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Programa de Especialización preparatorio para la acreditación FRM™. Control del Riesgo de IEB.

IEB.

IEB.
Online Inicio: A partir del 16/11/2020 Duración: 200 horas
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Online en España
2000 €

Presentación

El IEB es el único centro autorizado por GARP (Global Association of Risk Professionals) para impartir la formación preparatoria para el FRM™.

Es clara la demanda de profesionales que se requiere en el área de riesgos, que sean capaces de asesorar a la alta dirección y de difundir la cultura del riesgo a todos los niveles de la organización. Gracias a este programa los profesionales serán capaces de aprobar y preparar cada uno de los exámenes que les permitirán adquirir el título de FRM™.


El IEB es un Centro Universitario de Estudios Superiores adscrito a la Universidad Complutense de Madrid y a la Universidad Rey Juan Carlos. Patrocinado por la Bolsa de Madrid, fue fundado en 1989 y pionero en la creación del primer Máster español en Bolsa y Mercados Financieros.


Con un método exclusivo, ha desarrollado Dobles Titulaciones que permiten a los alumnos obtener, en tan sólo 4 años, además de un Grado Universitario en Derecho o ADE, un Máster en Bolsa y Mercados Financieros o en International Management & Analytics, en los que aprenderán de la mano de directivos la actualidad del mundo profesional.


Actualmente IEB ofrece un amplio catálogo de Másters y más de 50 Programas Formativos entre: Programas Directivos, Programas de Especialización, Cursos de verano y Cursos Técnicos.


Muchos de estos programas ocupan los primeros puestos en los ránkings de la prensa especializada (Diario “El Mundo”, “Financial Times”, etc).

Otra importante área de actividad del IEB es la Formación a Medida para clientes corporativos españoles e internacionales.


Más de 100.000 profesionales han pasado por la aulas del IEB. IEB Alumni ha desarrollado una plataforma de empleabilidad para favorecer el networking entre ellos.

A quién va dirigido

  • Directores financieros
  • Analistas de riesgos
  • Analistas de inversiones
  • Analistas financieros
  • Consultores financieros y estratégicos |
  • Interesados en conocer en detalle el funcionamiento de los productos derivados.

Temario

FRM PART I


1. FOUNDATIONS OF RISK MANAGEMENT (20%)

 Basic risk types, measurement and management tools

 Creating value with risk management

The role of risk management in corporate governance

Enterprise Risk Management (ERM)

Financial disasters and risk management failures

The Capital Asset Pricing Model (CAPM)

Risk-adjusted performance measurement

Multifactor models

Data aggregation and risk reporting

Ethics and the GARP Code of Conduct


2. Quantitative Analysis (20%)

Discrete and continuous probability distributions

Estimating the parameters of distributions

Population and sample statistics

Bayesian analysis

Statistical inference and hypothesis testing

Estimating correlation and volatility using EWMA and GARCH models

Volatility term structures

Correlations and copulas

Linear regression with single and multiple regressors

Time series analysis and forecasting

Simulation methods


3. Financial Markets and Products (30%)

Structures and functions of financial institutions

Structure and mechanics of OTC and exchange markets

Structure, mechanics, and valuation of forwards, futures, swaps, and option

Hedging with derivatives

Interest rates and measures of interest rate sensitivity

Foreign exchange risk

Corporate bonds

Mortgage-backed securities


4. Valuation and Risk Models (30%)

Value-at-Risk (VaR)

Expected shortfall (ES)

Stress testing and scenario analysis

Option valuation

Fixed income valuation

Hedging

Country and sovereign risk models and management

External and internal credit ratings

Expected and unexpected losses

Operational risk


FRM PART II


MARKET RISK


Estimating Market Risk Measures

Non-parametric Approaches

Parametric Approaches (II): Extreme Value

Backtesting VaR

VaR Mapping

Messages from the Academic Literature on Risk Measurement for the Trading Book

Some Correlation Basics: Properties, Motivation,Terminology

Empirical Properties of Correlation: How Do Correlations Behave in the Real World?

Statistical Correlation Models: Can We Apply Them to Finance?

Financial Correlation Modeling: Bottom-Up Approaches

Empirical Approaches to Risk Metrics and Hedges

The Science of Term Structure Models

The Evolution of Short Rates and the Shape of the Term Structure

The Art of Term Structure Models: Drift

The Art of Term Structure Models:Volatility and Distribution

OIS Discounting, Credit Issues, and Funding Costs

Volatility Smiles


CREDIT RISK


The Credit Decision

The Credit Analyst

Default Risk: Quantitative Methodologies

Credit Risks and Credit Derivatives

Credit and Counterparty Risk

Spread Risk and Default Intensity Models

Portfolio Credit Risk

Structured Credit Risk

Defining Counterparty Credit Risk

Netting, Compression, Resets, and Termination Features

Collateral

Central Counterparties

Credit Exposure

Default Probability, Credit Spreads, and Credit Derivatives

Credit Value Adjustment

Wrong Way Risk

Credit Scoring and Retail Credit Risk Management

The Credit Transfer Markets and Their Implications

An Introduction to Securitization

Understanding the Securitization of Subprime Mortgage Credit


OPERATIONAL AND INTEGRATED RISK MANAGEMENT


Principles for the Sound Management of Operational Risk

Enterprise Risk Management:Theory and Practice

OpRisk Data and Governance

External Loss Data

Capital Modeling

Operational Risk: Supervisory Guidelines for the Advanced Measurement Approaches

Estimating Liquidity Risks

Model Risk

Risk Capital Attribution and Risk-Adjusted Performance Measurement

Assessing the Quality of Risk Measures

Liquidity and Leverage

Repurchase Agreements and Financing

Observations on Developments in Risk Appetite Frameworks and IT Infrastructure

Range of practices and issues in economic capital modeling

Capital Planning at Large Bank Holding Companies

Stress Testing Banks

The Failure Mechanics of Dealer Banks

Basel I, II, and Solvency II

Basel 2.5, Basel III, and Dodd-Frank

Fundamental Review of the Trading Book

Basel II: International Convergence of Capital Measurement and Capital Standards

Basel III:A global regulatory framework for more resilient banks and banking systems

Basel III:The Liquidity Coverage Ratio and Liquidity Risk Monitoring Tools

Basel III: the net stable funding ratio

Revisions to the Basel II Market Risk Framework


RISK MANAGEMENT AND INVESTMENT MANAGEMENT


Portfolio Construction

Portfolio Risk:Analytical Methods

VaR and Risk Budgeting in Investment Management

Risk Monitoring and Performance Measurement

Portfolio Performance Evaluation

Illiquid Assets

Hedge Funds

Performing Due Diligence on Specific Managers and Funds


CURRENT ISSUES IN FINANCIAL MARKETS


Forging Best Practices in Risk Management

Case Studies on Disruptions during the Crisis

Why do we need both liquidity regulations and a lender of last resort?

Global financial markets liquidity study

Reforming LIBOR and other Financial Market Benchmarks

Central Counterparties:Addressing their Too Important to Fail Nature

Stress Testing Convergence

Cybersecurity 101:A Resource Guide for Bank Executives

Titulación obtenida

Se otorgará a los alumnos un certificado de realización satisfactorio del programa, siempre y cuando hayan obtenido una calificación media de al menos 7 puntos sobre 10 

Requisitos

Formulario de inscripción

DNI o pasaporte escaneado

Breve currículum vitae

Objetivos

El objetivo de este Programa es profundizar en los conocimientos teóricos y prácticos necesarios para una función de alto nivel de risk manager.

Para ello, el curso cubre todos los aspectos esenciales de la gestión de riesgos (nivel I) y lo más avanzados (nivel II).

Información Adicional

Metodología


El programa se imparte en formato Blended (Online y Presencial). La documentación del Programa incluye:


  • Vídeos asíncronos
  • Tutorías ONLINE
  • Resúmenes ejecutivos y ejercicios
  • Test online y simulacros de examen


La formación se realizará de forma tutorizada por profesionales y académicos del IEB especializados en el ámbito de los riesgos financieros.

Contacta ahora con el centro