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
PrerequisitesComfort 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 AudienceThis 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:

  • Lesson 1 – Risk & Context
  • Lesson 2 – Value at Risk
  • Lesson 3 – Capital – Learning to work with capital
  • Lesson 4 – Limits
Course Availability Free - Username and Password are provided in the attached text file.

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