| 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
|
