Financial Risk Modeling

Financial Risk Modeling

This course will teach you how to model financial events that have uncertainties associated with financial events.

This course will teach you how to model financial events that have uncertainties associated with financial events.

$799 | Enroll Now
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Overview

This course covers the most important principles, techniques and tools in financial quantitative risk analysis. It effectively combines theoretical sessions and real-world applications with classroom exercises to provide a comprehensive overview of Monte Carlo techniques. Students will discuss recent innovations in Monte Carlo methods using practical examples, case studies and interactive sessions. Using the Windows-based @RISK software package and Excel, you will get comfortable with risk analysis modeling environments, and learn about common mistakes and how to avoid them.

Intermediate/Advanced Level
4-Week Course
100% Online Courses
ACE + CAP Credit Eligible
Expert Instructors
Teacher Assistant Support
Tution-Back Guarantee

Learning Outcomes

Students who complete this course will be able to:

  • Specify why and how a probability distribution is used in a financial model simulation
  • Learn about various probability distributions commonly used in financial applications;
  • Understand uses of time-series models, and characterize the different components of a time series (trend, seasonality, autocorrelation, volatility, mean reversion)
  • Fit various autoregressive models to historical data (ARCH, GARCH, more)
  • Use various technique to include correlations within simulation models
  • Fit appropriate probability distributions to historical data, and assess the fit (AIC, etc.)
  • Interpret results from simulations models, including eNPV, Value at Risk (VaR), and the probability of negative NPV

Who Should Take This Course

Anyone in corporate finance, investment banking, asset/investment/fund mangement, merchant banking, insurance companies, software/technology, government/public body and academia with an interest in applying quantitative probabilistic techniques in the fields of finance and risk.

Instructors

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Dr. Huybert Groenendaal

Dr. Huybert Groenendaal

Dr. Huybert Groenendaal is a Managing Partner at EpiX Analytics, which specializes in risk analysis and modeling techniques for clients around the world. Dr. Groenendaal consults on a broad range of projects that include forecasting, financial risk analysis, project costs estimation, pharmaco-economics, epidemiology, inventory optimization, mining and transportation. He has extensive experience in risk modeling and analysis for business development, financial valuation, R&D portfolios and portfolio evaluations in pharmaceuticals and medical devices. Dr. Groenendaal organizes and teaches "Quantitative Risk Analysis", "Project Risk Analysis", and "Corporate Risk Analysis" courses world...

See Instructor Bio

Course Syllabus

Week 1

Introduction

  • Introduction to quantitative risk analysis and Monte Carlo
    • Core ideas of risk analysis
    • What is a probability distribution
    • How scenarios are generated, outputs produced and analyzed, why it works
  • Distributions
    • Most common univariate distributions in finance
    • Introduction to statistical descriptors-mean,mode, standard deviation, skewness, kurtosis
    • Example financial model and exercise

Week 2

Forecasting variables over time (time-series)

  • Conceptual underpinning of time series, trend, volatility, seasonality, autocorrelaton, cyclicity, mean reversion
  • Various techniques for forecasting future sales
  • GBM, GBM with mean reversion, jump diffusion, both, seasonality
  • Autoregressive models: AR, ARCH, GARCH
  • Markov chains
  • Discussion of attributes and application of different stochastic time series
  • Example model and exercise

Week 3

How to Deal with Correlations

  • Understanding why correlations are important
  • Various techniques of including correlations:
    • (Spearman) Rank order
    • Lookup tables
    • Envelop methods
    • Logical relationships
    • Copulas
  • Example financial model and exercise

Week 4

Model Fitting and Conclusion

  • Fitting distributions, time series and copulas to historical data
    • Distributions (MLE)
    • Time series (MLE)
    • Copulas (MLE)
    • Fit comparisons with information criteria (i.e. AIC, BIC)
    • Example model and exercise
  • Emphasis on examples model and practical case
    • VAR, expected shortfall examples
    • Some time series examples (including fitting to past financial datasets)
    • Analyzing correlations between stochastic variables, fitting copulas and applying then in a simulation model
    • Basel II example with operational risk

Class Dates

2023

Jun 9, 2023 to Jul 7, 2023

2024

Jun 7, 2024 to Jul 5, 2024

2025

No classes scheduled at this time.

Send me reminder for next class

Prerequisites

All models are developed using Excel and @Risk, a Windows-based Excel add-in. It is therefore essential that all participants be proficient in Excel, including the use of Excel functions.

The courses listed below are prerequisites for enrollment in this course:

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Risk Simulation and Queuing

Risk Simulation and Queuing

This course will teach you modeling technique making decisions in the presence of risk or uncertainty, including risk analysis using Monte Carlo simulation, queuing theory for problems involving waiting lines, and decision trees for analyzing problems with multiple discrete decision alternatives.
Topic: Analytics, Operations Research | Skill: Introductory | Credit Options: ACE, CAP, CEU
Class Start Dates: May 5, 2023, Nov 10, 2023, May 10, 2024

What Our Students Say​

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Left Square Qoute

The modeling techniques learned in this course will greatly assist me in understanding the use of models in the banking industry.

Stephen Zinder
FDIC
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I really liked how the instructors coordinated the course. They are very friendly and very knowledgeable.

Shadreck Mapfumo
IFC - International Finance Corporation
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Frequently Asked Questions

Can I transfer or withdraw from a course?

We have a flexible transfer and withdrawal policy that recognizes circumstances may arise to prevent you from taking a course as planned. You may transfer or withdraw from a course under certain conditions.
  • Students are entitled to a full refund if a course they are registered for is canceled.
  • You can transfer your tuition to another course at any time prior to the course start date or the drop date, however a transfer is not permitted after the drop date.
  • Withdrawals on or after the first day of class are entitled to a percentage refund of tuition.
Please see this page for more information.

Who are the instructors at the Institute?

The Institute has more than 60 instructors who are recruited based on their expertise in various areas in statistics. Our faculty members are:

  • Authors of well-regarded texts in their area;
  • Advisory board members;
  • Senior faculty; and
  • Educators who have made important contributions to the field of statistics or online education in statistics.

The majority of our instructors have more than five years of teaching experience online at the Institute.

Please visit our faculty page for more information on each instructor at The Institute for Statistics Education.

Please see our knowledge center for more information.

What type of courses does the Institute offer?

The Institute offers approximately 80 courses each year. Topics include basic survey courses for novices, a full sequence of introductory statistics courses, bridge courses to more advanced topics. Our courses cover a range of topics including biostatistics, research statistics, data mining, business analytics, survey statistics, and environmental statistics.

Please see our course search or knowledge center for more information.

Do your courses have for-credit options?

Our courses have several for-credit options:

  • Continuing education units (CEU)
  • College credit through The American Council on Education (ACE CREDIT)
  • Course credits that are transferable to the INFORMS Certified Analytics Professional (CAP®)

Please see our knowledge center for more information.

Is the Institute for Statistics Education certified?

The Institute for Statistics Education is certified to operate by the State Council of Higher Education for Virginia (SCHEV). For more information visit: https://www.schev.edu/

Please see our knowledge center for more information.

Visit our knowledge base and learn more.

FAQs + Knowledge Base

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Additional Course Information

Organization of Course

This course takes place online at The Institute for 4 weeks. During each course week, you participate at times of your own choosing – there are no set times when you must be online. Course participants will be given access to a private discussion board. In class discussions led by the instructor, you can post questions, seek clarification, and interact with your fellow students and the instructor.

At the beginning of each week, you receive the relevant material, in addition to answers to exercises from the previous session. During the week, you are expected to go over the course materials, work through exercises, and submit answers. Discussion among participants is encouraged. The instructor will provide answers and comments, and at the end of the week, you will receive individual feedback on your homework answers.

Time Requirements

This is a 4-week course requiring 10-15 hours per week of review and study, at times of your choosing.

Homework

Homework in this course consists of short answer questions to test concepts, guided data analysis problems using software, and guided data modeling problems using software.

In addition to assigned readings, this course also has supplemental readings available online, and an end of course data modeling project.

Course Text

Course participants will be provided with weekly digital reading material, as well as the required course text once enrolled in the course. Though completely optional and not required, the following texts are recommended as additional resources  that will give more in-depth understanding of the model as well as instruction for building good and practical models.

Risk Analysis: A Quantitative Guide, 2nd Edition by David Vose, from Wiley. Make sure to get the 2nd version (which uses @RISK), and not the 3rd version, since the latter uses a different software tool.

Please order a copy of your course textbook prior to course start date.

Software

Course illustrations and homework assignments will use @Risk, the Windows-based Monte Carlo simulation and financial risk analysis tool from Pallisade Corporation. A 60 day free trial license will be provided to all course participants at the start of the course.

Software Uses and Descriptions | Available Free Versions
To learn more about the software used in this course, or how to obtain free versions of software used in our courses, please read our knowledge base article “What software is used in courses?” 

Course Fee & Information

Enrollment
Courses may fill up at any time and registrations are processed in the order in which they are received. Your registration will be confirmed for the first available course date unless you specify otherwise.

Transfers and Withdrawals
We have flexible policies to transfer to another course or withdraw if necessary.

Group Rates
Contact us to get information on group rates.

Discounts
Academic affiliation?  In most courses you are eligible for a discount at checkout.

New to Statistics.com?  Click here for a special introductory discount code.  

Invoice or Purchase Order
Add $50 service fee if you require a prior invoice, or if you need to submit a purchase order or voucher, pay by wire transfer or EFT, or refund and reprocess a prior payment.

Options for Credit and Recognition

This course is eligible for the following credit and recognition options:

No Credit
You may take this course without pursuing credit or a record of completion.

Mastery or Certificate Program Credit
If you are enrolled in mastery or certificate program that requires demonstration of proficiency in this subject, your course work may be assessed for a grade.

CEUs and Proof of Completion
If you require a “Record of Course Completion” along with professional development credit in the form of Continuing Education Units (CEU’s), upon successfully completing the course, CEU’s and a record of course completion will be issued by The Institute upon your request.

ACE CREDIT | College Credit
This course has been evaluated by the American Council on Education (ACE) and is recommended for the upper-division baccalaureate degree, 3 semester hours in financial risk management, financial econometrics, or applied statistics. Please note that the decision to accept specific credit recommendations is up to the academic institution accepting the credit.

INFORMS-CAP
This course is recognized by the Institute for Operations Research and the Management Sciences (INFORMS) as helpful preparation for the Certified Analytics Professional (CAP®) exam and can help CAP® analysts accrue Professional Development Units to maintain their certification.

Supplemental Information

Literacy, Accessibility, and Dyslexia

At Statistics.com, we aim to provide a learning environment suitable for everyone. To help you get the most out of your learning experience, we have researched and tested several assistance tools. For students with dyslexia, colorblindness, or reading difficulties, we recommend the following web browser add-ons and extensions:

 

Chrome

 

Firefox

 

Safari

  • Navidys (for colorblindness, dyslexia, and reading difficulties)
  • HelperBird for Safari (for colorblindness, dyslexia, and reading difficulties)

Miscellaneous

There is no additional information for this course.

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Financial Risk Modeling
$799 | Enroll Now
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