FINANCIAL RISK MANAGER (FRM) PART 2

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Course Content

Market Risk Measurement and Management

  • VaR and other risk measures
  • Parametric and non-parametric methods of estimation
  • VaR mapping
  • Backtesting VaR
  • Expected shortfall (ES) and other coherent risk measures
  • Extreme Value Theory (EVT)
  • Modeling dependence: correlations and copulas
  • Term structure models of interest rates
  • Volatility: smiles and term structures
  • Fundamental Review of the Trading Book (FRTB)

Credit Risk Measurement and Management

Operational Risk and Resilience

Risk Management and Investment Management

Current Issues in Financial Markets

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