Risk Management and Investment Management
1. Factor Theory 2. Factors 3. Alpha (and the Low-Risk Anomaly) 4. Portfolio Construction 5. Portfolio Risk: Analytical Methods 6. VaR and Risk Budgeting in Investment Management 7. Risk Monitoring and Performance Measurement (Available for AnalystPrep Premium Users; Click Here) 8. Portfolio Performance Evaluation (Available for AnalystPrep Premium Users; Click Here) 9. Hedge…
Quantitative Analysis
1. Fundamentals of Probability 2. Random Variables 3. Common Univariate Random Variables 4. Multivariate Random Variables 5. Sample Moments 6. Hypothesis Testing 7. Linear Regression 8. Regression with Multiple Explanatory Variables 9. Regression Diagnostics 10. Stationary Time Series (Available for AnalystPrep Premium Users; Click Here) 11. Nonstationary Time Series (Available for AnalystPrep Premium Users; Click…
The Art of Term Structure Models: Volatility and Distribution
After completing this reading, you should be able to: Describe the short-term rate process under a model with time-dependent volatility. Calculate the short-term rate change and determine the behavior of the standard deviation of the rate change using a model…
Non-Parametric Approaches
After completing this reading, you should be able to: Apply the bootstrap historical simulation approach to estimate coherent risk measures. Describe historical simulation using non-parametric density estimation. Compare and contrast the age-weighted, the volatility-weighted, the correlation-weighted, and the filtered historical…
Stress Testing
After completing this reading, you should be able to: Describe the rationale for the use of stress testing as a risk management tool. Describe the relationship between stress testing and other risk measures, particularly in enterprise-wide stress testing. Describe stressed…
Pricing Conventions, Discounting, and Arbitrage
After completing this reading, you should be able to: Define discount factor and use a discount function to compute present and future values. Define the “law of one price,” explain it using an arbitrage argument, and describe how it can…
Options Markets
After completing this reading, you should be able to: Describe the various types and uses of options, define moneyness. Explain the payoff function and calculate the profit and loss from an options position. Explain how dividends and stock splits can…
Binomial Trees
After completing this reading you should be able to: Calculate the value of an American and a European call or put option using a one-step and two-step binomial model. Describe how volatility is captured in the binomial model. Describe how…
Valuation and Risk Management
1. Measures of Financial Risk 2. Calculating and Applying VaR 3. Measuring and Monitoring Volatility 4. External and Internal Ratings 5. Country Risk 6. Measuring Credit Risk 7. Operational Risk 8. Stress-Testing 9. Pricing Conventions, Discounting, and Arbitrage 10. Interest Rates 11. Bond Yields and Return Calculations 12. Applying Duration, Convexity, and…
Foreign Exchange Risk
After completing this reading, you should be able to: Calculate a financial institution’s overall foreign exchange exposure. Explain how a financial institution could alter its net position exposure to reduce foreign exchange risk. Calculate a financial institution’s potential dollar gain…
