Risk and Risk Aversion

Portfolio Mathematics

Capital Allocation

The CAPM and Multifactor Models

Basics of Capital Structure

The Term Structure of Interest Rates

Valuing Futures and Forwards

Principles of Option pricing

Bonds

Floating Rate Notes

Futures and Forwards

Swaps

Options

Credit Derivatives

Caps, Floors, Swaptions

Capital Markets

Money Market

Bond Markets

FX Markets

Stock Markets

Futures Market

Commodities Markets

Power Markets

Foundations

Descriptive Statistics

Calculus

Linear Mathematics and Matrix Algebra

Probability Theory

Regression

Numerical Methods

Duration and Convexity

Cash Flow Map and PVBP Interest Rate Sensitivity

Greeks of instruments and Portfolios

Implied Volatility and Smile, Smirk

Value-at-Risk(VaR)

Calculation of VaR for Linear Portfolios

Monte Carlo and Historical Calculation of VaR

Market Risk Limits (stop-loss, exposure, VaR)

Alternative Risk Measures

Market Risk- RAROC & Economic Capital Allocation

Operational Risk

Overview of Credit Risk

Actuarial Methods

Exposure, Loss Given Default (LGD) and Expected Losses

Rating Agencies and their Grades

Settlement Risk and Netting Systems

Marginal, Cumulative Default Risk

Transition Matrix, Joint Transition Matrix and Correlated Migrations

Recovery Rate Distributions

Merton and KMV Models

Credit Risk – RAROC & Economic Capital Allocation