Quant Crash Course - Online Course
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Product Details
Course Type: Online including video
Video Length: 117 minutes
Availability: Free
About the Course
This course covers volatility, value at risk, capital and limit management frameworks for a treasury function. The course material has evolved over a number of years as part of our risk training practice particularly in the areas of derivative pricing and risk management. The following topics among others are discussed in the course:
- The Distribution or generator function
- The importance of Volatility and Correlation to a risk management or control function
- The importance of having pre-trade controls and limits
- Duration, Convexity and Optionality
- Value at Risk (VaR) measure and its various applications
- The limitations of using a VaR measure
- Various types of capital and risks for which capital may be attributed
- A capital focused risk management framework
- A limits management framework
- Types of limits such as stop loss, transaction, expectations and counterparty limits
Learning objectives
After taking this course you will be able to:
- Outline the context and function of risk management
- Explain what it means to understand the generator function or distribution of a given driver or dataset
- Differentiate between empirical volatility, trading volatility and implied volatility
- Describe how correlation is a dangerous factor in a risk management or control system
- State how volatility is a friend to the risk system
- Clarify an element of an effective limit system
- Calculate duration and convexity
- Define the property of convexity
- Summarize the relationships between optionality and volatility & optionality and convexity
- Define Value at Risk (VaR)
- Summarize the process for determining the VaR estimate
- Calculate VaR
- State the possible uses of the VaR measure
- Distinguish between Rate VaR & Price VaR
- Describe and compare the three VaR approaches
- Outline the qualifications and issues of these approaches
- List Taleb’s rules for risk management
- Discuss the types & definitions of capital
- Differentiate between regulatory & economic capital
- Summarize a dynamic risk and limits framework built around capital
- Describe the issues and concerns regarding capital that need to be addressed by the framework
- State the types of risk for which capital may be assessed
- Explain the issues surrounding capital aggregation
- Outline the ICAAP model & framework
- List some transaction & expectation driven limits
- Summarize how VaR measures can be linked to Capital
- Define the common types of limits in a limit management system
- Describe pre-settlement risk (PSR) limit
- Give examples of transaction and exposure limits & sensitivity limits
- List sensitivity tests for PSR limits
- Detail the stop loss limit process
- Explain how to link VaR and Stop Loss limits
- Evaluate exceptions and breaches of limits
- Define potential future exposure (PFE)
Course Details | ||||
Level | Intermediate | |||
Prerequisites | Comfort with basic mathematics and an understanding of the risk management environment together with a familiarity of financial markets, banking industry, economic capital, portfolio management concepts and the Basel II framework. | |||
Target Audience | This course is targeted at intermediate and advanced users and individuals responsible for capital allocations, limit setting and risk management with the treasury functions of banks and other financial institutions. | |||
Advance Preparation | None | |||
Minimum Browser Requirements | This site is best viewed in Google Chrome, Firefox or Safari. Please note we do not support Internet Explorer. | |||
Course Guide | This course consists of four lessons:
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Course Availability | Free - Username and Password are provided in the attached text file. | |||
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