master in risk management madrid
Nowadays, in Finance, it is almost impossible to take optimal decisions without the use of computer and mathematical models. In this master of financial risk management, in the community of Madrid (Spain), we introduce some of the concepts and tools that can be employed to model and analyse, from a quantitative perspective, the behaviour of the financial instruments and the measurement of financial risks. There are subjects that are devoted to introduce the main econometric tools that are of immediate application in Finance. After refreshing the main concepts of probability and statistics they focus on hypothesis testing and model building. A variety of models to analyse the conditional mean (Box-Jenkins and nonlinear) and variance (e.g. ARCH) of the returns of financial instruments are presented. Also, particular attention is given to analyse the performance of forecasts and to particular techniques that are widely employed in the financial context (e.g. Bayesian analysis, Copulas and Simulation). Other courses of this master talk about most of the concepts and models that are implemented with the help of high-level languages, in particular R and/or Python. After introducing the tools for programming (e.g. variables description, flow control, plotting, importing and exporting data) many examples of implementation and testing the models are presented. This master does not assume that students have knowledge of programming languages or databases, but a particular effort is expected from the student to attain a reasonable level in programming at the end of the class. We also provide a full introduction to mitigation techniques such as netting, collateralizing and analyse the effect of clearinghouses. Some topics of interest also covered are Wrong-Way-Risk and Credit Value Adjustment. The master teaches about the materialization and management of credit risk with the use of financial instrument. We describe the securitization process to end with a detailed description of specific instruments such as Credit Default Swaps (CDS), Collateralized Debt Obligations (CDO) and others. Finally, the problem of Credit Rating and the role of Credit Rating Agencies are analysed.
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Alcalá de Henares - Madrid