This course is a rigorous review of the complete market risk reporting cycle: from risk model selection to data aggregation and model calibration to risk computation and ultimately risk reporting.
Module 4: Measuring Market Risk with Historical Data
Collecting data to model the behavior of risk factors
Determining the loss distribution
Dollar P/L vs. returns
Computing risk measure estimates
Confidence intervals for risk measure estimates
Techniques to improve accuracy of risk estimates
Volatility updating: EWMA and GARCH
Bootstrapping the sample data
Module 5: Model Based approaches to Market Risk
Single risk factor models
Modeling the joint behavior of multiple risk factors
Portfolio risk measures
Techniques to reduce complexity / dimensionality
Extreme Value techniques
Desk-Ready Skills
Understand the issues and tradeoffs associated with building market risk models.
Be able to generate realistic, but ‘scaled down’ market risk reports.
Be able to clearly communicate the implications of the risk metrics in the report to ‘non-technical’ audiences.
Risk managers, risk analysts, treasury analysts, regulators, auditors and controllers
Jack Farmer
Jack is currently the Curriculum Director for the New York Institute of Finance. Farmer also acts as an outside adviser for portfolio managers at significant global investment funds. These funds included emerging markets equity funds and global macro hedge funds. Jack serves a variety of functions for the funds he advises, including the development of options strategies, quantitative strategies, and hedging strategies. Additionally, Jack specializes in capitalizing on systemic and macroeconomic imbalances in equity and fixed income markets throughout the world.
Jack specializes in training and consulting solutions for portfolio risk management, FX and interest rate derivatives and trading, equity index and volatility trading, equity derivatives and structured equity products, financial statement analysis and hedge accounting.
Education
BS in Engineering from Tulane University MBA in Finance and Accounting from Tulane University Ph.D. in Finance (ABD) from the University of Texas at Austin
