DAY 1 Morning session (2 hours) How to approach the exam? The key elements - The 100 Multiple-Choice questions in 4 hours Morning session (2 hours) Afternoon Session (4 hours) Foundations of Risk Management - Basics about risk - Extreme situations - CAPM: Capital Asset Pricing Model - Performance measurements (including the Information Ratio) - Regression models (including multi-factors with Fama-French) - Ethics Exam Weight: 20% DAY 2 Morning session (4 hours) Afternoon Session (3 hours) Quantitative Analysis - An overview of probabilities - Basics of statistics (including several distributions and correlation discussions): detailed Normal and Student’s t distribution analysis - Bayes’ applied - Hypothesis testing extended - that includes a multitude of tests - Regression analysis with among others ANOVA and issues such as multicollinearity for multiple regressions - Simulation discussions Exam Weight: 20% Afternoon Session (1 hour) Recap - Focus on highlights DAY 3 Morning session (4 hours) Afternoon Session (4 hours) Financial Markets and Products - Markets organization including participants - Derivatives on all 4 sectors (Equity, Fixed Income, FX and Commodities): Forward & Options. Hedging strategies versus speculative strategies - How futures/forwards markets work. Using futures/forwards with among others: the margin process, basis risk, number of contracts needed - Fixed Income with among others interest compounding, risk analysis, Bonds, Mortgage-Backed Securities and Rating Agencies Exam Weight: 30% DAY 4 Morning session (4 hours) Afternoon Session (4 hours) Valuation and Risk Models - VaR: an ovierview of different approaches and relevant comparisons. Time adjustments and Confidence Interval and extensions (volatility) - Stress-testing aspects - Expected shortfall / conditional VaR discussion - Option pricing using different models (binomial, Black-Scholes) - Option risk management: the Greeks - Key interest rate risk management aspects - Country risk & credit rating processes discussion - Operational risk discussion (related to capital) Exam Weight: 30% DAY 5 Morning session (4 hours) Afternoon Session (4 hours) Exam focus in interaction - Exam focus interactive with the participants