Investment-, Portfolio- and Risk- Management

Course description


In the first part of this course, participants gain insight into the world of derivatives pricing. Here, numerical methods are applied to the pricing of financial options and swaps. In the second part, we cover the basics of modern financial markets and portfolio theory proposed by Markowitz. Participants learn how to optimize their portfolio and evaluate its performance by applying commonly used performance measures. Finally, the third part of this course covers the dynamics of credit risk. We introduce common credit scoring models, as well as key variables to determine the probability of default of several market players. We then 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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