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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
Second order stochastic dominance
Order q stochastic dominance
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
Twisted 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


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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