INTRODUCTION TO INVESTMENT RISK MANAGEMENT
β’ Fundamentals of Risk Management.
β’ Risk Management Frameworks.
o ERM (Enterprise Risk Management).
o ORM (Operational Risk Management).
β’ Regulatory Environment.
o Key Regulations and Standards.
o Impact on Investment Practices.
β’ Case Studies.
FACTOR THEORY AND PORTFOLIO CONSTRUCTION
β’ Understanding Factor Theory.
β’ Factor Models.
β’ Portfolio Construction Techniques.
o Diversification Strategies.
o Asset Allocation Models.
β’ Practical Applications.
PORTFOLIO RISK MEASURES
β’ Key Risk Metrics.
o Standard Deviation and Variance.
o Value at Risk (VaR).
β’ Advanced Risk Measures.
o Conditional VaR (CVaR).
o Beta and Alpha.
β’ Scenario and Stress Testing.
β’ Practical Exercises.
o Calculating and Analyzing Risk Metrics.
o Applying Risk Measures to Portfolios.
RISK BUDGETING
β’ Principles of Risk Budgeting.
o Definition and Importance.
o Allocating Risk Across Portfolios.
β’ Techniques and Tools.
β’ Implementing Risk Budgets.
β’ Case Studies.
RISK MONITORING AND PERFORMANCE MEASUREMENT
β’ Ongoing Risk Monitoring.
o Tools and Techniques.
o Key Risk Indicators (KRIs).
β’ Performance Measurement.
o Metrics and Benchmarks.
o Sharpe Ratio, Information Ratio.
β’ Performance Attribution.
β’ Practical Applications.
PORTFOLIO-BASED PERFORMANCE ANALYSIS
β’ Introduction to Performance Analysis.
β’ Attribution Analysis.
o Return Attribution.
o Risk Attribution.
β’ Benchmarking and Comparison.
β’ Practical Exercises.
HEDGE FUNDS AND RISK MANAGEMENT
β’ Overview of Hedge Funds.
β’ Risk Management in Hedge Funds.
o Identifying and Mitigating Risks.
o Use of Leverage and Derivatives.
β’ Hedge Fund Performance Analysis.
