Finance Theory for Risk Management

Academy
Universität Zürich
Kurzbeschreibung
This course encompasses the most important concepts of the finance theory for risk management, just as the instruments and markets.
Kursort
Zürich
Kursart
Kurs/Seminar
Fachbereiche

Versicherungen, Compliance Management, Banking, Chancen- und Risikomanagement, Finance

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Kursleiter

Benjamin Wilding

Benjamin Wilding Profilfoto
Kursinhalt
  • Introduction: Continuous and discrete compounding, mean, (co)variance, kurtosis, skewness, correlation, efficient market hypothesis, risk aversion, utility theory.
  • Financial instruments: Bonds, futures and forwards, swaps, vanilla options, credit derivatives, caps, floors, and swaptions.
  • Financial markets: Money markets, bond markets, foreign exchange market, stock market, futures market, commodities market, energy market.
  • Portfolio theory and performance measurement: Value-at-Risk concept, efficient frontier, risk-return and performance analysis (Sharpe ratio, Treynor ratio, Jensen Alpha, etc.), capital asset pricing model (CAPM), arbitrage pricing theory (APT), Markowitz' mean-variance principle.
  • Fixed income theory: Term structure, interest rate models, bond pricing.
  • Basic principles of derivatives pricing, no-arbitrage principle, risk-neutral pricing, futures and forwards pricing, put-call parity, binomial trees, Black-Scholes model
Kursziele
Participants know the most important concepts of finance theory for risk management (portfolio theory and performance measurement) and the instruments and markets.
Zielpublikum
The course aims at risk professionals, or those who interface with risk management disciplines on a very regular basis, who want to improve and expand their knowledge in risk management.The course is also suitable for professionals preparing for the PRMIA Certificate.
Anforderungen
Participants have a graduate degree and several years of working experience. A certain level of mathematical knowledge is very beneficial and helpful for successful completion. The course language is English.
Methodik
Classroom
ECTS-Punkte
3
Kursgebühr
CHF 2100
Nächste Durchführungsdaten
  • 18. Oktober 2019-28. Februar 2020 (Zürich)  buchen