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

February 14 – May 2 , 2025
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, February 14 | 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, February 21 | 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, February 28 | 1:00 pm to 4:00 pm ET
CCAR
Explore the entire process of CCAR and simulate one of the government defined scenarios for a given portfolio. The workshop also reviews different institutions and their official CCAR submissions.

Friday, March 7 | 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, March 14 | 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, March 28 | 1:00 pm to 4:00 pm ET
Regulatory Capital Attribution
The presentation demonstrates how an incremental VaR-based approach provides a transparent, mathematically consistent way of attributing regulatory capital—enabling risk managers and actuaries to pinpoint which items on the balance sheet drive the highest capital usage and how changes in market factors (like interest rates) affect overall required capital.

Friday, April 4 | 1:00 pm to 4:00 pm ET
Generative AI and Risk Management
Explore the risks and rewards of implementing generative AI at major financial institutions.

Friday, April 11 | 1:00 pm to 4:00 pm ET
Factor Models from a Managerial Perspective
Come learn about what it's like to manage the risks and exposures of major financial institutions using factor models. A hands-on experience is available using the Aptimum Platform.

Friday, April 18 | 1:00 pm to 4:00 pm ET
Factor Model Implementation using Aptimum
Come learn more about using factor models with a hands-on tutorial using the Aptimum Platform.

Friday, April 25 | 1:00 pm to 4:00 pm ET
Factor Model Approaches
This session will introduce students to the different approaches used in commercially available factor models from leading providers. We will focus on equity factor models with a brief intro to multi-asset class models. The session will be run in 2 parts: Part 1 will survey the popular approaches used by different providers which include statistical factor models and fundamental factor models. Students will learn why factor models exist, how they were initially created, and different flavors and approaches to factor modelling. We will cover the evolution and innovation in factor models recently. A very brief overview of extending the factor model structure into other asset classes will be shared as well; Part 2 of the discussion will focus on the practical implementation of off-the-shelf factor models at buy side institutions. We will cover best practices, advantages, drawbacks, and limitations.

Friday, May 2 | 1:00 pm to 4:00 pm ET
Macroeconomic Risk in Markets
This session will start with laying the groundwork for macroeconomic risk in markets. The course will elaborate on the macro risk factors that affect assets and cover the evolution of approaches to measuring, managing and mitigating macro risk in portfolios. Although the focus is on equities, we will discuss how macro variables impact risk more broadly across sectors and assets. We will highlight the importance of macro risk in particular around the re-emergence of macro driving equity markets in 2022-2024. The session hands-on learning, discussion and group work for students.