This Market Risk Measurement and Modeling course is designed for advanced learners preparing for FRM Part 2 and for professionals working in quantitative risk management. Following FRM Part 2 Book 1, the course focuses on modern methods for estimating, modeling, and managing market risk.
The course begins with estimating market risk measures using non-parametric and parametric approaches, including extreme value theory for tail risk modeling. Learners will understand how to model rare events and assess downside risk in financial markets.
A major section of the course is dedicated to correlation modeling. Topics include correlation basics, empirical properties of correlations in real markets, and bottom-up correlation models used in portfolio and credit risk applications.
The course then explores term structure models in depth, covering the science and art of modeling interest rate dynamics, including drift, volatility, and distribution assumptions. Learners will study how yield curves evolve over time and how term structure models are used in pricing and risk management.
Advanced volatility topics are also covered, including volatility smiles and their implications for option pricing and hedging.
This course is ideal for FRM Part 2 candidates, quantitative analysts, risk modelers, and professionals seeking advanced skills in market risk measurement and financial modeling.
