investments

  • How to evaluate and monitor portfolio risks

  • Portfolio Allocation across multiple assets: Risk/return tradeoffs

  • Optimal portfolio allocation: Expected utility maximization, efficient frontier

  • Asset liability management and liability driven investing (LDI)

  • 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
Robert Kosowski, Associate Professor of Finance at Imperial College Business School

  • Bond Pricing

  • Futures and Forwards

  • Options and Swaps

  • Recent developments in OTC and Exchange-traded Derivatives

  • How to manage interest rate risk

Bond pricing and interest rates
Robert Kosowski, Associate Professor of Finance at Imperial College Business School

  • 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.

Introduction to Option and Swap Markets
Robert Kosowski, Associate Professor of Finance at Imperial College Business School

  • 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

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

Day 3

Market Risk Management
Enrico Biffis, Associate Professor of Actuarial Finance at Imperial College Business School

  • Overview of Market Risk Management

  • Risk measures for different asset classes

  • Portfolio Risk Measures

  • Value at Risk (VaR) and Expected Shortfall

  • Analytical VaR Models

  • Decision criteria and preferences for risk

  • Stylized features of asset returns

  • Risk measures: Value at Risk and Expected Shortfall examples

Analytical VaR case studies
Enrico Biffis, Associate Professor of Actuarial Finance at Imperial College Business School

  • 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
Enrico Biffis, Associate Professor of Actuarial Finance at Imperial College Business School

  • Modelling dynamic correlations

  • Market and credit risk co-movement

  • Capital requirements in insurance

Market Risk Management 
Enrico Biffis, Associate Professor of Actuarial Finance at Imperial College Business School

  • Nonparametric VaR Models

  • Monte Carlo VaR Models

  • Modeling complex portfolios

  • Backtesting and stress testing

  • Risk measures beyond market risk

Other approaches to the computation of risk measures
Enrico Biffis, Associate Professor of Actuarial Finance at Imperial College Business School

  • 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
Enrico Biffis, Associate Professor of Actuarial Finance at Imperial College Business School

  • Risk Factors and VaR Approximations

  • Managing risk in derivative portfolios

  • Measuring Concentration and Liquidity Risks

Risk measures beyond market risk case studies
Enrico Biffis, Associate Professor of Actuarial Finance at Imperial College Business School

  • Measuring the economic costs of space weather

  • Reputational risk in micro-finance/insurance programs

Day 4

Credit Risk Management
Damiano Brigo, Chair in Mathematical Finance at Imperial College London

  •  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

  • Defaultable Bonds and Credit Default Swaps (CDS)

  • Market implied default probabilities and recovery rates.

Firm Value Models
Damiano Brigo, Chair in Mathematical Finance at 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

Intensity Models
Damiano Brigo, Chair in Mathematical Finance at 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

Multi-name Products and Models
Damiano Brigo, Chair in Mathematical Finance at 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
Damiano Brigo, Chair in Mathematical Finance at Imperial College London

  • 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
Damiano Brigo, Chair in Mathematical Finance at 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?

  • 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
Raul Rosales, Senior Advisor at Imperial College Business School

  • Regulatory framework Basel III: new business model for capital management

  • Capital management – RegCap approach: Risk Weighted Assets, RWAs optimization

  • 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
Raul Rosales, Senior Advisor at Imperial College Business School

  • Case study of capital management based on current financial regulation

  • 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
Markus Krebsz, Former CRO and current Member of UNECE GRM

  • Operational Risk Management

  • Cybersecurity

  • Culture, governance and compliance

  • Enterprise Risk Management

  • Case studies

  • 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
Jose Ribeiro, Insurance Lead and Guest Lecturer at Imperial College Business School

  • Insurance markets

  • Key risks

  • Risk management

  • Relevance for corporates, banks and asset managers

  • Risk premia in insurance markets

  • Principles of risk management in insurance markets

  • Lloyd’s and the London Insurance market

  • The relevance of insurance risk premia for banks, asset managers and insurance sectors.

  • Trends in insurance markets and risk management

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Programme faculty

Robert Kosowski

Robert Kosowski

Robert Kosowski is Associate Professor of Finance at Imperial College Business School. He is also a research fellow at the Centre for Economic Policy Research and an associate member of the Oxford-Man Institute of Quantitative Finance at Oxford University. Robert is on the editorial board of the Journal of Alternative Investments and a member of AIMA's research committee.

Enrico-Biffis

Enrico Biffis 

Enrico Biffis is Associate Professor of Actuarial Finance at Imperial College Business School. He is a fellow of the Pensions Institute in London, a member of the Munich Risk and Insurance Centre at LMU Munich, and an editor of ASTIN Bulletin – The Journal of the International Actuarial Association.

Markus-Krebsz-380

Markus Krebsz

Markus is a Former CRO and current Member of UNECE GRM with more than 20 years experience in global financial markets and 15 years in risk. He is an Ex-Rating agency analyst and subject matter expert for credit ratings, structured finance and credit risk. His recent work has focussed on regulatory compliance, operational, conduct, systemic risks and cyber security. Markus is a well regarded speaker and author/editor of several books and other technical publications.

Professor Paolo Zaffaroni

Paolo Zaffaroni

Paolo is Professor in Financial Econometrics at Imperial College Business School. He has a Summa Cum Laude degree in Economic Statistics from Roma and holds a PhD in Econometrics from the London School of Economics. He is also teaching at the University of Rome La Sapienza and has previously taught at the London School of Economics and at the University of Cambridge.

Guy Gumbrell

Guy Gumbrell

Guy has 30+ years of experience in organisation and leadership development in multi-cultural contexts and across public, private and government sectors. Guy has held senior positions at various business schools helping clients find the untapped overlap between what brings the individual to work with energy and what the organisation needs from the individual. 

Damiano-Brigo

Damiano Brigo

Professor Damiano Brigo holds the Chair in Mathematical Finance at Imperial College London, where he co-heads the Mathematical Finance research group and is part of the Stochastic Analysis research group. Damiano brings a wealth of experience to the Financial Risk Management programme in areas such as valuation, risk management, credit risk, funding costs, stochastic models for commodities and inflation, among others.

Raúl Rosales

Raúl Rosales

Raúl Rosales is a Research Fellow at the Centre for Climate Finance & Investment at Imperial College Business School and Visiting Lecturer in risk management. He is also a Senior Advisor for Orchard Global Asset Management LLP (OGAM) in London. Raúl focuses on risk-sharing capital solutions (risk-weighted asset optimisation) and speciality lending for corporate borrowers. 

Key information

Duration: 5 days
Programme dates:
to
Location:
Address
Imperial College Business School, London, UK
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
Programme Advisor

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