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Abridged lecture material on Enterprise Risk Management (ERM)

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Links to lecture material covering topics included in the CERA syllabus and organised into two courses, a ‘foundation’ ERM course and an ‘advanced’ ERM course are set out below:

 

Foundation ERM

 

1.       ERM Concepts

2.       Risk measures

3.       ERM Frameworks

4.       Market Risk

5.       Credit Risk

6.       Operational Risk

7.       Correlation, co-dependency and risk aggregation

8.       Extreme Events and Extreme Value Theory (EVT)

9.       Other risks

 

Advanced ERM

 

1.       ERM concepts and Risk categorisation

2.       Risk measures and Measuring, managing and mitigating market, credit and operational risk

3.       ERM Frameworks and Responses to risk

4.       Risk appetite and Risk team structure

5.       Risk aggregation and Extreme Events

6.       Stress testing and Measuring, managing and mitigating liquidity and funding risk

7.       Economic capital and Managing other risks

8.       Formulating, implementing and validating risk models

 

Links to more advanced lecture material going beyond the CERA syllabus are set out below:

 

Further ERM

 

1.       Analysis of extreme events

2.       Creating risk and return models that incorporate market dynamics

3.       Stress testing incorporating causal dependency

4.       Pension fund risk management using Holistic Balance Sheets

 


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