Last chance to register for highly sought-after “Risk Management” course! Leading industry expert with over 30 years experience to deliver training – don’t miss out!

Level one of Integration & Solutions in Risk Management

CPAC is launching a new program to train aspired problem solvers and engineers to think from The First Principles in understanding Financial Risk Management and design and create a generic risk measure engine to help risk managers in the financial risk management area. 

Who should pay attention? 
Are you a high-caliber problem solver with both analytical and programming skills? Are you a top-notch analyst with a kin interest in financial risk management? Are you a good computer programmer and/or financial engineer with the aspiration to build innovative tools to measure financial risks? Have you ever wondered about how to think from the first principles in analyzing real world problems?
If you answer yes to the above questions, then you might be interested in finding out how this training may help you achieve your goals faster with less effort! 

What the training is about? 

The training is designed to progress through three levels. At the first level, the attendees will focus on modeling and analyzing market risks embedded in capital market financial instruments. But instead of trying to understand the complex mathematical models employed to deal with the derivative instruments, we focus on the most generic and fundamental first principles of risk measures. Based on this thinking, we create effective analytical tools to measure relevant risk metrics.
The attendees will then progress, at the second level, to deploying such tools with a risk measure data model, together with a SQL database, to define and collect risk measures to help risk managers for their daily risk analysis and hedging decisions.
At the third level, the attendees will get a glimpse of how to become an effective, full-stack problem solver to serve as a solution architect to design and develop an end-to-end risk management system!
As such, the training will be highly hands-on. The attendees need to be prepared to write their own computer codes to create their own risk measure engine at the guidance of the instructor. 
The most critical and fundamental is the training at the first level, after which the attendees can decide if they want to proceed to the next level. This entire training program will help the attendees to focus on the first principles and problem formulation in risk management. It will show how an effective computer program can be developed from ground up based on such principles and formulation and help the attendees to create their own computer program in a programming language they feel comfortable with.

At the end of the first level training, the attendees should be able to create and deploy a computer program that aims to measure the basic market risk metrics of a financial instrument in the capital market, an executable program that is robust, efficient, and more importantly, extensible and scalable. 
The training will use a demo program written in C++, but the attendees can write their own in other languages too.

What the training is NOT about?

Risk management is large topic and involves many layers of nuances. Thus, it is necessary to clarify what this training will not aim to offer:

1. This training is not about pricing derivatives, and further, it is not about financial engineering. Pricing right is critical in winning deals in capital market for the market makers. Pricing right requires more sophisticated mathematics and deeper insights in capital markets and is not the focus in this training. Rather, this training will focus on the generic valuation methodology and analytical framework to conduct sophisticated risk scenario analysis. While pricing and valuation share the same fundamentals, they focus on different areas and aim for different objectives.
2. This training is not about risk monitoring or oversight. Risk management relies on three pillars: a robust organizational structure to provide adequate risk oversight so a firm can avoid financial calamity and ruin like the Barings Bank, an effective and efficient risk measure engine to expose exactly what and how much risk a firm carries, and well-structured risk mitigation strategies that effectively utilizes the risk measure engine’s capabilities. This training will focus on designing the engine and will touch upon some basic techniques of using the risk measures.
3. This training is not about learning to write computer codes. Coding is a necessary tool for creating a risk measure engine, but the training does not teach coding. The training will focus on the architecture of a generic risk engine and the trainees can choose to write the codes in their preferred programming language. Therefore, it goes without saying that the trainees must be able, or at least willing to learn in a very short time, to program in one of the popular programming languages, such as Java, C#, Python, or C++. Examples used in the workshops will be written in C++, though.

Why learning to code one when there are many vendor offerings? 

It goes without saying that one can only manage what can be measured. This is particularly true for financial risk management. Therefore, risk management systems have been deployed in most financial institutions. So why do we need to train to build one of our own? 

The reasons are three-folds: 

1. Most of the risk management systems deployed by financial institutions are supplied by vendors. Due to the very nature of being a vendor system, they are invariably bulky, inflexible, and worse, they tend to be black-boxed, let lone they are all very expensive!  Even in-house built, the systems tend to become like a black-box over time.
2. Being a black-box, such systems create a high barrier for users to learn the intricacies of risk measures, causing inefficient risk analysis, and worse, incorrect interpretations of the numbers. 
3. The most important analysis a risk manager desires is the ability to perform scenario analysis with ease to deal with the dynamics and unpredictability of the capital market. But few vendor, or even some in-house built, systems offer the kind of flexibility and speed to allow for in-depth and large scale scenario analysis.  

A self-built, generic, and robust risk measure engine, as will be demonstrated through the training, can help plug the gap at extremely low cost! The process of creating one of your own will be a perfect learning experience to truly master the fundamentals of risk management techniques!
Who is running the workshops? 

Michael Wang, recently retired as the Head of Solutions & Integration in Risk Management at Manulife, will offer this training.

Michael holds a PhD in Operations Research from the University of Toronto. His career in risk management solutions began in 1994 at BMO, where he established himself as the principal problem solver. He created applications that are integrated into a complex system environment of derivative valuation and risk management.

In 1998, he joined CIBC where he created the Pipeline App for managing mortgage commitment risks, later extending it to cover the bank’s entire mortgage and GIC portfolio as well as asset securitization.

At Manulife since 2011, Michael led a team to design and build a comprehensive risk measure system for the firm’s variable annuity program and later expanded it into a fully integrated risk management system, consisting of a C++ analytical library, risk measure database, and automated data flow framework, to serve the firm’s general risk management needs.

Retired but eager to share his 30 years of knowledge, he aims to help more problem solvers in the financial industry through this training.

How will the training be conducted? 

It will be very intense! As mentioned above, the first level will focus on problem formulation and creating a prototypical computer program to address the risk measure problem. 

The first level training consists of ten virtual in-class training, one per week. Each in-class training will be followed by hours of individual study and work at home with clearly outlined requirements and test criteria.
The end goal is a computer program that can do the following: 

1. Take a set of inputs that define a portfolio of financial instruments, a set of market reference prices or yields, and a specification of market scenarios to be analyzed; 
2. Unpack the input data and construct necessary models internally to price each instrument in the portfolio under each market scenario; 
3. Output the risk measures, such PV, DV01, Cashflows, etc. in a dataset ready to be either uploaded into a database or an Excel workbook for further analysis. 

With the creation of this program, the attendees will 

1. Fully understand the first principles of valuing financial instruments; 
2. Design a compute framework for a generic risk measure requirement; 
3. Write decent computer code to implement the framework. 

Apparently, this is a hefty goal that demands a high level skillset from the attendees, so here is the basis requirement for attendee qualification: 

Good grasp of university level math such as calculus and linear algebra. The training will be ladened with mathematical jargons!  

Adequate fluency in at least one popular object-oriented programming language, such as C++, Java, Python, or others. The workshop will not teach basic programing skills! 

Most importantly, aspiration and commitment to becoming a top-notch, first-principle driven, hard-working analytical problem solver. The course is intense and demanding. Each in-class training must be followed by at least 10 hours of self-motivated learning and programing! 

How to enroll in the program?

Clearly, there is a barrier to entry: only the highly motivated and technically competent applicants are accepted. Therefore, potential attendees are required to submit a recent resume to apply for a seat. The instructor may decide to interview some applicants to ensure the course is indeed suitable for them.

Moreover, to ensure mutual understanding between the trainees and the instructor, there will be a Q&A session before the candidates finalize their registration, during which the instructor will describe in more detail what the training is about and answer questions.

Finally, trainees have a one-time opportunity to withdraw after the first three classes and receive a refund for the remaining seven classes.

Program Details:

Schedule: October 26 to December 28, 2024; 10 Saturdays; 10:00 AM to 12:00 PM
Format: Virtual via Zoom

For More Information & Registration:

Please contact Lily He, Program Manager, 416-298-7885 x103 or lily.he@cpac-canada.ca.

Disclaimer

The information provided in this training course, “Designing and Creating a Risk Measure Engine from First Principles,” is for educational purposes only. CPAC makes no representations or warranties of any kind, express or implied, about the completeness, accuracy, reliability, suitability, or availability with respect to the course content or the information, products, services, or related graphics contained in the course materials for any purpose. Any reliance you place on such information is therefore strictly at your own risk.

In no event will CPAC be liable for any loss or damage, including without limitation, indirect or consequential loss or damage, or any loss or damage whatsoever arising from loss of data or profits arising out of, or in connection with, the use of this training course.

Participants in this course are responsible for ensuring that they understand and comply with all applicable laws and regulations related to financial risk management in their respective jurisdictions. The course content does not constitute professional financial advice, and CPAC does not accept any responsibility for any actions taken or not taken as a result of the training provided.

By enrolling in this course, participants acknowledge that they are solely responsible for their learning outcomes and the application of the knowledge gained. CPAC does not guarantee any specific results from participating in this training program.

For any specific financial risk management concerns or questions, participants should consult with a qualified professional.