Valuation and Risk Models
The Valuation and Risk Models module is broken down into the following elements:
- Value-at-Risk (VaR)
- Definition and methods
- Delta-normal valuation, full revaluation, historical simulation, Monte Carlo simulation methods
- Applications of VaR for market, credit and operational risk
- VaR of linear and non-linear derivatives
- VaR for fixed income securities with embedded options
- Structured Monte Carlo
- Term structure of interest rates
- Discount factors, arbitrage, yield curves
- Bond prices, spot rates, forward rates
- DV01, duration and convexity, duration based hedging
- Credit rating agencies, credit ratings
- Credit transition matrices
- Sovereign risk and country risk evaluation
- Binomial trees
- Black-Scholes-Merton model
- Greeks
- Stress testing and scenario analysis
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