Course 5: Quantitative Risk Management
The course “Quantitative Risk Management” covers the computation of a portfolio’s return and risk and their exposure to key risk factors.
In particular, this course covers the following topics:
- Aggregation, which is the computation of a portfolio’s value, including enterprise portfolios, and its ex-ante return distribution in both regular and stress markets
- Ex-ante evaluation, which is the computation of risk measures such as VaR, CVaR, and more general spectral measures and expected utility
- Ex-ante attribution, which is the decomposition of the ex-ante return and risk measures into key risk factors
For a detailed list of topics, refer to the Syllabus here below (expand the dropdown).
You can choose to complete an optional project at the end of this course that will count as the Practical Project towards the attainment of the ARPM Certification.
