Overview Body of knowledge Testing FAQ

Body of Knowledge
Quantitative Risk Management

Data Science
Mathematics

Data Science
Foundations

Advanced
Data Science

Data Science
for Finance

Financial Engineering
for Investment

Quantitative Risk
Management

Quantitative Portfolio
Management

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

Risk budgeting: general criteria

Homogenous measures and Euler decomposition

Esscher expectation

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