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Quant Marathon program

Courses

The Quant Marathon guides students through the ARPM Lab in seven all-encompassing, mutually exclusive, core learning courses.

Primers for Python and MATLAB are also available on demand.

Quantitative Risk Management

This course prepares for the Quantitative Risk Management module of the ARPM Certificate Body of Knowledge.

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

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