|
所在平台: Udemy |
课程主页: https://www.udemy.com/course/enterprise-risk-management-cera/
课程评论：没有评论
课程名称：企业风险管理 课程概述：企业风险管理（ERM）专业技术课程的目标是向成功的学员灌输ERM在组织内实施和应用的关键原则，包括治理、流程以及定量风险测量与建模方法。学员将能够将ERM的知识和理解应用于任何类型的组织。本课程发展了早期精算课程中介绍的概念，特别是风险建模、生存分析以及损失准备和金融工程中的风险管理技术。 课程内容： 第一部分：企业风险管理简介 - 理解风险：讨论风险的不同维度，以及风险不仅仅是波动性。 - ERM框架：介绍风险控制周期，作为课程后续内容的结构，并讨论风险意识。 - 治理：提炼治理原则及实现机制。 - 监管机构与其他利益相关者：介绍监管机构，并将在后续视频中重新讨论资本管理方面的法规。 第二部分：企业风险管理框架 - 风险识别：风险意识定义风险目标和风险承受能力后，使用工具和技术识别风险，并讨论风险类别和风险登记簿。 - 风险评估：介绍帮助测量风险的聚合模型，讨论风险度量的数学属性。 - 风险管理：讨论应对风险的四种主要方式，包括资本储备以及风险控制。 - 风险监测：讨论如何撰写风险报告，并将结果反馈至风险意识阶段，完成风险控制周期的循环。 第三部分：风险模型与风险应对 - 分析保险风险：讨论精算假设及保险业务案例。 - 管理保险风险：探讨资本来源及经典的风险管理技术。 - 引入市场风险：定义市场风险及其经济因素。 - 分析市场风险：探讨波动性预测的方法。 - 极值理论：应用于各种风险，包括市场风险。 - 管理市场风险：讨论无衍生工具的市场风险管理方法。 - 分析信用风险：比较对手风险与违约风险，及其计量模型。 - Copulas：介绍与信用风险相关的Copulas的应用。 - 管理信用风险：评估信用风险管理策略，包括证券化。 - 市场与信用风险的其他管理策略：探讨复杂金融工具的风险特性。 - 操作风险：分析人力与系统在风险管理中的角色。 第四部分：模型、资本与案例研究 - 模型概述：探讨模型的组成部分与类型。 - ERM中的模型：讨论在ERM框架中的模型应用及其操作风险。 - 资本管理：确定企业应该持有的最优资本量，探讨相应法规的重要性。 - 资本模型：开发资本模型及在组织中的资本分配。 - 案例研究：通过著名案例学习风险管理的教训。 通过本课程，学员将获得扎实的企业风险管理知识，并能够在不同类型的组织中有效应用这些原则和技术。
The aim of the Enterprise Risk Management (ERM) Specialist Technical subject is to instil in successful candidates the key principles underlying the implementation and application of ERM within an organisation, including governance and process as well as quantitative methods of risk measurement and modelling. The student should gain the ability to apply the knowledge and understanding of ERM practices to any type of organisation.This subject develops concepts introduced in the earlier actuarial subjects, particularly (Risk Modelling and Survival Analysis) and (Loss Reserving and Financial Engineering). It also develops the risk management techniques introduced in Actuarial Risk Management.Part 1: Introduction to Enterprise Risk ManagementOverview - which is where we currently areUnderstanding Risk - where we talk about the various dimensions of risk and explain how it is much more than just volatility.ERM Framework - here we introduce the Risk Control Cycle which acts as a structure for the rest of the course. We also discuss Risk AwarenessGovernance - A lot can be said on this topic so we try to distill the most important parts into governance principles and the various mechanisms that can achieve them.Regulators and other Stakeholders - Here we introduce regulators and other stakeholders. We will revisit regulation in the later videos on Capital Management. Whereas the ActEd notes try cover all the regulation in one go.Part 2: The Enterprise Risk Management FrameworkRisk Identification - Some sources have Risk Identification as step 1 whereas we see it as step 2 in the ERM Framework. Step 1 is Risk Awareness where one defines Risk Objectives and Risk Appetite. We look at tools and techniques for identifying risks and discuss Risk Categories and the Risk Register.Risk Assessment - In this chapter we introduce some of the aggregate models that help us measure risks. We speak about the mathematical properties of risk measures and discuss which risk categories can be quantified. The later videos will go into a lot more detail on how to measure each type of risk.Risk Management - The four main ways we respond to risk are either by using capital as a reserve, transferring it to another party, removing it by ceasing activity or by using various controls to try reduce it by managing it. Again the later videos will go into a lot more detail on how to manage each type of risk.Risk Monitoring - This is sometimes the forgotten step of Risk Management. Here we talk about what goes into a Risk Report and how its results need to be fed back into the Risk Awareness stage, thus completing and restarting the Risk Control Cycle.Part 3: Risk Models and Risk ResponsesAnalysing Insurance Risk - This is a short recap of Actuarial Science. We discuss the fundamental actuarial assumptions and the business case for insurance. We then dive into a bit of the maths behind Pricing Models and talk about fitting distributions, parameter estimation and testing for goodness of fit.Managing Insurance Risk - Here we talk about sources of Capital and discuss classic risk management techniques like excesses, exclusions, underwriting and claims process. We also look at more advanced techniques like co-insurance, reinsurance and contract design.Introducing Market Risk - Here we define market risk as the profit or loss caused by the unexpected change in an assets price. We look at the economic factors that drive price changes as well as two different investment philosophies. We also look at how one can model stocks with Stochastic Processes.Analysing Market Risk - This is quite a mathematical chapter as we look at ways of forecasting volatility. We compare GARCH models to implied volatility.Extreme Value Theory - EVT can be applied to various types of Risks but we look at it after market risk because for too long market risk has been modelled with the Normal Distribution instead of fat tail distributions that capture extreme values. In this video we look at the tails and try to figure out how one can model extreme events in the absence of sufficient data.Managing Market Risk - We start this chapter by looking at 20 ways a farmer can manage their market risk without the use of derivatives. We then look at the limitations of derivatives and discuss how to manage currency risks, interest rates and equity risk.Analysing Credit Risk - We compare counterparty risk to default risk before discussing the main differences between credit and market risk and why we have put credit spreads in this section. We then look at the Merton, KMV and Markov Models and how they can be used to measure credit risk.Copulas - Copulas can be applied to other risk and are commonly used to aggregate risks but we have included them amongst Credit Risk because they are used in Credit Derivatives. The basic idea with copulas is that we cannot directly added probabilities because then we might get nonsensical probabilities that are greater than one. So the Copula idea is to first transform probabilities from state spaces of 0 to 1 to state spaces of 0 to infinity. In this tranceded state space the probabilities can be added. We then transform the combined probabilities from a state space of 0 to infinity back to a state space of 0 to 1.Managing Credit Risk - We look at various credit risk management strategies including securitisation. Securitisation is a technique that allows an organisation to transform credit risk into market risk.More managing strategies for Market & Credit Risk - Exotic instruments blur the line between market and credit risk and so we take a look at instruments like Interest Rate Swaps and Credit Default Swaps.Operational Risk: People - Organisations need people for innovation and to execute tasks but people can make mistakes or act against an organisation. We look at work culture as well as different techniques on how to manage people and get the most from employees.Operational Risk: Systems - Systems are the set of procedures that aim to complete a specific function. A vital system is one that manages the cashflow of an organisation. Thus in this chapter we also consider liquidity risk, how to measure it and how to manage it.Part 4: Models, Capital & Case StudiesOverview of Models - The majority of problems that require actuarial skills involve taking a view on uncertain future events. Models can assist and be part of the solution. In this video we look at the components of a model and the different types.Models in ERM - Models are used at almost every step of the ERM Framework and so also pose an operational risk to an organisation. Therefore sophisticated models need to be managed carefully and their results need to be balanced with human judgement.Capital Management - Organisations need to determine the optimal amount of capital to hold. Hold too much and shareholders will experience low returns. Hold too little and the risk of ruin may be too high. We also revisit regulation and see why its important in the financial industry.Capital Models - In this chapter we discuss how to develop a capital model and how it can be used to allocate capital across a business organisation.Case Studies - In the final video we look at famous case studies and the risk management lessons that we can learn from them.
