Finance Theory for Risk Management
- Universität Zürich
- This course encompasses the most important concepts of the finance theory for risk management, just as the instruments and markets.
Hier kannst du der Eggheads Community deine Fragen zu diesem Kurs stellen. Auch Kursleiter können mitdiskutieren.
Du must angemeldet sein um zu antworten
- 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
Participants know the most important concepts of finance theory for risk management (portfolio theory and performance measurement) and the instruments and markets.
- 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.
- 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.
- Fr. 2'100.00