The awareness, understanding, quantification and management of risk have become vital over the last years. Especially the financial crisis has emphasized the importance to be aware and understand risk types and corresponding exposures to guarantee stable financial institutions and corporations, and a robust financial system.
Based on a longtime experience, Goethe Business School therefore offers a series of courses in financial risk management. These courses cover the latest developments in market risk, credit risk, and operational risk, and also provide for the necessary foundations in quantitative methods, fixed-income mathematics, regulation, and accounting.
GBS offers two courses in the field of financial risk management as customized corporate programs: "The Basics of Financial Risk Management" and "An Advanced Understanding of Financial Risk Management". The course length of these two programs offered by GBS can be adjusted based on the training requirements of the company.
The Basics of Financial Risk Management
This 3-day course is ideally suited for a first time exposure to financial risk management and does not require participants to have prior knowledge in risk management.
This course introduces the basic concepts, methods and products to understand and measure financial risk.
The course starts with an introduction to the foundations of risk management including standard financial models and also explains measures to determine financial performance and relate it to risk.
After this introduction the course focuses on financial markets and products in detail and discusses specific products intensely used in practice to limit and manage risk. More specifically, financial products are related to several risk concepts such as hedging, speculation, arbitrage and pricing.
The final part of the course focuses on valuation and risk models and introduces participants to important risk management concepts and measurement techniques.
The Foundations of Risk Management
- Why is risk management needed?
- Investors and risk management
- Capital asset pricing model vs. arbitrage pricing theory
- Performance measures and measurement
- Potential failures in risk management
Financial Markets and Financial Products
- Foreign exchange risk
- Forwards & futures in a “risk neutral” – world
- The “basis” and hedge ratio
- Options (boundaries, american vs. european, put-call parity, strategies, pricing and risk)
- Demand and supply of options
- Counterparty risk
- Rating agencies
Valuation and Specific Risk Models and Concepts
- Risk management strategies
- Value at risk (history, foundations, methods and models for VaR calculation, simulation procedures, backtesting, limitations)
- Backtesting and value at risk accuracy
- Ratings (corporate and sovereign ratings, scoring models, portfolio risk)
- Stress testing and scenario analysis
An Advanced Understanding of Financial Risk Management
This 3-day course is ideally suited for an in-depth overview on financial risk management and recommends participants to have some prior knowledge in risk management. Ideally, participants are interested in refreshing and/or further developing their knowledge in risk management and/or have attended our course “The Basics of Financial Risk Management”.
This course discusses most important concepts and methods to understand and measure financial risk.
The course starts with the measurement and management of market risk and credit risk on the single claim as well as on the portfolio level.
In the following, financial investments are related to risk management including also complex structures and portfolios.
The final part of the course discusses current issues and topics in modern risk management.
The measurement and management of market risk
- Fixed income securities (analysis, single factor approaches, key-rate and bucket exposures, term structure models)
- Mortgage-backed securities (mortgages, prepayment risk, MBS bonds – refinancing)
- Advanced market risk management (value at risk: VaR mapping and backtesting, expected shortfall, extreme values and copulas)
- Advanced options (exotic options, volatility smiles)
The measurement and management of credit risk
- Single claim risk (probability of default, exposure at default, loss severity, loss distribution, credit risk mitigation, counterparty risk)
- Credit portfolio risk (correlation, credit portfolio loss moments and distribution, industry models, concentration risk)
- Pricing credit instruments (RAROC, risk-neutral pricing, credit value adjustment)
- Credit derivatives and structured finance (e.g., credit default swaps, total return swaps, credit spread options, credit linked notes, asset backed structures)
Financial investments and risk management
- Portfolio management and performance measurement
- Value-at-risk measures and beyond
- Hedge funds (characteristics and performance properties, strategies, risk management of hedge funds)
- Private equity
Dr. Björn Imbierowicz is the Academic Director of the FRM program at Goethe Business School and Assistant Professor at the department of finance at Copenhagen Business School.
Dr. Imbierowicz’ research focuses on financial intermediation, banking, default risk, risk management and asset pricing.
Goethe Business School has built an outstanding network at the interface between academia and the business community. The enables Academic Directors of GBS to draw on a large pool of lecturers consisting of academic leaders as well as top-profile risk management practitioners.
Dr. Thomas Ridder
Dr. Ridder is Head of Credit Portfolio Management Advisory services at DZ BANK, Frankfurt. He is with DZ BANK since 1994 when he joined the Capital Markets Research Team, followed by positions in Credit Risk Control and Credit Portfolio Management. Dr. Ridder holds a diploma degree in Economics and a PhD in Statistics from Mannheim University. He is FRM lecturer since 2005 and author of several articles regarding Financial Risk Management.