Course Syllabus

Module I: Risk Framework

Aims to provide a holistic view of integrated risk management that is globally relevant. The course will introduce to modern risk metrics and its evident limitations, as well as an appreciation for the importance of low-probability high-impact events and correlation spikes, discuss practical alternatives to create effective, efficient and robust risk-transfer structures, and analyze issues related to the implementation of risk management systems and compliance with key regulatory requirements in risk-sensitive industries. Finally all of these issues will be placed in a conceptual framework which forms the backbone of the program as a whole.

Macro-Sovereign Framework

This course will cover sovereign risk and issues in country risk assessment. Topics include macroeconomic drivers of exchange rate volatilities, sources of macroeconomic internal and external disequilibrium, sovereign risk calibration and building sovereign risk dimensions into exposure portfolios.

Corporate Finance

This course builds the analytical framework to value a business and introduces concepts of optimal capital structure, risk and return, leverage and cost of capital. In addition, the course addresses how financial decisions affect value and to provide analytical tools necessary for sound financial decision-making.

Concepts in Risk Management 1: Statistical Models

This course will introduce and discuss statistical concepts and models that are of use in Quantitative Risk Management. We will start with basic ideas from probability theory such as probability distributions, expected values, higher moments, skewness and kurtosis and then cover more advanced topics such as non-linear models, non-normal distributions, tail index estimation, etc.

Module II Audit & Corporate Governance

This course focus on risks faced by both external auditors and internal audiotrs. With a special focus on internal control frameworks and metrics in preventing, detecting and correcting potential risks and irregularities.

The course also examines the role of corporations, investors, intermediaries and regulators in the events that preceded and followed the build-up and bursting of the financial bubble and considers key dimensions of corporate governance. The concepts will be illustrated through recent and classic case studies of situations of financial scandals.

Operational Risk in Banking and Finance

The objective of this course is to discuss Operational Risk in a more applied manner; the goal is that the participants will be able to get acquainted with concepts and ideas that are useful in their dealings with Operational Risk on a day-to-day basis in their groups or in their departments.

Risk Management in Global Corporate Finance

The goal of this session is to understand the international dimension of risk and develop a framework to quantify it. We will consider how firms should hedge risk from a broad strategic perspective and zoom on currency risk and, in particular, transaction, translation and economic exposure. We will study when it makes sense to hedge financially and what types of contracts to consider. We then will go in detail how the link between currency risk and international financing, comparing domestic issues versus international issues, and hedged structures versus non-hedged alternatives. The different ways of hedging the currency exposure embedded in the bonds will be discussed.

Module III IT risks

IS Audit Process

Develop and implement a risk-based IS audit strategy for the organization in compliance with IS audit standards, guidelines and best practices.

Plan specific audits to ensure that IT and business systems are protected and controlled.

Conduct audits in accordance with IS audit standards, guidelines and best practices to meet planned audit objectives.

Communicate emerging issues, potential risks, and audit results to key stakeholders.

Advise on the implementation of risk management and control practices within the organization while maintaining independence.

Advise on the implementation of risk management and control practices within the organization, while maintaining independence.

IT Governance

Evaluate the effectiveness of IT governance structure to ensure adequate board control over the decisions, directions, and performance of IT so that it supports the organization’s strategies and objectives.

Evaluate IT organizational structure and human resources (personnel) management to ensure that they support the organization’s strategies and objectives.

Evaluate the IT strategy and the process for its development, approval, implementation, and maintenance to ensure that it supports the organization’s strategies and objectives.

Evaluate the organization’s IT policies, standards, and procedures; and the processes for their development, approval, implementation, and maintenance to ensure that they support the IT strategy and comply with regulatory and legal requirements.

Evaluate management practices to ensure compliance with the organization’s IT strategy, policies, standards, and procedures.

Evaluate IT resource investment, use, and allocation practices to ensure alignment with the organization’s strategies and objectives.

Evaluate IT contracting strategies and policies, and contract management practices to ensure that they support the organization’s strategies and objectives.

Evaluate risk management practices to ensure that the organization’s IT related risks are properly managed.

Evaluate monitoring and assurance practices to ensure that the board and executive management receive sufficient and timely information about IT performance.

Systems and Infrastructure Lifecycle Management

Evaluate the business case for the proposed system development/acquisition to ensure that it meets the organization’s business goals.

Evaluate the project management framework and project governance practices to ensure that business objectives are achieved in a cost-effective manner while managing risks to the organization.

Perform reviews to ensure that a project is progressing in accordance with project plans, is adequately supported by documentation and status reporting is accurate.

Evaluate proposed control mechanisms for systems and/or infrastructure during specification, development/acquisition, and testing to ensure that they will provide safeguards and comply with the organization’s policies and other requirements.

Evaluate the processes by which systems and/or infrastructure are developed/acquired and tested to ensure that the deliverables meet the organization’s objectives.

Evaluate the readiness of the system and/or infrastructure for implementation and migration into production.

Module IV Financial Risks

The first part of this course covers the basics of derivative securities. The goal is to understand how the most important derivative contracts, specifically forwards, futures, swaps and options work, how they are used for hedging and speculation by investors as diverse as corporates, asset managers and institutions, and how the pricing of these contracts works.

The second part of this course covers the theoretical concepts behind risk analytics and their practical use in the fund management industry. After a review of the theoretical and statistical concepts underlying portfolio management, the focus will be on risk analytics, tracking error ex-ante and ex-post, as well as tracking error decomposition and its usefulness in active portfolio management.

Behavioral Finance: Application to Risk

This course examines the behavioral issues in finance. Psychologically induced mistakes can be expensive. To illustrate this point, the course addresses whether psychological pitfalls lie at the root of two recent major events, the global financial crisis that erupted in 2008 and the oil spill in the Gulf of Mexico in 2010. The broad issue in this portion of the discussion is the role of risk management in preventing major disasters.

Credit Risk Management and Credit Derivatives

The objective of the course is to provide an introduction as well as an in-depth understanding of issues in credit risk, concepts behind its modeling and analysis of credit related instruments such as default-prone debt of credit derivatives. The objective is also to provide an understanding of how and why these products played such a critical role in the ongoing crisis. We will also understand the new financial sector reforms and their direct or indirect impact on credit derivatives, and credit markets in general, going forward.

The course will include analysis of the Basel II Model, the implications of the standardized and internal ratings based (IRB) approaches and issues relating to their implementation. New models and approaches will be analyzed including KMV, Creditmetrics, and so-called reduced-forms credit risk measurement models.

Topics in Volatility

The most fascinating aspect of financial market prices is their volatility. The course will talk about how to measure and forecast financial volatility, ARCH/GARCH models, exponential smoothing and historical volatilities. These tools will be used to measure risk and analyze alternative approaches to calculating Value at Risk. Implied volatilities from options will be introduced and compared statistically and economically. Then the course will turn to the multi-asset problem and discuss traditional and new approaches to measuring and forecasting correlations. These tools will be applied to the problem of dynamic portfolio selection and risk control.

Risk and Structured Finance

The goal of this course is to understand how structured financing techniques can be understood and managed. The focus is on securitization, one of the core techniques of the global capital markets. Participants will develop a checklist of the key criteria in a structured finance deal, to consider when analyzing a proposal, so as to grasp the main strengths and risks of each structure after an initial rapid analysis.

Bankruptcy and Reorganization

This course contains an in-depth study of practical and theoretical financial aspects and implications of corporate bankruptcy, credit analysis and leveraged and distressed restructuring.

Part of this course deals with financial distress prediction using statistical models. However, the most important perspective is on valuation and analysis of distressed firms and their outstanding securities, primarily bonds and bank loans. As a complement to the investment aspects of the course, we also pursue the financial and operating restructuring of ailing firms.

Market Risk, VaR Modeling and RAROC

This course will provide the analytical and practical tools necessary to manage market risks. We start by covering the regulatory requirements of Basel II with respect to market risk. Then continue with analyzing basic tools to measure market risk including Value at Risk (VaR), RAROC (Risk-Adjusted Return on Capital), sensitivity tests, scenario analysis, stress testing and back-testing of the models.

The course also deals with the strategic issues of hedging policy including discussions of the hedging impact of non-tradable risks, and linkages between different types of risk.

Module V Insurance

Requires program participants to build on their own professional experience and their exposure to the academic content of the program to create a meaningful project that demonstrates their ability to take an integrated view of risk management in global finance. This could take a number of forms:

Global financial implications of a specific risk management technique, instrument or market.

Impact of risk management on the competitive positioning and strategic execution of firms (or a particular firm) in global financial markets and particular market segments.

An in-house project to examine a key risk management issue of interest to that firm.

Assessment of probable future directions in the development of specific instruments, techniques or markets associated with risk management.


Systemic risk and the development of hedge funds.

Risk aspects of LBOs and other private equity transactions.

Forensics of the sub-prime crisis – what went wrong?

Use of event studies in the pricing or reputational risk.

Distressed debt dynamics in Europe.