Course Description

This course covers the mathematical aspects of all four topics involved in the Level I FRM Exam. Topics covered are Capital Asset Pricing Model and the Arbitrage Pricing Theory within foundations of risk management; inferential statistics, multiple regression, EMWA models, GARCH models, and volatility term structures in quantitative analysis; financial products like derivatives on fixed income securities and on commodities and foreign exchange risk; and coherent risk measures, operational risk, and stress testing in risk evaluation models.

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