Body of Knowledge

Data Science
Financial Engineering
for Investment
Quantitative Risk
Management
Quantitative Portfolio
Management

Quantitative Risk Management

About the ARPM Lab
About quantitative finance: P and Q
Notation
The "Checklist": executive summary
Aggregation
Stock variables
Portfolio value
Credit value adjustment
Liquidity value adjustment
Portfolio P&L
Trading P&L
Implementation shortfall
Returns
Excess performance
Static market/credit risk
Dynamic market/credit risk
Stress-testing
Stress-testing in banks
Enterprise risk management
Enterprise risk management - Practice
Step 6. Aggregation - Historical
Step 6. Aggregation - Monte Carlo
Ex-ante evaluation
Stochastic dominance
Satisfaction/risk measures
Mean-variance trade-off
Expected utility and certainty-equivalent
Quantile (value at risk)
Expected shortfall and sub-quantile
Enterprise risk management
Spectral satisfaction measures/Distortion expectations
Coherent satisfaction measures
Twisted expectations
Non-dimensional ratios
Step 7. Ex-ante evaluation - Historical
Step 7. Ex-ante evaluation - Monte Carlo
Ex-ante attribution: performance
Bottom-up exposures
Top-down exposures: factors on demand
Joint distribution
Application: hedging
Ex-ante attribution: risk
Risk budgeting: general criteria
Homogenous measures and Euler decomposition
Diversification management
Step 8. Ex-ante attribution - Historical
Step 8. Ex-ante attribution - Monte Carlo
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