Portfolio Risk Management and Attribution Analysis

Master comprehensive portfolio risk management and performance attribution through this advanced course designed for portfolio managers, risk officers, and institutional investors. This program provides sophisticated approaches to risk measurement, management, and performance analysis that optimize risk-adjusted returns in institutional portfolio management.

Risk Management Framework

• Risk Measurement: Value-at-Risk, expected shortfall, and tail risk measures for comprehensive portfolio risk assessment
• Factor Risk Models: Multi-factor risk models, factor decomposition, and systematic risk analysis for institutional portfolios
• Stress Testing: Scenario analysis, historical simulation, and extreme event modeling for robust risk management
• Risk Budgeting: Active risk allocation, risk contribution analysis, and optimal risk distribution across portfolio components
• Liquidity Risk Management: Liquidity assessment, funding liquidity, and market liquidity risk measurement and management

Performance Attribution

Implement sophisticated performance attribution including return-based attribution, holdings-based attribution, and factor-based attribution that provide detailed insight into portfolio performance drivers and manager skill assessment.

Portfolio Optimization

Apply advanced portfolio optimization techniques including mean-variance optimization, risk parity, and robust optimization that construct efficient portfolios while accounting for estimation uncertainty and market constraints.

Institutional Applications

Address institutional portfolio challenges including benchmark management, tracking error control, and regulatory constraints that affect large-scale portfolio management in pension funds, endowments, and asset management companies.

Risk Management Excellence

Essential for portfolio managers, risk officers, quantitative analysts, and institutional investors seeking advanced risk management and performance attribution capabilities. This course provides the analytical skills and practical frameworks necessary to manage complex institutional portfolios while optimizing risk-adjusted performance and meeting fiduciary responsibilities.