Session IV

of

Complete Course in Professional Risk Management

Led by

Prof. Awi Federgruen

Dr. Dan Rodriguez

Wednesday Evenings

March 11, 18 & 25, 2009

6:30 p.m. - 9:30 p.m

 This module will cover the follow topics:

• Overview of Market Risk Management Structures
• Duration, Convexity and other Risk Measures in Bonds
• Portfolio risk Measures
• Introduction to Value at Risk
• Analytical VaR Models
• Historical Simulations
• Monte Carlo VaR Models
• Introduction to Stress Testing
• Backtesting

Registration

Click here to download the enrollment form.

You may register for this individual module by clicking on Register Online to the left, or you may register for the Complete Course in Professional Risk Management which consists of all eight modules and begins January 14, 2009.  Seating preference will be given to those who register for the complete program.  Sustaining members of PRMIA receive discounted prices.

Register on-line or by contacting Jill Fisher at 612-216-5497 or jill.fisher@prmia.org.

Corporate Invoicing

Corporate invoicing is available by contacting Jill Fisher at 612-216-5497 or jill.fisher@prmia.org.

Cancellation

A refund (less a US $100 administration fee) will be made if formal notice of cancellation is received two weeks prior to the date of the event.  We regret that no refunds will be made after that date.  Substitutions may be made at no extra charge.

Awi Federgruen is the Charles E. Exley Professor of Management and Chair of the Decision, Risk and Operations Division of the Graduate School of Business at Columbia University, at which school he served as Senior Vice Dean from 1997-2002. Professor Federgruen joined the Columbia University faculty in 1979 after receiving his doctorate in Operations Research at the University of Amsterdam in the Netherlands, and after being a Research Fellow at the Mathematical Centre in Amsterdam and a faculty member at the Graduate School of Management of the University of Rochester. He holds a courtesy appointment in Columbia’s School of Engineering and Applied Sciences.

Dr. Dan Rodriguez manages risk at Credit-Suisse.  His focus is on the risk management of a global cross-asset class proprietary trading portfolio within the investment banking division of Credit-Suisse.  His primary responsibilities include the development of portfolio risk limits and monitoring of portfolio risk profiles. He worked previously at Morgan Stanley with responsibility for market risk methodology for the Institutional Securities Group.  His research has been published in the Journal of Financial Economics and the Industrial Labor Relations Review.  Dan is a former National Science Foundation Fellow and is a regular participant in industry forums on market risk.

(DISCLAIMER:  This program may be changed or cancelled due to unforeseen circumstances).