Module 2: Market Risk Management Tools and Practices
Risk management tools
Index futures
Equity swaps
Options
Portfolio stress testing
Module 3: Credit Risk Management
Structural models of credit risk
Reduced form models of credit risk
Modelling default dependence
Credit value at risk
Module 4: Risk Budgeting
Objectives of risk budgeting
Marginal risk and contributions to portfolio risk
Risk allocation and attribution
Module 5: Risk Management and Control Structures
Risk assessment vs. risk management
Exposure and loss limits
Risk monitoring best practices
Desk-Ready Skills
Compute a variety of risk measures for investment portfolios
Learn how to use derivatives as risk management tools in investment portfolios
Understand the risk and return characteristics of a number of investment strategies
Develop a deep understanding of risk management techniques appropriate for alternative asset classes
Understand the implications of liquidity risk for investment portfolios
This course is best suited for candidates working in portfolio management or for those with a solid background in finance looking to transition into a portfolio management role.
Prerequisite knowledge:
Some familiarity with equity, fixed income and alternative asset classes
Fixed income mathematics
Knowledge of portfolio theoretic concepts including mean-variance measures, portfolio diversification, systematic risk
Intermediate MS Excel skills (data tables, lookup functions, solver, etc.)
Knowledge of elementary calculus, probability theory and statistical methods
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
