Risk Management with MATLAB

This one-day course provides a comprehensive introduction to risk management using MATLAB® and Financial Toolbox. The course is intended for risk analysts, risk managers, portfolio managers, and other financial professionals with prior experience of MATLAB who require to analyse, assess, and manage risk. The course uses examples from market and credit risk, although the techniques demonstrated are applicable in all risk areas, including interest-rate, liquidity, and operational risk.

High-level course themes include:

  • Constructing baselines for market risk assessment and analysis
  • Assessing the impact of market risk and relative portfolio performance
  • Computing and simulating commonly used risk metrics
  • Creating and analysing GARCH risk-oriented models
  • Evaluating and assessing credit risk
  • Calculating transition probabilities to forecast default rates
  • Classifying credit ratings based on historical data

Prerequisites: MATLAB for Financial Applications and knowledge of risk management concepts

Download the course outline