RISK MODELLING AND EVIEWS PRACTICES

RISK MODELLING AND EVIEWS PRACTICES

Duration: 2 days

Open: 11 - 12 May, 2018 in Hanoi and 18 & 19 May, 2018 in Ho Chi Minh City

CONTENT

COURSE OUTLINE

TOPIC 1: RISK MODELS
1. Operational risk models:
Loss frequency model: Lognormal distribution
Severity model: Poision distribution
Internal & External loss measurement VAR (Value at Risk)
2. Market risk models
Application of VAR (Incremental VAR, Marginal VAR, Conditional VAR)
Risk forecasting (AR, MA, ARMA, EWMA,
GARCH)
3. Credit risk models:
Scorecards,
Logistic Model, Order Logistic Model
Prohibit Model

TOPIC 2: EVIEWS PRACTICES
1. Introduction of EVIEWS
2. Descriptive statistics (frequency, mean,
median, standard deviation, correlation
matrix, etc.)
3. Steps to build up a model
4. Correlation analysis
5. Exploratory factor analysis -EFA
6. Time series analysis
7. Single & multiple regression analysis
8. Group comparison test (T-test)
9. Non-parametric testing
10. Analysis of variance-ANOVA
11. Regression with dummy variables
12. Stepwise regression
13. Logistic Regression

BENEFIT

Understand and be able to apply modeling principals
Understand risks nature and know how to select appropriate model in risk measuring and forecasting
Apply EVIEWS Statistics software to analyze and build up models để phân tích dữ liệu và xây dựng mô hình
Be able to understand technical criteria of good models

WHO SHOULD ATTEND

Risk modelling team
Operational risk team
Market risk team
Credit risk team
Financial team
Internal audit team

TESTIMONIAL

"The Courses at ARFQuant vary in many topics which reward for those who work in the financial sector. The pursuit of these specialized courses is a very arduous process, but the results are well worth the effort. The courses go from theoretical to practical, thus helping to better understand the nature of the problem, as well as how to apply it in practice. Overall, ARFQuant course leaders are very good at teaching and dedicated. Participation in ARFQuant courses helps to increase the systematic and effective learning compared to self-study and self-study." Phương Phùng- OCB

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"A survey on the main issues that the trainees are interested in has been conducted to make sure that the course’s content is fit the needs of the trainees. The training environment was open which encourage the participation of all attendants. Instructors are enthusiastic, supportive and willing to share their knowledge and experience" Phượng Phan - FeCredit

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"The course leader has deep knowledge in risk management, he is enthusiastic and open to the students. Teaching methods attract the attention of students. He usually use stories mixed with humor as examples for the whole class and to create a dynamic atmosphere. The course was organized professionally" Hien Phan - BIDV

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"From the beginning of 2017, I have been experiencing 02 courses at ARFQuant - Statistics - modeling risk, internal credit rating model.

Even the duration of the courses were quite short but the knowledge I obtained from the course is huge, thanks to the special way that ARFQuant’s teachers deliver the course: simple, understandable and valuable. During the course I felt quite comfortable and easy to grasp knowledge. In addition to the mandatory content in the curriculum, teachers share more experiences in learning and research (eg, Mr. Hoang shared his experiences in reading and reviewing FRM and Mr.Fred taught how to handle data when it is bias, etc.).
Materials and lectures are well designed and focused. At the end of the course, I can take advanced knowledge gained in these materials to study and work. However, it would be more complete if the material introduces some other sources of reference so that I can read more after the courses.

If I have the opportunity to attend other courses, I would like to experience at ARFQuant again. " Thảo Nguyễn - OCB

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