Pricing, Risk, and Performance Measurement in Practice

Chapter 1. Introduction to Modelling Investment and Risk Decisions Understand the role of modelling in financial and risk decisions, differentiate different types and models and identify the key steps of the implementation process for investment and risk models. Chapter 2. Understanding Valuation Theory Understand the key principles and elements of modern valuation theory which is the basis of modern pricing, risk and performance models Chapter 3. Data Model Blue Prints for Investment & Risk Understand the key elements of and principles behind the data models needed to represent the data required store the inputs, parameters and output of investment and risk models. Chapter 4. Introduction to Practical Valuation Understand the role of models in the valuation process. Identify the key elements of the implementation of modern valuation models. Understand the key steps of the implementation of such models and the valuation processes they support from research to finished model price and opinion. Chapter 5. Implementing Valuation Models Learn how to implement valuation models and valuation processes for common instruments including debt, equities and common derivatives step by step. Chapter 6. Introduction to Practical Risk Modelling Understand the role of models in the risk management process. Identify earlier risk models and their use. Understand the principles behind and key elements of Value at Risk and Expected Tail Loss models. Identify and understand the role of the key elements of the process for implementing risk modelling in practice. Chapter 7. Implementing Risk Models Learn how to implement VAR/ETL