Investment-, Portfolio- and Risk- Management

Course description


In the first part of this course, participants get insights into the world of derivatives pricing. Numerical methods are applied to price financial options and swaps. We also cover the basics of modern financial markets and portfolio theory proposed Markowitz in the second part. Participants learn how to optimize their portfolio and evaluate its performance calculating commonly used performance measures. The third part of this course covers the dynamics of credit risk. We introduce common credit scoring models and important key variables to determine the probability of default of several market players. We dive deeper into a class of risk measures like the value at risk or the expected shortfall to examine the risk of a market portfolio.

 

Program Takeaways


Derivatives pricing (e.g. options, swaps)

Portfolio theory, optimization and performance measures

Dynamics of credit risks

Risk measures (e.g. VaR, Expected shortfall)

 

Tools


  Microsoft Excel/VBA

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