Course Background

This two day course will take participants through the following:

Different types of investment risk: Market and Specific

Beta risk – uses and abuses

Analyse, quantify and decompose the risk of an individual stock

Analyse, quantify and decompose the risk of a portfolio

Active risk and active risk budgeting

Demonstrate the use of risk budgeting

Allocating the risk budget

Spending the risk budget

Monitor/rebalance of portfolio for risk management purposes

Identify types of investment risk, impact on investment return and mitigation of risks

Features of effective risk management process and risk governance

Identify strengths and weaknesses of a risk management process

Describe methods for measuring and modify risk management process

Compare the analytical (variance–covariance), historical and Monte Carlo methods for estimating VaR

Investment performance and risk analysis techniques

Risk-adjusted performance ratios – Sharpe, Information, Treynor, Jensen, Sortino Ratios

VaR, Tracking Error, Downside Deviation, Shortfall Risk and Probability

Integrating risk into the investment process

Defining acceptable risk levels

Asset-liability risk and risk budgeting