Investment Risk Analytics

Concepts and Applications

Agenda Program Online
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Prague, NH Hotel Prague
Hybrid Training
Both classroom and online training available
Price for online training
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Key points / questions answered:

Best practice in risk analytics: Gaining an overview of modern concepts in quantitative investment risk management.
Applications of insights: Transfer concepts and models to practical problems in investment risk management.
Interaction with peers: gain additional insights from the discussions between participants and lecturer and discussions that will emerge during the group exercises.
Communication of Quantitative Analysis: a major emphasis is developing a qualitative understanding of the quantitative concepts in order to improve the communication with the non-quantitative stakeholders in the investment risk management process.
Course background

In this intense two-day course, participants will gain a deeper understanding for the traditional investment risk concepts used in investment management and extensions introduced in recent years. The concepts presented were selected with regard to application and implementation in real-world investment processes. We believe that investment risk modelling, measurement and management are not art for art’s sake, but tools for investors and investment management professionals.

Participants will also receive all spreadsheet examples discussed during the course, which be used as a basis for developing customized in-house models. As most delegates will be "investment risk practitioners" with diverse backgrounds, a lively exchange of ideas and experiences is guaranteed.

Target audience

This course has been designed for the benefit of:
  • Research analysts
  • Portfolio managers
  • Risk managers
  • Fund analysts
  • Financial Economists
  • Quantitative investment analysts

Program of the seminar: Investment Risk Analytics

The seminar timetable follows Central European Time (CET).

09.00 - 09.10 Welcome

09.10 - 12.15


  • The Economics of Risk: MPT
  • The Philosophy of Risk: Risk & Uncertainty
  • The Psychology of Risk: Behavioural Finance
  • Observations in the Financial Crisis 2008 and Coronavirus Pandemic 2020


  • Introduction, Calculations, Interpretations
  • Portfolio Volatility: Linear & Non-Linear Dependence
  • Did Diversification Fail?
  • Contribution Analysis
  • Tracking Error
  • Factor Models
  • Limitations

12.15 - 13.15 Lunch

13.15 - 17.30

Risk Measures beyond Volatility

  • Risk Measure Classification
  • Desirable Properties of Risk Measures
  • Loss-Based Risk Measures
    • Semi-Variance
    • Partial Moments
    • Value-At-Risk
    • Conditional Value-At-Risk
    • Drawdown Risk
  • Tail Risk Analysis: Black Swans, Dragons & Extreme Events
  • Contagion
  • Full Distribution Measures
    • Omega
    • Stochastic Dominance

Two group exercises will be solved during the first day

09.00 - 12.15

Topics in Quantitative Risk Analysis

  • The Riskfree Rate
  • Dynamic Risk Analysis
  • The Normal Distribution Assumption
  • Outliers
  • Non-Normal Distributions
  • Historical, Parametric, Monte Carlo Approaches
  • Introduction to Copulas

Integration of Performance and Risk Analysis

  • Brinson Risk Attributions
  • Integrated Risk and Return Attribution Analysis
  • Risk-Adjusted Performance Attribution?

12.15 - 13.15 Lunch

13.15 - 17.30

Stress Testing and Scenario Analysis

  • Scenario Analysis
  • Stress Testing
  • Manipulating Correlations

Investment Risk Management

  • Design Principles
  • The Illusion of Control
  • Risk Monitoring
  • Considering other risk aspects
    • Counterparty risk
    • Liquidity risk
    • Model Risk

Review and Conclusions

Two group exercises will be solved during the second day

Training catalogue in PDF
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