Body of Knowledge
Quantitative Risk Management
The module "Quantitative Risk Management" covers:
- the financial aspects of risk management (risk aggregation, model risk, stress-testing, back testing, exposure computation, risk attribution, etc...)
- the mathematical aspects of risk measurement (dependence, copulas, dispersion, etc...)
This module covers the above topics in a unified framework across the financial industry: asset management, banking, and insurance; and for both fund risk management and enterprise risk management.
- the financial aspects of risk management (risk aggregation, model risk, stress-testing, back testing, exposure computation, risk attribution, etc...)
- the mathematical aspects of risk measurement (dependence, copulas, dispersion, etc...)
This module covers the above topics in a unified framework across the financial industry: asset management, banking, and insurance; and for both fund risk management and enterprise risk management.
Mean-variance trade-off
Expected utility and certainty equivalent
Quantile-based measures (value at risk)
Expected utility and certainty equivalent
Quantile-based measures (value at risk)
Scenario-based quantile
Quantile – Smooth quantile
Elliptical
Extreme value theory
Cornish-Fisher approximation
Economic capital (regulatory framework)
Quantile – Smooth quantile
Elliptical
Extreme value theory
Cornish-Fisher approximation
Economic capital (regulatory framework)