Certificate | Quantitative Risk Management

Performance definitions

Portfolio P&L

Trading P&L

Implementation shortfall

Returns

Excess performance

Path analysis

Aggregation

Stock variables

Credit value adjustment

Liquidity value adjustment

Static market/credit risk

Dynamic market/credit risk

Step 6. Aggregation - Historical

Step 6. Aggregation - Monte Carlo

Stress-testing

Stress-testing in banks

Enterprise risk management

Enterprise risk management - Practice

Ex-ante evaluation

Stochastic dominance

Stochastic dominance fundamentals

Satisfaction/risk measures

Mean-variance trade-off

The fundamental risk quadrangle

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

Induced 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

Relationship between bottom-up and top-down exposures

Joint distribution

Application: hedging

Ex-ante attribution: risk

General criteria

Euler decomposition

Linear attribution for induced expectations

Diversification management

Step 8. Ex-ante attribution - Historical

Step 8. Ex-ante attribution - Monte Carlo

Body of Knowledge Quantitative Risk Management

Quantitative Risk Management

Body of Knowledge
Quantitative Risk Management