Page 14 - Katalog seminářů MONECO Financial Training

INVESTMENT RISK ANALYTICS – CONCEPTS AND APPLICATIONS
TERMÍN: 27. – 28. 5. 2024 • ÚÈASTNICKÝ POPLATEK: 35 500 Kè prezenèní, 26 625 Kè online • MÍSTO: Praha a online

Key points / questions answered:

 Best practice in risk analytics: Gaining an overview Course background:
of modern concepts in quantitative investment risk In this intense two-day course, participants will gain a deeper
understanding for the traditional investment risk concepts
management. used in investment management and extensions introduced
in recent years. The concepts presented were selected
 Applications of insights: Transfer concepts and
with regard to application and implementation in real-world
models to practical problems in investment risk investment processes. We believe that investment risk modelling,
management measurement and management are not art for art’s sake, but
tools for investors and investment management professionals.
 Interaction with peers: gain additional insights from
Participants will also receive all spreadsheet examples discussed
the discussions between participants and lecturer during the course, which be used as a basis for developing
and discussions that will emerge during the group customized in-house models. As most delegates will be
„investment risk practitioners“ with diverse backgrounds, a lively
exercises
exchange of ideas and experiences is guaranteed.
 Communication of Quantitative Analysis: a major Target audience:
emphasis is developing a qualitative understanding This course has been designed for the benefi t of:
Research analysts
of the quantitative concepts in order to improve
Porƞ olio managers
the communication with the non-quantitative Risk managers
stakeholders in the investment risk management Fund analysts
process Financial Economists
QuanƟ taƟ ve investment analysts

15
15
MONDAY, MAY 27 – Value-At-Risk 12 –13
00
09 –09 10 – Conditional Value-At-Risk Lunch
15
Welcome – Drawdown Risk 13 –17 00
10
09 –12 15 • Tail Risk Analysis: Black Swans, Stress Testing and Scenario Analysis
Introduction Dragons & Extreme Events • Scenario Analysis
• The Economics of Risk: MPT • Contagion • Stress Testing
• The Philosophy of Risk: • Full Distribution Measures • Manipulating Correlations
Risk & Uncertainty – Omega
• The Psychology of Risk: Behavioural – Stochastic Dominance Investment Risk Management
Finance Two group exercises will be solved • Design Principles
• Observations in the Financial Crisis during the fi rst day • The Illusion of Control
2008 and Coronavirus Pandemic • Risk Monitoring
2020 TUESDAY, MAY 28 • Considering other risk aspects
00
09 –12 15 – Counterparty risk
Volatility Topics in Quantitative Risk Analysis – Liquidity risk
• Introduction, Calculations, • The Riskfree Rate – Model Risk
Interpretations • Dynamic Risk Analysis
Review and Conclusions
• Portfolio Volatility: Linear & Non- • The Normal Distribution Assumption
Linear Dependence • Outliers Two group exercises will be solved
• Did Diversifi cation Fail? • Non-Normal Distributions during the second day
• Contribution Analysis • Historical, Parametric, Monte Carlo
• Tracking Error Approaches
• Factor Models • Introduction to Copulas
• Limitations
Integration of Performance and
15
15
12 –13 Risk Analysis
Lunch • Brinson Risk Attributions
15
13 –17 00 • Integrated Risk and Return Attribution
Risk Measures beyond Volatility Analysis
• Risk Measure Classifi cation • Risk-Adjusted Performance
• Desirable Properties of Risk Attribution?
Measures
• Loss-Based Risk Measures
– Semi-Variance
– Partial Moments
14 Hybridní semináø - k dispozici jak prezenèní, tak online školení.