ECTS credits: 1
Trainer: Dr. Paul Magro

The learner will be able to:

• Identify and explain sources of interest rate risk in fixed income securities and compute standard measures of such risks including first and second order approximations as well as full revaluation of securities.
• Compute various estimates of volatility and calibrate model parameters to fit financial returns (applied in MS Excel).
• Apply industry standard risk measures including Value-at-Risk to linear and non-linear risk exposures.
• Evaluate computationally various metrics and understand the risks involved in using such measures (applied in MS Excel).
• Hedge equity, FX and interest rate risk using derivatives (applied in MS Excel).
• Understand the basis and apply extreme value theory.

Venue

Tower Training Centre
Lower Ground Floor, Tower Business Centre, Tower Street, Swatar, Malta. (view map)

(Free parking available at level minus 5)

Trainers

Dr. Paul Magro

Dr Magro is Co-Founder and Managing Director at RiskCap and is responsible for risk management and quantitative research. He joins RiskCap after recently receiving his PhD in Finance at the University of Bangor in June 2013. His research focused on hedge fund performance and risk, persistence and capital flows and is in the process of being published in top rated international journals. Paul is also a visiting lecturer at the University of Malta’s Banking and Finance department lecturing on hedge fund strategies, alternative investments and financial modelling. Paul is a member of the Malta Association of Risk Management and is a Certified Risk Manager (CIRM).