Course 6: Portfolio and Enterprise Risk Management
Portfolio and Enterprise Risk Management covers portfolio risk/liquidity adjusted valuation, return distribution and risk statistics; and their decomposition into contributions from key risk factors.
In particular, Portfolio and Enterprise Risk Management covers the following topics:- Aggregation, which is the computation of a portfolio’s value, including enterprise portfolios, and its ex-ante return distribution in both regular and stress markets
- Ex-ante evaluation, which is the computation of risk measures such as utility-based measures, VaR, CVaR, and more general spectral measures
- Ex-ante attribution, which is the decomposition of the ex-ante return and risk measures into key risk factors
After the course you will obtain a Statement of Completion. Furthermore, you can choose to complete an optional code-based project that will count as one of the two Practical Projects towards the ARPM Certification.
Syllabus
The course covers in depth the Portfolio and Enterprise Risk Management topics in the Lab.Notation
Step 5a - Value aggregation
Step 5b - Performance aggregation
Step 6 - Ex-ante evaluation
Step 6 - Ex-ante evaluation: utility-based measures
Step 6 - Ex-ante evaluation: quantile-based measures
Step 6 - Ex-ante evaluation: coherent measures
Step 7a - Ex-ante performance attribution
Step 7b - Ex-ante risk attribution
Enterprise risk management