Rethinking Investment Risk Management

Risk management is one of the core capabilities of any successful investment manager. Successful risk management supports portfolio managers to actively take risks, help mitigate the impact of any loss stemming from risks that materialize, and avoid unintended risks. In addition, investment risk management needs to be targeted towards all stakeholders, from portfolio managers, to senior management, regulators, and clients. In this course you will learn tools and techniques that will allow you to design successful risk management approaches supporting your investment solutions in delivering upon their promises. This course goes far beyond teaching quantitative risk modeling techniques. It offers you a broad business perspective. At the end of the course you will be able to review your investment risk management capabilities such that they will have a lasting impact on the success of your organization.

COURSE OUTLINE

Understanding the Role of Investment Risk Management

  • Controlling the consistent implementation of the investment process
  • Mitigating the impact of losses stemming from materializing risks
  • Supporting the investment performance generation by aligning risk management and investment philosophy

Stakeholder Communication at its Best

  • Tailoring investment risk management to the stakeholder needs
  • Finding the right balance in timeliness, frequency, and content regarding communication

Planning for the Unexpected

  • Understanding the importance of processes and governance
  • Avoiding hustle when the unexpected occurs

Building and Testing Investment Risk Models

  • Applying a systematic and holistic investment risk model building framework
  • Testing robustness and modeling assumption
  • Overcoming challenges in back-testing risk models

Modeling Investment Risk

  • Probability distribution based approaches
  • Factor models
  • Process methods
  • Extreme value theory

The Never Ending Story of Parameter Estimation

  • Assuring data quality
  • Handling missing data
  • Understanding the features of different parameter estimation algorithms

RECOMMENDED FOR

  • Portfolio managers
  • Investment strategists
  • Investment committee members
  • Investment risk managers
  • Investment controllers
  • Product specialists and product managers
  • Investment consultants
  • Senior managers with interest and / or responsibilities in investment risk management

PARTICIPANT VALUE

Applying the learned theoretical knowledge and hands-on examples will allow you to

  • understand and apply the different dimensions of investment risk management,
  • ensure that only intended investment risks, aligned with your investment philosophy, are taken,
  • focus risk management resources and capabilities on controlling aspects that really matter, and
  • develop and implement transparent investment risk models tailored to your organization’s needs.

INSTRUCTOR

Dr. Claude Diderich is the owner and managing director of Diderich Consulting in Richterswil, Switzerland an innovation and strategy consulting boutique. He has more than 15 years of experience in strategy development, product innovation, investment process design, risk management, and business process optimization.

Claude Diderich holds a doctor ès sciences from the Swiss Federal Institute of Technology in Lausanne. He is a certified EFFAS Financial Analyst and Portfolio Manager (CEFA), certified financial risk manager (FRM), and a fellow member of the Global Association of Risk Professionals (GARP).

NEXT COURSE DATES

There are currently no courses planned. Please contact us if you interested in attending this course in the future. We also offer this course, or any variation thereof, as in-house course!