Module 2: Quantitative Risk & Return

Portfolio Management

  • Measuring risk and return
  • Benefits of diversification
  • Modern Portfolio Theory and the Capital Asset Pricing Model
  • The efficient frontier
  • Optimising your portfolio
  • How to analyse portfolio performance
  • Alphas and Betas

Fundamentals of Optimization and Application to Portfolio Selection

  • Fundamentals of portfolio optimization
  • Formulation of optimization problems
  • Solving unconstrained problems using calculus
  • Kuhn-Tucker conditions
  • Derivation of CAPM

Risk Regulation and Basel III

  • Definition of capital
  • Evolution of Basel
  • Basel III and market risk
  • Key provisions

Value at Risk & Expected Shortfall

  • Measuring Risk
  • VaR and Stressed VaR
  • Expected Shortfall and Liquidity Horizons
  • Correlation Everywhere
  • Frontiers: Extreme Value Theory

Liquidity Asset Liability Management

  • Gap analysis, of assets, liabilities and contingencies, both static and dynamic
  • The role of derivative and non-derivative instruments in liquidity
  • Liquidity Coverage Ratio (LCR)
  • Net Stable Funding Rate (NSFR)

Collateral and Margins

  • Expected Exposure (EE) profiles for various types of instruments
  • Types of Collateral
  • Calculation Initial and Variation Margins
  • Minimum transfer amount (MTA)
  • ISDA / CSA documentation
Lecture order and content may occasionally change due to circumstances beyond our control; however this will never affect the quality of the program.