In the banking and insurance industries, junior & senior financial analysts, and executives, need understanding of the modern methods of financial risk management. This course is an ideal introduction and review of financial risk management from a quantitative (how to compute it!) perspective. It is meant for prospective (quantitative) financial analysts in industry and for those experienced analysts in need of a review and possibly more breadth. It is expected the student taking this course will have a solid background in the mathematical sciences (e.g., an undergraduate degree in the mathematical sciences) but a specific background in computational finance or risk management is not required.
On successful completion the student will have been exposed, in a very hands-on way, to the breadth of topics and methodologies used in financial risk management. Moreover, there is a good review of some of the basic mathematics that underlies modern risk management techniques. The successful student will be well-prepared to dig deeper into many of the branches of (quantitative) financial risk management. Moreover the successful student will acquire excellent background knowledge (and more!) to prepare for several of the professional risk management exams such as The Professional Risk Manager (PRM™) and The Financial Risk Manager (FRM®) designation.
There are 20 modules in this course – each has hands-on exercises for the student to test out their understanding of the material. Brief descriptions of the modules follow below. The modules begin with review and coverage of some of the basic mathematical tools used in quantitative risk management and continue with coverage of the basic methods of bond pricing, derivatives, portfolio management, and risk management. More advanced materials follow including material on economic capital, liquidity risk and stress testing. We conclude with a case study.
The instructors of this course are well-known experts, instructors, and researchers in quantitative risk management, all associated with the Waterloo Research Institute in Insurance, Securities, and Quantitative Finance (WatRISQ) at the University of Waterloo.