Guide Energy Risk Modelling: Applied Modelling Methods for Risk Managers

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  1. Upcoming Events
  2. Synthetic data. A proposed method for applied risk management
  3. Evaluation Copy
  4. Nigel Da Costa Lewis (Author of The Fundamental Rules of Risk Management)

The mechanics of forwards, futures, swaps and options. Option pricing in the 1-period binomial model. Derivatives pricing in the binomial model including European and American options; handling dividends; pricing forwards and futures; convergence of the binomial model to Black-Scholes. Binomial lattice models of the short-rate; pricing fixed income derivative securities including caps, floors swaps and swaptions; the forward equations and elementary securities. Limitations of term-structure models and derivatives pricing models in general. I appreciate how this course not only discusses the concepts in technical detail, but actually delves into the mathematics of the subject matter, and teaches how to actually do the actual work inv.

This course is amazing. The structure is very clear and coherent. It is very mathematically focused and the models are interesting.

Quantitative Risk Modelling Job Profiles - Model Validation- Stress Testing

I would always recommend this course to my colleagues. Peer review assignments can only be submitted and reviewed once your session has begun. If you choose to explore the course without purchasing, you may not be able to access certain assignments. When you purchase a Certificate you get access to all course materials, including graded assignments. Upon completing the course, your electronic Certificate will be added to your Accomplishments page - from there, you can print your Certificate or add it to your LinkedIn profile.

If you only want to read and view the course content, you can audit the course for free. More questions? Visit the Learner Help Center. Browse Chevron Right. Business Chevron Right. Offered By. Columbia University. About this Course , recent views. Flexible deadlines.

Flexible deadlines Reset deadlines in accordance to your schedule. Hours to complete. Available languages. English Subtitles: English. Chevron Left. Syllabus - What you will learn from this course. An introduction to the course. Video 1 video. Course Overview 8m. Reading 2 readings. Course Overview 10m. About Us 10m. Video 4 videos. Introduction to No-arbitrage 13m. Interest Rates and Fixed Income Instruments 21m. Forward Contracts 13m.


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Lesson Supplements 10m. Quiz 1 practice exercise. Introduction to Basic Fixed Income Securities 14m. Video 7 videos. Swaps 10m.

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Futures 17m. Futures Excel 7m. Options 17m. Options Pricing 13m. The 1-Period Binomial Model 12m.

Option Pricing in the 1-Period Binomial Model 20m. Introduction to Derivative Securities 12m. Our flagship business publication has been defining and informing the senior-management agenda since Our learning programs help organizations accelerate growth by unlocking their people's potential. Risk management in banking has been transformed over the past decade, largely in response to regulations that emerged from the global financial crisis and the fines levied in its wake.

But important trends are afoot that suggest risk management will experience even more sweeping change in the next decade. McKinsey research suggests that by , these numbers will be closer to 25 and 40 percent, respectively.

Synthetic data. A proposed method for applied risk management

But the fundamental trends do permit a broad sketch of what will be required of the risk function of the future. The trends furthermore suggest that banks can take some initiatives now to deliver short-term results while preparing for the coming changes. By acting now, banks will help risk functions avoid being overwhelmed by the new demands.


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While the magnitude and speed of regulatory change is unlikely to be uniform across countries, the future undoubtedly holds more regulation—both financial and nonfinancial—even for banks operating in emerging economies. Much of the impetus comes from public sentiment, which is ever less tolerant of bank failures and the use of public money to salvage them.

Evaluation Copy

Most parts of the prudential regulatory framework devised to prevent a repetition of the financial crisis are now in place in financial markets in developed economies. But the future of internal bank models for the calculation of regulatory capital, as well as the potential use of a standardized approach as a floor Basel IV , is still being decided.

The proposed changes could have substantial implications, especially for low-risk portfolios such as mortgages or high-quality corporate loans.

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Governments are exerting regulatory pressure in other forms, too. Increasingly, banks are being required to assist in crackdowns on illegal and unethical financial transactions by detecting signs of money laundering, sanctions busting, fraud, and the financing of terrorism, and to facilitate the collection of taxes. Governments are also demanding that their banks comply with national regulatory standards wherever they operate in the world.

Nigel Da Costa Lewis (Author of The Fundamental Rules of Risk Management)

Banks operating abroad must already adhere to US regulations concerning bribery, fraud, and tax collection, for example. Regulations relating to employment practices, environmental standards, and financial inclusion could eventually be applied in the same way. The terms and conditions of contracts, marketing, branding, and sales practices are regulated in many jurisdictions, and rules to protect consumers are likely to tighten.

Banks will probably be closely examined for information asymmetries, barriers to switching banks, inappropriate or incomprehensible advice, and nontransparent or unnecessarily complex product features and pricing structures. The bundling and cross-subsidizing of products could also become problematic. In certain cases, banks might even be obliged to inform their customers of more suitable products with better terms than the ones they have—such as a lower remortgage rate.

Utility suppliers in some markets are already obliged to do this. This tightening regulatory environment makes unviable the traditional model to manage regulatory risks; the risk function will need to build even more robust regulatory and stakeholder-management capabilities. Risk functions must not only ensure compliance with existing rules but also review the entire sales-and-service approach through a broad, principle-based lens. In addition, the risk function will play a vital role in collaborating with other functions to reduce risk—for example, by working more closely with the business to integrate and automate the correct behaviors and to eliminate human interventions.

Technological innovation has ushered in a new set of competitors: financial-technology companies, or fintechs. They do not want to be banks, but they do want to take over the direct customer relationship and tap into the most lucrative part of the value chain—origination and sales. They also earned banks an attractive 22 percent return on equity, much higher than the gains they received from the provision of balance sheet and fulfillment, which generated a 6 percent return on equity.

For a more detailed discussion, see The fight for the customer: McKinsey global banking annual review , September Most fintechs start by asking customers to transfer a single piece of their financial business, but many then steadily extend their services. If banks want to keep their customers, they will have to up their game, as customers will expect intuitive, seamless experiences, access to services at any time on any device, personalized propositions, and instant decisions.

For banks to deliver at this level, they will have to be redesigned from the perspective of customer experience and then digitized at scale. Fintechs such as Kabbage, a small-business lender that operates in the United Kingdom and the United States, set a high customer-service bar for banks—and present new challenges for their risk functions. Kabbage does not require loan applicants to fill out lengthy documents to establish creditworthiness. Instead, it draws upon a wide range of customer information from data sources such as PayPal transactions, Amazon and eBay trade information, and United Parcel Service shipment volumes.

While it remains to be seen how such fintechs perform in the longer term, banks are learning from them. Some are designing account-opening processes, for example, where most of the requested data can be drawn from public sources. The risk function will have to work closely with each business to meet these kinds of customer expectations while containing risk to the bank. Technology also enables banks and their competitors to offer increasingly customized services. This degree of customization is expensive for banks to achieve because of the complexity of supporting processes.

Regulatory constraints might well be imposed in this area, however, to protect consumers from inappropriate pricing and approval decisions.