Risk management is the identification, assessment, and prioritization of risks followed by coordinated and economical application of resources to minimize, monitor, and control the probability and/or impact of unfortunate events. Risks can come from uncertainty in financial markets, project failures, legal liabilities, credit risk, accidents, natural causes and disasters as well as deliberate attacks from an adversary. This course is ideal for managers, executives and project managers, decision makers, enterprise risk professionals, risk specialist and those staff in financial institutions such as banks which operate and conduct activities with inherent risks. Will be taught how to measure risks, and will suggests different approaches. In market risk for example, banks may define and measure market risk using internal models approach (IMA). The focus of this training is to apply recent statistical developments in forecasting and risk management..

Course Aim

Participants should be familiar with the (i) key statistical concepts and methodologies used in forecasting and risk management and (ii) tools for basic and advanced statistical procedures available in the Eviews Software. Course methodology includes lectures with MS Powerpoint presentations, examples using real life data in the local setting, computer exercises demonstrating specific concepts and discussions for greater understanding of the subject matter.

Course Participants

Ideal for managers, executives and project managers, decision makers, enterprise risk professionals, risk specialist and those staff in financial institutions such as banks which operates and conduct activities that have inherent risks..

Course Coverage

Risk in Perspective
Basic Concepts in Risk Management
Financial Time Series and their Characteristics
Review of ARMA Model Building Process
Intervention Analysis
Unit Root Econometrics and Tests for Unit Roots
Generalized AutoRegressive Conditional Heterosedasticity (GARCH)
Models for Changing Volatility

• ARCH Processes
• GARCH Processes
• Simple Extensions of the GARCH Model ( (G)ARCH-in Mean Models)
• Fitting GARCH Models to Data
• EGARCH Processes
• TARCH Processes
• PARCH Processes
• Volatility Models and Risk Estimation
• Volatility Forecasting
• Conditional Risk Measurement
• Backtesting

Applications of Volatility Models in Finance Computation of the Value-at-Risk (VaR)
Econometric Approach

Course Duration: 5 days

Registration:

To register and further inquiry, please contact the Training Division at Telefax Nos. (632) 436-1426/929-7543 or email info@srtc.gov.ph or jbramos@srtc.gov.ph.

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