| 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 | ||
