SFRA Knowledge Transfer Programme - Training For Risk Management Professionals

Quantitative Methods for Enterprise Risk Management

The SFRA delivered a 6-week early-evening CPD course for risk management professionals in Autumn 2012. Taught by Prof Alexander McNeil, Prof Andrew Cairns and Dr Catherine Donnelly, the course comprised 6 lectures emphasising the technical foundations of the ST9 syllabus of the Actuarial Profession and the PRMIA PRM syllabus.

A copy of the course syllabus may be downloaded here. Please also review the Course Leader biographies here.

Enquiries for 2012 are now being taken.

Some Reasons to Attend

• Rigorous and intensive course delivered by experienced academics
  
• Course content aligned to technical foundations of the ERM syllabus of the Actuarial Profession (ST9 syllabus)
  
• Course content highly relevant for professionals studying for the PRMIA PRM qualification
  
• A valuable CPD opportunity
  

Who Should Attend?

The course is designed to meet the needs of those seeking to fast track their personal/professional development through a series of evening training lectures. The course addresses topics relevant to professionals working in enterprise risk management roles in banks, insurance companies, asset management companies and consultancies.

Reserve Your Place Now

Please email Noreen ODonnell or call 0131 451 8082

Training Course Overview

The SFRA Quantitative Methods training course is a series of 6 lectures, comprising 15 hours of study in total.

The Programme

• Lecture 1 - Introduction to Enterprise Risk Management
  
• - What is ERM and why is it worthwhile
  - Risk taxonomy and stakeholders
  - Risk management control cycle
  - Corporate governance and culture
  - Risk appetite
  - Risk management and optimisation
  

• Lecture 2 - Principles of Risk Measurement
  
• - Balance sheets and value
  - Notions of capital: equity, regulatory, economic
  - Changes of value and losses
  - Mapping of risks to risk factors with examples
  - Risk measures based on loss distributions: VaR, TVaR, Expected shortfall
  - Scenario and stress test risk measures
  - Properties of risk measures: coherence, convexity
  

• Lecture 3 - Market Risk Methodology
  
• - Analysis of financial time series
  - Univariate distributions
  - Stochastic volatility and GARCH models
  - Extreme value theory
  - Graphical diagnostics
  - Model and parameter risk
  

• Lecture 4 - Credit Risk Methodology
  
• - Introduction to credit risk
  - Structural/ firm value models
  - Merton's model
  - Ratings-based models
  - Industry models: KMV-Moodys, CreditMetrics
  - Credit spreads
  - Default dependence in credit portfolios
  - Large portfolio theory and Basel II standard formula
  - CDS
  

• Lecture 5 - Multivariate Risk Models
  
• - Multivariate distributions
  - Normal mixtures
  - Elliptical distributions
  - Copulas
  - Correlation
  - Dependence measures
  - Tail/extremal dependence
  

Lecture 6 - Risk Aggregation and Capital Allocation

• - Correlation-based formula for risk aggregation (as used in Solvency II)
  - Principles-based aggregation
  - Aggregation for linear portfolios and elliptical distributions
  - Aggregation based on copulas
  - Aggregation based on economic scenarios
  - Stress testing
  - Capital allocation and Euler principle
  - Return on risk-adjusted capital
  

Prerequisites

To benefit from the course, participants should have either a first degree or a postgraduate qualification in a numerate discipline. This could include a number of disciplines: actuarial science, mathematics, financial mathematics, statistics, operations research, quantitative economics, physics, engineering etc.

Terms and Conditions of Training Course

Review our terms and conditions here.