This one-day course provides a comprehensive introduction to risk management using MATLAB®, Financial Toolbox™ and Risk Management Toolbox™. The course is intended for risk analysts, risk managers, portfolio managers, and other financial professionals with prior experience of MATLAB who require to analyze, assess, and manage risk. The course uses examples from market, credit, interest-rate and retail risk, although the techniques demonstrated are applicable in all risk areas, including liquidity and operational risk. High-level course themes include:
|Day 1 of 1|
|Evaluating Portfolio Risk||
Objective: Assess, analyze, and simulate the market risk associated with a given portfolio of assets.
|Creating and Analyzing Risk Models||
Objective: Create and analyze risk-oriented GARCH time-series models for the purpose of market risk analysis and simulation.
|Determining Credit Value at Risk||
Objective: Evaluate and assess credit risk associated with a given bond portfolio including the impact of interest-rate change.
|Classification of Credit Ratings||
Objective: Create and validate classification models for credit ratings and credit scores based on historical data.
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