Financial Risk Management & Analysis
- An introduction to financial risks and risk management standards
- Volatility and its prediction methods
- Correlations and Copulas
- Value at Risk (VaR) & Expected Shortfall
- Historical simulation and Extreme value theory for estimating Market VaR
- Model building Approach for estimating Market Risk VaR:
- Real options
- Credit Risk and Estimating Default probabilities
- CVA (Credit Value Adjustment) & DVA (Debt Value Adjustment)
- Credit Value at Risk
- Operational risk
- Liquidity risk