Program

The Quant Marathon includes four all-encompassing, mutually exclusive, core learning courses that cover all of the topics of the ARPM Lab, plus several refresher topics for preparation purposes.

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Quantitative Risk Management

30-hours course
This course prepares for the Quantitative Risk Management module of the ARPM Certificate Body of Knowledge.
About the ARPM Lab
About quantitative finance: P and Q
Notation
The "Checklist": executive summary
Aggregation
Stock variables
Portfolio value
Credit value adjustment
Liquidity value adjustment
Portfolio P&L
Trading P&L
Implementation shortfall
Returns
Excess performance
Static market/credit risk
Dynamic market/credit risk
Stress-testing
Stress-testing in banks
Enterprise risk management
Enterprise risk management - Practice
Ex-ante evaluation
Stochastic dominance
Satisfaction/risk measures
Mean-variance trade-off
Quantile (value at risk)
Enterprise risk management
Coherent satisfaction measures
Non-dimensional ratios
Additional measures
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
Diversification management

Testimonials

Our thousands of Alumni include senior executives from world-renowned banks such as Goldman Sachs and Morgan Stanley, funds such as BlackRock, Two Sigma and AQR, and a wide range of other professionals and academics with different backgrounds.

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