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Quantitative Risk Management

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The Quant Marathon guides students through the ARPM Lab in seven all-encompassing, mutually exclusive, core learning courses, plus optional coding refresher courses for preparation purposes.

Quantitative Risk Management

30-hours course
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
Excess performance
Path analysis
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 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
Quantile (value at risk)
Expected shortfall and sub-quantile
Enterprise risk management
Coherent satisfaction measures
Induced expectations
Non-dimensional ratios
Ex-ante attribution: performance
Bottom-up exposures
Top-down exposures: factors on demand
Joint distribution
Application: hedging
Ex-ante attribution: risk
Risk budgeting: general criteria
Esscher expectation
Diversification management

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In addition to delivery through the Quant Bootcamp and online programs at arpm.co, ARPM's programs are also delivered by leading universities as credit coursework, and by financial institutions for the education and the growth of their talent pool. Contact us to learn more about the ARPM Academia and Corporate programs.


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