Certificate in Financial Risk Management

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Course Videos Part-1 53 Topics

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001.Course Overview

002. Introduction to No-arbitrage

003. Interest Rates and Fixed Income Instruments

004. Floating Rate Bonds and Term Structure of Interest Rates

005. Forward Contracts

011. The 1-Period Binomial Model

012. Option Pricing in the 1-Period Binomial Model

013. The Multi-Period Binomial Model

014. What’s Going On

015. Pricing American Options

016. Replicating Strategies

017. Including Dividends

018. Pricing Forwards and Futures in the Binomial Model

019. The Black-Scholes Model

020. An Example Pricing a European Put on a Futures Contract

021. Introduction to Term Structure Lattice Models

022. The Cash Account and Pricing Zero-Coupon Bonds

023. Fixed Income Derivatives Options on Bonds

024. Fixed Income Derivatives Bond Forwards

025. Fixed Income Derivatives Bond Futures

026. Fixed Income Derivatives – Caplets and Floorlets

027. Fixed Income Derivatives – Swaps and Swaptions

028. The Forward Equations

029. Model Calibration

030. An Application Pricing a Payer Swaption in a BDT Model

031. Fixed Income Derivatives Pricing in Practice

032. Modeling Defaultable Bonds

033. Pricing Defaultable Bonds

034. Credit Default Swaps

035. Pricing Credit Default Swaps

036. Interview with Emmanuel Derman

037. Introduction to Mortgage Mathematics and Mortgage-Backed Securities

038. Prepayment Risk and Mortgage Pass-Throughs

039. Mortgage Pass-Throughs in Excel

040. Principal-Only and Interest-Only MBS

041. Risks of Principal-Only and Interest-Only MBS

042. Collateralized Mortgage Obligations (CMOs)

043. Pricing Mortgage-Backed Securities

044. Review of Basic Probability

045. Review of Conditional Expectations and Variances

046. Review of Multivariate Distributions

047. The Multivariate Normal Distribution

048. Introduction to Martingales

049. Introduction to Brownian Motion

050. Geometric Brownian Motion

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Course Videos Part-2 52 Topics

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001. Overview of Mean Variance

002. Introduction to Mean Variance in Excel

003. Efficient Frontier

004. Mean Variance with a Risk-free Asset

005. Risk-free Frontier in Excel

006. Capital Asset Pricing Model

007. Implementation Difficulties with Mean Variance

008. Negative Exposures and Leveraged ETFs

009. Beyond Variance

010. Statistical Biases in Performance Evaluation

011. How Should Average Returns be Computed

012. Survivorship Bias and Data Snooping

013. Review of the Binomial Model for Option Pricing

014. The Black-Scholes Model

015. The Greeks Delta and Gamma

016. The Greeks Vega and Theta

017. Risk-Management of Derivatives Portfolios

018. Delta-Hedging

019. The Volatility Surface

020. The Volatility Surface in Action

021. Why is There a Skew

022. What the Volatility Surface Tells Us

023. Pricing Derivatives Using the Volatility Surface

024. Beyond the Volatility Surface and Black-Scholes

025. Structured Credit CDOs and Beyond

026. The Gaussian Copula Model

027. A Simple Example Part-I

028. A Simple Example Part-II

029. The Mechanics of a Synthetic CDO Tranche

030. Computing the Fair Value of a CDO Tranche

031. Cash and Synthetic CDOs

032. Pricing and Risk Management of CDO Portfolios

033. CDO-Squared’s and Beyond

034. Liquidity, Trading Costs, and Portfolio Execution

035. Optimal Execution

036. Portfolio Execution

037. Optimal Execution in Excel 1

038. Optimal Execution in Excel 2

039. Real Options

040. Valuation of Natural Gas and Electricity Related Options

041. Real Options in Excel

042. Review of Basic Probability

043. Review of Conditional Expectations and Variances

044. Review of Multivariate Distributions

045. The Multivariate Normal Distribution

046. Introduction to Martingales

047. Introduction to Brownian Motion

048. Geometric Brownian Motion

049. Review of Vectors

050. Review of Matrices

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Risk Basics 6 Topics

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Nature of Risk

Sources of Risk

Need for Risk Management

Process of Risk Management

Risk Policy

Risk Management Approaches

Risk Classification 4 Topics

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Credit Counterparty Risk

Market Risk

Operational Risk

Other Risks

Measuring Risk 5 Topics

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Measurement of Credit

Measurement of Market Risk

Measurement of Interest Rate Risk

Asset Liability Management (ALM)

Measurement of Operational Risk

Risk Management 7 Topics

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Managing Credit Risk

Interest Rate Risk Management

Insurance

Bull and Bear Spreads

Delta Neutral Strategies

Credit Derivatives

Credit Ratings

Other Issues in Risk Management 8 Topics

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Regulatory Framework

The Basel Committee

Best Practices

Challenges to Risk Management

Accounting Issues

Tax Issues

Management Information System (MIS)

Integrated Risk Management

Basel II 9 Topics

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Three Pillars of Basel II

Scope of Application

The First Pillar-Minimum Capital Requirements

The Standardized Approach

The Internal Ratings Based (IRB) Approach

The Second Pillar-Supervisory Review Process

The Third Pillar-Market Discipline

Market Risk

Operational Risk

Case Studies 6 Topics

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Barings

Herstatt Bank

Long-Team Capital Management (LTCM)

Enron

Orange County

Financial Risk Management Conclusion