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