12-04-2014 Boot Camp: Risk Measurement: Statistical, Probabilistic, Scenario Based - December 2014
8:30 AM - 4:00 PM, December 4th and 5th, 2014
Overview
A 2-day intensive training program where students are instructed on a risk measurement approaches and methodologies. The program is designed to introduce participants to the broad variety of risk measurement statistics, explain the basis for determining reasonable levels and demonstrate how risk measurements are practically applied.
The program includes both in-depth presentation and modeling case studies using MS Excel. Participants will explore a wide variety of concepts while gaining experience in modeling security and portfolio level risk.
Boot Camp Agenda
Day 1: Introduction to risk measurement approaches, security and portfolio level calculations, key assumptions, and measurement sensitivities.
Day 2: Focus on the reliability and shortcomings of risk measurements, their interaction, predictability, scenario analysis and stress testing.
What sets this program apart?
The program offers comprehensive instruction on the calculation and interpretation of risk measurements with a focus on fixed income securities including sections devoted to areas that are highly technical and difficult to teach.
The program includes intensive Excel modeling sessions on:
Calculation of duration, convexity, spread duration and key rate durations
Generating the impact of changing non-linear measures (Gama, Vega, etc.)
Hands on dollar duration hedging with cash and derivative securities
Scenario analysis set up, execution and interpretation
Be sure to bring your Excel-enabled portable computers!
(Required for the modeling session)
The program will be run by Greg Peeke of Skrimshaw Investment Management. Greg has taught classes in the fixed income program with the CFA-LA since 2003. He has 20+ years of investment experience including the design and implementation of risk management approaches for both institutional and private clients. He has served on multiple index advisory councils and was the moderator of the 2012 CFALA forecast dinner.
Click here for information brochure on the 2-day series
Time: 8:30 AM-4:00 PM, December 4th and 5th, 2014
Location: Biltmore Court
520 S. Grand Avenue, Ste. 680
Los Angeles, CA 90071
Parking: Self-Parking at Pershing Square (located directly across the street on Olive St.): $10.00.
Central Library Parking: For information on discount parking rates at the library, please click here. Library validation required.
10% Corporate Discounts available for companies who register 5 or more participants! Click here for more details.
Registration Link:
$900 for CFALA Members
$1,000 for Non-Members
Cancellation Policy
Enrollee cancellations must be made in writing and received at least 5 business days before the first day of class. All cancellations will incur a $30.00 processing fee. If enrollment is canceled after the 5-day deadline, a 50% cancellation fee will be charged.
For questions about the content of the program or suitability, contact Rama Malladi, CFA, CAIA, FRM, Director of the Educational Programs, rmalladi@gmail.com or (714) 453-9763
