Credential program on the practitioner path
Certificate in Quantitative Risk Management
A financial risk management certification in six courses and a capstone on measuring and governing market and credit risk: VaR and expected shortfall, volatility models, stress tests, credit and counterparty risk, bank capital and the validation of the models themselves.
A risk number is only useful if the people relying on it know how it was made and where it fails. Value at risk was built to summarize a trading book in one figure; it was also blamed for the comfort it gave before 2008. This financial risk management certification covers the measures, the models behind them and the checks that keep both honest.
What does the certificate cover?
Value at risk by historical, parametric and Monte Carlo methods; expected shortfall and its estimation; GARCH models for volatility; stress testing and scenario design; credit default swaps, copulas and the credit risk of portfolios; counterparty risk and CVA; mortgage-backed securities; Basel market risk capital; and model risk management, from validation to governance.
Who is it for?
Risk analysts and managers in banks, funds and trading firms; quantitative developers building risk systems; and traders who want to understand the limits their risk function sets.
The courses in this program
- Value at Risk, Expected Shortfall and Stress Testing How value at risk is calculated, tested and misused: historical simulation, variance-covariance and Monte Carlo methods, volatility-weighted variants, time scaling, regulatory backtesting, and what VaR does not tell you. It also teaches expected shortfall, also called CVaR and stress testing and scenario design.
- Model Risk Management and Basel III Capital How financial institutions control the risk of using models: what counts as a model, inventories and tiering, independent validation, conceptual soundness, benchmarking and outcomes analysis, ongoing monitoring, and the governance expected by supervisors. It also teaches Basel III market risk capital.
- GARCH Models, Market Regimes and Bayesian Methods The GARCH model and its family, from Engle's original ARCH to asymmetric and multivariate GARCH: derivation, maximum likelihood estimation, diagnostics and forecasting. It also teaches hidden Markov models for market regimes and Bayesian statistics for estimation under uncertainty.
- Credit Default Swaps, Copulas and Counterparty Risk Credit default swaps from the contract to the model: what is protected and paid, hazard rates and survival curves, bootstrapping a CDS curve with the ISDA standard model, index products, and the basis between bonds and CDS. It also teaches copula models for portfolio credit risk and counterparty credit risk and CVA.
- Bond Pricing, Yield Curves and Mortgage-Backed Securities Bond pricing and the yield curve from first principles to desk practice: price and yield, duration and convexity, bootstrapping and fitting curves, carry and roll-down, and hedging a bond portfolio's interest rate risk. It also teaches mortgage-backed securities and prepayment risk.
- FRM Exam Preparation: Part I Structured preparation for the FRM Part I exam: the four Part I topic areas taught with worked problems, timed practice sets, and a mock exam. Independent preparation; not affiliated with or endorsed by GARP.
What every course contains
Every paid course comes with the first seven and the certificate, whichever level it sits at. The proctored exam and the credential come when the course is taken as part of a Certificate, Diploma or Fellowship. Everything is self-paced: the material is yours to study in any order, at any hour, for the whole of the license.
- Workbooks. Written to train the thinking patterns and the important concepts of the course, with worked problems and the reasoning behind each answer, so that you learn to think the way the subject is thought.
- Audio edition. Focused, well-presented recordings with explainers and examples of the material, made to be interesting, relevant and entertaining, so that the general subject can be learned away from the desk.
- Notes. Pre-produced notes with every fact the course relies on, written out in full, so that nothing has to be transcribed from the films or the audio.
- Cheat sheet. One sheet with every important learning concept of the course on it, to keep beside you during the work and to revise from before the exam.
- Named sources. Every fact in the notes names its source, the paper, the book or the dataset, for anyone who wants to dig in further.
- Explainer films. Focused films, in the style of the sample films on the catalog page, that walk through the most difficult concepts of the course with visual explanations of a high standard.
- Transcript. A full transcript of every film and every audio recording, searchable and quotable.
- Proctored exam. Taken as part of a Certificate, Diploma or Fellowship, the course ends in a proctored multiple-choice questionnaire, with a pass mark of 60% and three retakes included. A course taken on its own is assessed by its coursework and has no exam.
- Verifiable certificate. A certificate of completion that a third party can verify: an employer sends the code on it to the credentials office and receives written confirmation of the course, the date and the result.
- Credential of the program. The Certificate, Diploma or Fellowship of the program, track or path the course belongs to, awarded when every course in it is passed. Which one depends on the program you choose.
What should you know before you start?
The courses in this program build on the courses below. They are not part of the program and not included in its price. If you have not studied this material, take them first. Admissions can tell you whether your background already covers them: the academy office.
- Python and SQL for Finance A Python for finance course with the Python every later course assumes: loading and cleaning market data with pandas, computing returns and risk with NumPy, plotting, and writing code another person can rerun. It also teaches SQL for finance, so your data lives in a database rather than in files.
- Financial Markets and Instruments A financial markets course for people who will build models of markets: what each instrument is, who trades it, where and how it trades, and what happens between the click and the settled position.
- Probability for Quantitative Finance, with Statistics The probability every quant course assumes: distributions, expectation, conditioning and the limit theorems, with each idea tested on real return data. It also teaches the statistics for finance that every model rests on.
- Mathematics for Quantitative Finance: Calculus and Linear Algebra The calculus, linear algebra, optimization and differential equations that pricing, risk and portfolio models are built on, revised and applied to finance. It also teaches the linear algebra for finance behind portfolios and factor models.
- Time Series Analysis and Financial Econometrics The time series methods behind trading signals and risk forecasts: stationarity, autocorrelation, ARMA models, unit roots, volatility clustering and honest forecast evaluation. It also teaches financial econometrics: regression, its failures and their fixes.
What is the risk management capstone?
You build a risk report for a trading book: VaR and expected shortfall by several methods with backtests, a set of stress scenarios with their rationale, and a model validation note on one of your own models. The faculty assess it as a second-line risk function would review a first-line submission.
What does the credential record?
It records that you passed the proctored exam of every course listed on this page and the capstone, assessed by the Institute's faculty. The credential is issued by the Institute. Each one carries a verification code that an employer can check with the credentials office.
Questions applicants ask
Does this prepare me for the FRM exam?
In part. FRM Exam Preparation Part I is one of the six courses, and much of the rest overlaps with the FRM syllabus. FRM is a designation of the Global Association of Risk Professionals, which does not endorse this program.
Is the program about regulation?
Regulation is taught inside Model Risk Management and Basel III Capital, because it shapes the methods banks use, for example the move from VaR to expected shortfall. The rest of the program is about the quantitative methods, not compliance.
How long does the certificate take?
68 hours of material across the six courses, each hour with its audio edition and workbook, and a capstone of 20 hours of your own work. The license runs 12 months, so you set the pace around a job.