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Topics FOUNDATIONS OF RISK MANAGEMENT QUANTITATIVE ANALYSIS FINANCIAL MARKETS AND PRODUCTS VALUATION AND RISK MODELS

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FOUNDATIONS OF RISK MANAGEMENT - Readings 1 2 3 4 5 6 7 8 9 Risk Taking: A Corporate Governance Perspective Delineating Efficient Portfolios The Standard Capital Asset Pricing Model Nonstandard Forms of Capital Asset Pricing Models Applying the CAPM to Performance Measurement: Single-Index Performance Measurement Indicators Information Risk and Data Quality Management Financial Disasters

Risk Management Failures: What are They and When Do They Happen? GARP Code of Conduct.

QUANTITATIVE ANALYSIS - Readings 10 11 12 13 Probabilities Basic Statistics Distributions Hypothesis Testing & Confidence Intervals

14 Linear Regression with One Regressor Regression with a Single Regressor: Hypothesis Tests and Confidence 15 Intervals 16 Linear Regression with Multiple Regressors 17 Hypothesis Tests and Confidence Intervals in Multiple Regression 18 Monte Carlo Methods 19 Estimating Volatilities and Correlations

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FINANCIAL MARKETS AND PRODUCTS - Readings Introduction Mechanics of Futures Markets Hedging Strategies Using Futures Interest Rates Determination of Forward and Futures Prices Interest Rate Futures Swaps Properties of Stock Options Trading Strategies Involving Options Commodity Forwards and Futures Fundamentals of Commodity Spot and Futures Markets: Instruments, Exchanges and Strategies Foreign Exchange Risk Corporate Bonds The Rating Agencies

VALUATION AND RISK MODELS - Readings 34 Quantifying Volatility in VaR Models 35 Putting VaR to Work 36 Binomial Trees 37 The Black-Scholes-Merton Model 38 The Greek Letters 39 40 41 42 43 44 Prices, Discount Factors, and Arbitrage Spot, Forward and Par Rates Returns, Spreads and Yields One-Factor Risk Metrics and Hedges Multi-Factor Risk Metrics and Hedges Empirical Approaches to Risk Metrics and Hedging

45 Country Risk Models 46 External and Internal Ratings 47 Loan Portfolios and Expected Loss 48 Unexpected Loss 49 Measures of Financial Risk 50 Operational Risk

51 Principles for Sound Stress Testing Practices and Supervision