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24 Interactive Presentations
4 Practice Tests
53 Summary Outlines
24 Interactive Presentations
These are review presentations, meant for the studied professional who wants to sharpen his or her skills, frame the subject matter, and understand which concepts are the most important.
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1 Probability Basics
Learn the basics of probability, including AND, OR and CONDITIONAL probability rules. Build up to discrete probability distributions, focusing on the binomial probability distribution. Concludes with a discussion of distribution moments.
Learn the basics of probability, including AND, OR and CONDITIONAL probability rules. Build up to discrete probability distributions, focusing on the binomial probability distribution. Concludes with a discussion of distribution moments.
2 Probability Distributions in Statistics and Finance
Learn the continuous distributions, the normal, Student's t, Chi squared, F and lognormal distributions, and the principles that link these distributions.
Learn the continuous distributions, the normal, Student's t, Chi squared, F and lognormal distributions, and the principles that link these distributions.
3 Statistics and Hypothesis Testing
Study statistical estimators, estimator criteria, statistical confidence intervals and classical hypothesis testing.
Study statistical estimators, estimator criteria, statistical confidence intervals and classical hypothesis testing.
4 Correlation and Simple Regression
Learn the basics of correlation and linear regression, including uses and abuses, and how to determine the significance of correlation and regression betas.
Learn the basics of correlation and linear regression, including uses and abuses, and how to determine the significance of correlation and regression betas.
5 Advanced Regression Topics
Study regression specification testing, correcting for known regression problems, and time series regression including ARIMA and GARCH.
Study regression specification testing, correcting for known regression problems, and time series regression including ARIMA and GARCH.
6 Simulation
Learn how to perform simulations, and to use simulations for valuations and risk assessment. Includes a study of mean reversion, and the application of simulation methods to prices, indexes and rates.
Learn how to perform simulations, and to use simulations for valuations and risk assessment. Includes a study of mean reversion, and the application of simulation methods to prices, indexes and rates.
7 Value of Risk Management
Learn the relationship between risk and capital, how risks are classified, and how to add value with risk management in corporations, especially financial institutions.
Learn the relationship between risk and capital, how risks are classified, and how to add value with risk management in corporations, especially financial institutions.
8 Portfolio and Asset Pricing Theory
Study Markowitz portfolio theory, the assumptions and intuition behind the CAPM, extensions to the CAPM and multifactor asset pricing models.
Study Markowitz portfolio theory, the assumptions and intuition behind the CAPM, extensions to the CAPM and multifactor asset pricing models.
9 Performance Measurement
Learn the classic performance measures in asset management, including risk-adjusted measures, single factor models and multi-factor models.
Learn the classic performance measures in asset management, including risk-adjusted measures, single factor models and multi-factor models.
10 Present Value, Rates and Government Securities
Present value, periodicity, continuous compounding, accounting for inflation, and using forward interest rates. Includes quotation and valuation methods for four U.S. government securities: Bills, bonds, TIPS and STRIPs. See if you can solve the challenge problems!
Present value, periodicity, continuous compounding, accounting for inflation, and using forward interest rates. Includes quotation and valuation methods for four U.S. government securities: Bills, bonds, TIPS and STRIPs. See if you can solve the challenge problems!
11 Term Structure and Bond Risk Measures
More detail on forward rates and theories of the term structure. Study yield to maturity, and risk measures such as duration and convexity. Concludes with discussions of bond portfolio immunization and suggests alternatives for the classic "parallel shift" formulation.
More detail on forward rates and theories of the term structure. Study yield to maturity, and risk measures such as duration and convexity. Concludes with discussions of bond portfolio immunization and suggests alternatives for the classic "parallel shift" formulation.
12 Forwards, Futures and Swaps
Defines a forward contract using real estate. Explores the properties of forwards and futures. Questions the use of futures and forwards for real-world hedging situations.
Defines a forward contract using real estate. Explores the properties of forwards and futures. Questions the use of futures and forwards for real-world hedging situations.
13 Options Basics
Covers the definition of options, their properties, uses, and strategies for speculators and hedgers.
Covers the definition of options, their properties, uses, and strategies for speculators and hedgers.
14 Option Valuation and Risk
Advanced topic in options including valuation using binomial and Black-Scholes methods. Learn the Greeks, and the pros and cons of "neutralized" trading strategies.
Advanced topic in options including valuation using binomial and Black-Scholes methods. Learn the Greeks, and the pros and cons of "neutralized" trading strategies.
15 Advanced Fixed Income Products
Topics include major bank products, deposits, loans, REPOs, mortgages, and mortgage-backed securities, including a discussion of modeling prepayment risk.
Topics include major bank products, deposits, loans, REPOs, mortgages, and mortgage-backed securities, including a discussion of modeling prepayment risk.
16 Foreign Exchange and FX Derivatives
Drivers of foreign exchange rate, and discussion of two parity relationships: PPP and IRP. Also includes pricing of forwards, and different types of foreign currency swaps.
Drivers of foreign exchange rate, and discussion of two parity relationships: PPP and IRP. Also includes pricing of forwards, and different types of foreign currency swaps.
17 Commodities and Their Derivatives
An overview of physical commodity markets, commodity forwards, futures and options. New material not available anywhere else.
An overview of physical commodity markets, commodity forwards, futures and options. New material not available anywhere else.
18 Corporate Credit and Credit Derivatives
Includes institutional features of corporate bonds, and the underlying economic relationships between credit quality and pricing. Also discusses embedded optionality, such as callability and conversion. Ends with a presentation of corporate debt derivatives (CDS) and structured products.
Includes institutional features of corporate bonds, and the underlying economic relationships between credit quality and pricing. Also discusses embedded optionality, such as callability and conversion. Ends with a presentation of corporate debt derivatives (CDS) and structured products.
19 Bank Trading and Hedging
Discusses how banks manage their trading functions, which include many types of derivative trading strategies. Ranges from matched book strategies through prop trading, and includes carry trades and high frequency trading. Concludes with a serious look at risks to bank trading beyond VAR.
Discusses how banks manage their trading functions, which include many types of derivative trading strategies. Ranges from matched book strategies through prop trading, and includes carry trades and high frequency trading. Concludes with a serious look at risks to bank trading beyond VAR.
20 VAR Basics
How to compute volatility and VAR, and how VAR relates to capital. Also, how to apply VAR to nonlinear instruments like bonds and options.
How to compute volatility and VAR, and how VAR relates to capital. Also, how to apply VAR to nonlinear instruments like bonds and options.
21 Credit Risk Framework
Starts with Basel II credit definitions, and how banks analyze credit. Includes the Merton model. How credit models are parameterized, with examples of expected loss and unexpected loss. Ends with a discussion of public credit ratings.
Starts with Basel II credit definitions, and how banks analyze credit. Includes the Merton model. How credit models are parameterized, with examples of expected loss and unexpected loss. Ends with a discussion of public credit ratings.
22 Sovereign Risk Framework
A brief history of sovereign risk, with comparisons to corporate credit risk. Discusses prevalent frameworks for assessing sovereign risk, and ends with a description of Brady Bonds.
A brief history of sovereign risk, with comparisons to corporate credit risk. Discusses prevalent frameworks for assessing sovereign risk, and ends with a description of Brady Bonds.
23 Operational Risk Framework
Defines and classifies operational risks, and then builds a framework for operational risk assessment including regulatory capital treatments.
Defines and classifies operational risks, and then builds a framework for operational risk assessment including regulatory capital treatments.
24 Risk Failures
Lists reasons for risk failures, and summarizes six major disasters. How companies can avoid becoming the next derivatives debacle.
Lists reasons for risk failures, and summarizes six major disasters. How companies can avoid becoming the next derivatives debacle.
4 Practice Tests
Timed, 100-question FRM® Level I tests to challenge your knowledge of all four GARP® categories.
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Diagnostic results will guide your study and help you improve on subsequent tests. We provide immediate results and performance by category. And, like the FRM®, there are no retakes and no solutions. This is a real test!
53 Summary Outlines
Save time, review all the topic areas, and identify any articles you may need to re-read. Outlines cover the following topics:
- Foundations of Risk Management
- Quantitative Analysis
- Financial Markets & Products
- Valuation & Risk Models
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