Quant Crash Course – Course Outline
 The Distribution or generator function
 The importance of Volatility and Correlation to a risk management or control function
 The importance of having pretrade controls and limits
 Duration, Convexity and Optionality
 Value at Risk (VaR) measure and its various applications
 The limitations of using a VaR measure
 Various types of capital and risks for which capital may be attributed
 A capital focused risk management framework
 A limits management framework
 Types of limits such as stop loss, transaction, expectations and counterparty limits
Course Prerequisites
Comfort with basic mathematics and an understanding of the risk management environment together with a familiarity of financial markets, banking industry, economic capital, portfolio management concepts and the Basel II framework.
Course Audience
This course is targeted at intermediate and advanced users and individuals responsible for capital allocations, limit setting and risk management with the treasury functions of banks and other financial institutions.
Course Guide
Here is the structure of the course.
Title

Duration


Session 1 – Risk & Context  

33:15 mins  

38:19 mins  

19:48 mins  
Session 2 – Value at Risk  

22:58 mins  

36:06 mins  
Session 3 – Capital – Learning to work with capital  41:15 mins  
Session 4 – Limits  46:01 mins 
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Pages
 Self Study
 Learning Roadmaps
 Asset Liability Management – Learning Roadmap
 Basel II & Basel III Frameworks – Learning Roadmap
 Commodities – Learning Roadmap
 Corporate Finance – Learning Roadmap
 Derivatives Pricing – Learning Roadmap
 ICAAP (Internal Capital Adequacy), Stress Testing and Credit Risk – Learning Roadmap
 Internal Capital Adequacy Assessment Process (ICAAP) – Learning Roadmap
 Monte Carlo Simulation – Learning Roadmap
 Setting Market Risk Limits – Learning Roadmap
 Treasury Products and Operations – Learning Roadmap
 VaR (Value at Risk) – Learning Roadmap
 Topic Guides
 Asset Liability Management (ALM) Crash Course – Topic Guide
 Basel & ICAAP – Topic Guide
 Black Derman Toy (BDT) Interest Rate Model – Topic Guide
 Calculating Value at Risk (VaR) – Topic Guide
 Credit Analysis & Credit Process – Topic Guide
 Derivative Pricing – Topic Guide
 Derivative Products – Topic Guide
 Forward Rates and Forward Prices – Topic Guide
 Heath Jarrow Merton (HJM) Interest Rate Model – Topic Guide
 Interest Rate Simulation Crash Course – Topic Guide
 Monte Carlo Simulation – Topic Guide
 Pricing Interest Rate Swaps & Interest Rate Options – Topic Guide
 Setting Counterparty Limits – Topic Guide
 Treasury Crash Course – Topic Guide
 Video Courses
 ALM and Capital Adequacy – Course Outline
 Calculating VaR ( Value at Risk) – Course Outline
 Cross Selling Treasury Products – Course Outline
 Option Pricing using Binomial Trees – Course Outline
 Option Pricing using Monte Carlo Simulation – Course Outline
 Quant Crash Course – Course Outline
 Selling Derivatives Products – Course Outline
 Setting Value at Risk, Stop Loss, Pre Settlement and Counterparty Limits – Course Outline
 Stress Testing – Course Outline
 Understanding N(d1) and N(d2) – Course Outline
 Pitching for Startups – Course Outline
 Learning Roadmaps
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"Concise, to the point. Very informative and very practical.”
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“Excellent. If the time could be extended this would be an even better learning experience.”
Excellent teaching skills. The instructor made every effort to explain most complicated finance concepts in simplest possible ways."
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