BOOTCAMP Market and CPD Risk
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MARKET AND COUNTERPARTY CAPITAL [175 HOURS]
| Sln | Topic | Details | ||
| Module 1 - Risk Foundation | ||||
| 01 | Coding in Python |
Data types, CRUD operations If Else Statements & Loops Numpy, Pandas, Matplotlib Regression & Time Series in Python Monte Carlo Simulations in Python |
||
| 02 |
y = f(x) thinking (Excel + Python) |
Taylor Series Sensitivity based approaches Option Greeks |
||
| 03 |
Risk Metrics (Excel + Python) |
Formulating VaR & ES (Parametric, Historical, Monte Carlo) Calculation of VaR & ES for simple instruments (EQ, IR, Fx, Commodity) |
||
| Module 2 – Risk Aggregation | ||||
| 04 |
Portfolio Mapping (Excel + Python) |
Systematic VaR Specific VaR Factor Models & PCA |
||
| 05 |
Risk Mapping & Aggregation (Excel + Python) |
Bond Portfolio Stock Portfolio Option Portfolio |
||
| Module 3 – FRTB Model | ||||
| 06 |
Standardised Approach (Excel + Python) |
Delta, Vega, Curvature Charge Residual Risk add-on Default Risk Charge |
||
| 07 |
Advanced Approach (Excel + Python) |
Expected Shortfall Calibrations with stressed periods NMRF Stress Capital Default Risk Charge |
||
| 08 |
PnL Attribution & Backtesting (Excel + Python) |
PL Attribution Tests Backtesting |
||
| 09 |
Model Validation (Excel + Python) |
Common checks in model validation Review of SR 11-7 Case studies from past |
||
| Module 4 – Counterparty Credit Risk | ||||
| 10 |
Exposure Modelling (Excel + Python) |
EE, EPE, EEPE in Python Forwards (EQ, IR, Fx) Swaps (IRS, CCS) Options (EQ, Caplets) |
||
| 11 |
EAD Modelling (Excel + Python) |
Standardised Approach - CCR Internal Models Method |
||
| 12 |
CVA Capital Charge (Excel + Python) |
Standardised Approach Advanced Approach |
||
| 13 |
XVA toolbox (Excel + Python) |
End to end project in python calculating BCVA, FVA, ColVA, MVA, KVA |
||
ABOUT THE TRAINER
Satya is an IIT and IIM alumni with 8+ years of total work experience spanning across Financial Risk consulting and project management and strategy. Worked as SME and Lead in Various finance, risk, regulatory engagements and complex data migraflon project. Adept in BASEL, FRTB capital calculations, model development and machine learning.
Ans. 1. Anyone with finance background like having studied some level of CFA FRM or actuaries can join this program.
Ans.2. Maths Primers and Python Primers have been included in the program, so no previous experience is expected.
Ans 3. This course is quite long & comprehensive only because we have covered the entire curriculum in 3 parts – theory discussion, visualisations in excel, practical implementation through hands-on session in excel & python
Ans.4. To get certificates you need to complete all topic wise assignments, master project and pass the Final exam.
Ans.5. You can take either 1 year access or lifetime access. Please note that lifetime access is chargeable extra
Ans.6 With this website we have integrated a customized P2T player that will allow you to play encrypted classes. There are no limitations on the number of views. Also the software is compatible with Windows, Mac, Android or iPhone
Ans.7. To interact with the trainer we have a dedicated forum ‘D-forum’. Any questions asked on D-forum are expected to be replied within 24 hours by trainers and team of moderators & experts.
Ans. 8. Presently we are conducting exams in Aug mid and Jan mid. You can choose any of the cohort. In case you are not able to pass the exam in one go, you can re-book at a nominal charge
Ans.9. Every class is supported by One note files, Excel sheets & Python notebooks, Assignments and Quizzes, all these are available in the course section only.
Ans. 10. You get Letter of Recommendation physically delivered to you within 60 days of passing the exam. LOR’s also mention the chosen specialisation with the project details.
" frameborder="0" allow="accelerometer; autoplay; clipboard-write; encrypted-media; gyroscope; picture-in-picture" allowfullscreen>
MARKET AND COUNTERPARTY CAPITAL [175 HOURS]
| Sln | Topic | Details | ||
| Module 1 - Risk Foundation | ||||
| 01 | Coding in Python |
Data types, CRUD operations If Else Statements & Loops Numpy, Pandas, Matplotlib Regression & Time Series in Python Monte Carlo Simulations in Python |
||
| 02 |
y = f(x) thinking (Excel + Python) |
Taylor Series Sensitivity based approaches Option Greeks |
||
| 03 |
Risk Metrics (Excel + Python) |
Formulating VaR & ES (Parametric, Historical, Monte Carlo) Calculation of VaR & ES for simple instruments (EQ, IR, Fx, Commodity) |
||
| Module 2 – Risk Aggregation | ||||
| 04 |
Portfolio Mapping (Excel + Python) |
Systematic VaR Specific VaR Factor Models & PCA |
||
| 05 |
Risk Mapping & Aggregation (Excel + Python) |
Bond Portfolio Stock Portfolio Option Portfolio |
||
| Module 3 – FRTB Model | ||||
| 06 |
Standardised Approach (Excel + Python) |
Delta, Vega, Curvature Charge Residual Risk add-on Default Risk Charge |
||
| 07 |
Advanced Approach (Excel + Python) |
Expected Shortfall Calibrations with stressed periods NMRF Stress Capital Default Risk Charge |
||
| 08 |
PnL Attribution & Backtesting (Excel + Python) |
PL Attribution Tests Backtesting |
||
| 09 |
Model Validation (Excel + Python) |
Common checks in model validation Review of SR 11-7 Case studies from past |
||
| Module 4 – Counterparty Credit Risk | ||||
| 10 |
Exposure Modelling (Excel + Python) |
EE, EPE, EEPE in Python Forwards (EQ, IR, Fx) Swaps (IRS, CCS) Options (EQ, Caplets) |
||
| 11 |
EAD Modelling (Excel + Python) |
Standardised Approach - CCR Internal Models Method |
||
| 12 |
CVA Capital Charge (Excel + Python) |
Standardised Approach Advanced Approach |
||
| 13 |
XVA toolbox (Excel + Python) |
End to end project in python calculating BCVA, FVA, ColVA, MVA, KVA |
||
Satya is an IIT and IIM alumni with 8+ years of total work experience spanning across Financial Risk consulting and project management and strategy. Worked as SME and Lead in Various finance, risk, regulatory engagements and complex data migraflon project. Adept in BASEL, FRTB capital calculations, model development and machine learning.
Ans. 1. Anyone with finance background like having studied some level of CFA FRM or actuaries can join this program.
Ans.2. Maths Primers and Python Primers have been included in the program, so no previous experience is expected.
Ans 3. This course is quite long & comprehensive only because we have covered the entire curriculum in 3 parts – theory discussion, visualisations in excel, practical implementation through hands-on session in excel & python
Ans.4. To get certificates you need to complete all topic wise assignments, master project and pass the Final exam.
Ans.5. You can take either 1 year access or lifetime access. Please note that lifetime access is chargeable extra
Ans.6 With this website we have integrated a customized P2T player that will allow you to play encrypted classes. There are no limitations on the number of views. Also the software is compatible with Windows, Mac, Android or iPhone
Ans.7. To interact with the trainer we have a dedicated forum ‘D-forum’. Any questions asked on D-forum are expected to be replied within 24 hours by trainers and team of moderators & experts.
Ans. 8. Presently we are conducting exams in Aug mid and Jan mid. You can choose any of the cohort. In case you are not able to pass the exam in one go, you can re-book at a nominal charge
Ans.9. Every class is supported by One note files, Excel sheets & Python notebooks, Assignments and Quizzes, all these are available in the course section only.
Ans. 10. You get Letter of Recommendation physically delivered to you within 60 days of passing the exam. LOR’s also mention the chosen specialisation with the project details.
