Overview

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Master advanced market risk management concepts used in FRM Level 2 and real-world investment management. Learn Value at Risk (VaR), stress testing, factor models, hedge funds, portfolio analytics, and risk budgeting through practical and structured lessons. This course provides comprehensive coverage of quantitative and qualitative risk management techniques essential for finance professionals and FRM candidates. Learners will explore historical simulation, Monte Carlo methods, Expected Shortfall, backtesting frameworks, portfolio construction, factor investing, illiquidity risk, and hedge fund performance evaluation. Designed for aspiring risk analysts, portfolio managers, treasury professionals, and finance students, the course combines theoretical foundations with practical applications in investment risk management. By the end of the course, learners will be able to evaluate portfolio risks, apply advanced risk measurement models, analyze investment performance, and confidently prepare for FRM Level 2 examinations.

Syllabus

Foundations of Value at Risk (VaR)

Develop foundational expertise in Value at Risk (VaR), Expected Shortfall, Monte Carlo simulation, and advanced quantitative risk measurement techniques used in financial risk management.

Historical Simulation and Backtesting Frameworks

Analyze historical simulation approaches, backtesting frameworks, Basel regulations, and statistical validation methods for evaluating market risk models.

Scenario Analysis and VaR Applications

Apply scenario analysis, stress testing, VaR mapping, and derivative risk assessment techniques to evaluate portfolio exposures under changing market conditions.

Factor Models and Investment Strategies

Examine factor investing, CAPM, market efficiency, value investing, momentum strategies, and macroeconomic risk factors in portfolio management.

Portfolio Factor Exposure and Illiquidity Risk

Evaluate alpha generation, benchmark sensitivity, illiquidity premiums, factor exposures, and market imperfections affecting portfolio performance.

Portfolio Construction and Risk Measurement

Build expertise in portfolio construction, diversification, portfolio rebalancing, analytical risk models, and advanced portfolio VaR applications.

Risk Budgeting and Performance Monitoring

Implement risk budgeting frameworks, portfolio monitoring systems, risk planning processes, and performance measurement techniques in investment management.