Learning Objective 3: Risk Measures


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Learning Objectives:
The candidate will understand how the risks faced by an entity can be quantified and the use of metrics to measure risk.

Learning Outcomes:
The candidate will be able to:

a) Apply and construct risk metrics to quantify major types of risk exposure such as market risk, credit risk, liquidity risk, operational risk, regulatory risk, etc., and tolerances in the context of an integrated risk management process.

b) Analyze and evaluate the properties of risk measures (e.g., Delta, volatility, duration, VaR, TVaR, etc.) and their limitations.

c) Analyze quantitative financial market data and insurance data (including asset prices, credit spreads and defaults, interest rates, incidence, causes and losses) using modern statistical methods. Construct measures from the data and contrast the methods with respect to scope, coverage and application.

d) Analyze risks that are not easily quantifiable, such as operational and liquidity risks.

*Updated for Spring 2018 Sitting