Introduction to Market Risk
Capital Markets Products: Cash & Derivative Instruments
Introduction to Derivative Pricing Models & Hedge Parameters
Market Risk Models: Delta/ Normal, Delta/Gamma, Historical Simulations, Monte Carlo Simulations
Interpolating & Bootstrapping Term Structures of Rates and Volatilities
Interest Rate, FX and Liquidity Risk in Treasury Banking Books
Advanced Market Risk
Internal CAD Models: the road to regulatory acceptance
Incremental Deafult Risk and Event Risk in Internal Models
Enhancing Utility of VAR based Market Risk Models: using Internal Models as trading support tools
Stress Testing VAR Models
VAR Sensitivities to Risk Factors
Measuring Risk of Correlation based Products
Risk of Exotic Derivatives: Barriers, Baskets, etc.
Bootstrapping Volatility Surfaces
Measuring, Monitoring & Limiting Liquidity Risk
Risks of Treasury Replicating Portfolios
Aligning Treasury Interest Rate Risk Measures: from DV01 to VAR