Build It in a Day Seminar, Presented by the ERM Program

September 27 – November 22 , 2024
Time for all workshops: 1:00 pm – 4:00 pm ET

These workshops offer the opportunity to experience risk management processes by building them. Examples include counterparty credit risk estimation, FAMA-French factor models, bank default modeling, risk management infrastructure at a lending company, the Fundamental Review of the Trading Book (FRTB), Comprehensive Capital Assessment and Review (CCAR). These major concepts are as much about their implementation as they are about their theoretical description; and organizations gain competitive advantage by effectively implementing these concepts. As a professional, a first step to adding value to this work at an organization is knowing how to build a simple version in a day.

How To Join a Session

Click here at 1:00 pm ET on the day of your desired workshop to join virtually. Each workshop ends at 4:00 pm ET.

Workshop Info 

Friday, September 27 | 1:00 pm to 4:00 pm ET
FRTB (Fundamental Review of the Trading Book) 1
Delve into the revised market risk framework. Build the standardized model to understand the impact on capital requirements and risk management practices for financial institutions.

Friday, October 4 | 1:00 pm to 4:00 pm ET
FRTB (Fundamental Review of the Trading Book) 2
Delve into the revised market risk framework. Build the Internal model to understand the impact on capital requirements and risk management practices for financial institutions.

Friday, October 11 | 1:00 pm to 4:00 pm ET
FRTB Counterparty Credit Risk 1
The Standardized Approach for Counterparty Credit Risk (SA-CCR) is a framework introduced as part of Basel III regulations. It models the exposure at default (EAD) of a bank’s counterparty credit risk from derivative contracts, securities financing transactions, and long settlement transactions. In this two-workshop sequence, we will demonstrate the main concepts and demonstrate their calculation step by step in Excel.

Friday, October 18 | 1:00 pm to 4:00 pm ET
FRTB Counterparty Credit Risk 2
The Standardized Approach for Counterparty Credit Risk (SA-CCR) is a framework introduced as part of Basel III regulations. It models the exposure at default (EAD) of a bank’s counterparty credit risk from derivative contracts, securities financing transactions, and long settlement transactions. In this two-workshop sequence, we will demonstrate the main concepts and demonstrate their calculation step by step in Excel.

Friday, October 25 | 1:00 pm to 4:00 pm ET
Risk Governance at Cephalgia Bank: A Case Study Project
Join us as we overhaul Cephalgia Bank's Governance function in this case study. Tasked with addressing complex regulatory challenges and enhancing operational efficiency, we will share the steps of creating a risk-based system that balances cost-effectiveness with strict compliance. We'll review Cephalgia bank's historical governance issues, prepare steps for the CRO and Chief Compliance Officer, and build a robust, audit-ready solution.

Friday, November 1 | 1:00 pm to 4:00 pm ET
Time Series Analysis
Time series analysis is increasingly important and changing dramatically. Making accurate forecasts help companies survive and succeed while bad forecasts may cause failure. We'll tour the field starting with the fundamentals and move quickly to modern adaptations using neural nets. If time permits, we'll explore transformers which drive the time series inside LLMs. Along the way, you will gain intuition into what machine learning tools augment time series analysis and how deep learning strategies further enhance time series analyses and even set the groundwork for large language models.

Friday, November 8 | 1:00 pm to 4:00 pm ET
Economic Capital Model
Understand the concept of economic capital and its application in assessing and managing risk at the enterprise level, including methodologies for quantifying capital requirements and optimizing risk-return trade-offs.

Friday, November 15 | 1:00 pm to 4:00 pm ET
Derivative Pricing Programming: Part 1
The workshop introduces a valuation concept that generalizes the pricing of derivatives to both Monte-Carlo and tree models. Students will learn the theoretical foundation of forward state propagation and backward induction, and the implementation of these concepts in Python code using a generic approach that can be used for any model. Applications cover pricing of equity options with European and American style as well as Asian options.

Friday, November 22 | 1:00 pm to 4:00 pm ET
Derivative Pricing Programming: Part 2
The workshop continues the derivative pricing programming with exotic options, first with barrier options and introduces an important discretization correction for continuous single and double barriers. Furthermore, auto-callable structures and target accrual redemption notes (TARNs) are implemented. Finally, basket options are covered, ranging from options on the minimum or maximum to Napoleon and Himalaya options.