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Description

Quantitative Risk Management Techniques: Measuring, Modelling and Validating

Measure financial risk using models whose assumptions and limitations you fully understand

  • 2 days — 14 h
  • In-person or virtual
  • Expert
  • Up to 6 participants

Risk indicators circulate through committees without their underlying assumptions always being made explicit. A measure calibrated on a calm historical window creates false comfort, and a correlation estimated over a short period reverses at the worst possible moment. Teams must be able to explain what each indicator captures and, above all, what it leaves out.

These two days address the quantitative techniques used in risk management: market and credit risk measures, parameter estimation, stress scenarios and back-testing. The level is advanced: calculations are reworked and discussed, with deliberate attention to the situations in which the model fails.

Learning objectives

  • Select a risk measure suited to the nature of the portfolio under review
  • Estimate risk parameters and assess the stability of those estimates
  • Build stress scenarios consistent with actual exposures
  • Run a back-test of the measures produced and interpret exceptions
  • Articulate the limitations of a model before a decision-making body

What makes this programme different

Each method is applied to a demonstration portfolio and then deliberately pushed to failure
Results from the different approaches are compared on one identical data set
An explanatory note intended for a risk committee is drafted at the end of the programme

Programme

1Risk measures and their properties

Knowing what each indicator actually captures

  • Returns distributions and fat tails
  • Volatility value at risk and expected shortfall beyond the threshold
  • Expected properties of a risk measure and the diversification effect
  • Holding horizon and aggregation over time

2Estimation and market risk

Producing reproducible figures

  • Historical parametric and simulation-based approaches
  • Estimating volatility and correlations
  • Sensitivities and risk decomposition by factor
  • Option positions and non-linear effects

3Credit and counterparty risk

Modelling default and exposure

  • Probability of default loss given default and exposure
  • Rating models and migration matrices
  • Default dependence and portfolio concentration
  • Potential future exposure on over-the-counter transactions

4Stress scenarios and validation

Testing the model before the market does it for you

  • Building historical and hypothetical scenarios
  • Reverse stress testing from a target loss
  • Back-testing and interpretation of exceptions
  • Documenting limitations and model governance

Who is it for

Risk managers · quantitative analysts · risk controllers · internal auditors and portfolio managers exposed to market risk.

Prerequisites

A solid grasp of statistics and financial mathematics and regular use of a calculation or programming tool.

Dates & locations

36 scheduled dates between November 2026 and December 2027. Seats are confirmed in the order enquiries are received.

November 2026

December 2026

January 2027

February 2027

March 2027

April 2027

May 2027

June 2027

September 2027

October 2027

November 2027

December 2027

None of these dates suit you? We open additional sessions on request, and any programme can be run privately for your team.

Practical details

Before the programme
Online positioning questionnaire. Your development objectives are shared with the trainer, who tailors the practical case studies to your context.
Teaching methods
Theoretical input, workshops and practical case studies. Digital course materials and method sheets provided.
Assessment
Multiple-choice tests and role-play exercises. Assessment of learning at the start and end of the programme, with immediate and 60-day follow-up evaluations.
After the programme
One year of access to the e-learning platform. Self-assessment of the skills acquired and a 30-day follow-up session with your trainer.
How to register
Registration online or on the basis of a quotation.
Lead time
11 working days after confirmation of registration.
Accessibility
Accessible to people of determination. Contact our accessibility coordinator to design a suitable solution: contact@mpf-academy.ae
Start dates
Rolling intake: in addition to the scheduled sessions, this programme can start on request.