Risk Management Training Programs
The Fundamentals of Basel IV
📌 The Fundamentals of Quantitative Finance
The “Fundamentals of Quantitative Finance” training program is designed to provide a rigorous introduction to the mathematical concepts and analytical tools essential for financial market modeling.
Created for professionals such as analysts, traders, and risk managers, this course covers key concepts including:
- Stochastic calculus and asset price dynamics
- Option pricing: Black-Scholes-Merton model and extensions
- Interest rate models: Vasicek, Cox-Ingersoll-Ross
Combining theory (probabilities, stochastic differential equations, risk-neutral measures) and practice (simulations, model calibration), this training enables participants to:
- Master the mathematical formalization of financial problems
- Implement pricing and risk management methods
- Analyze and interpret quantitative models in a professional setting
This training provides a solid foundation for professionals looking to apply quantitative tools in finance.
IN-PERSON OR ONLINE CLASS
⏳ Duration: 2 days (14 hours)
➕ additional remote activities
€2250.00 Net of VAT (*)
📌 Reference: FBIV-225
CORPORATE IN-HOUSE TRAINING
⏳ Duration: Customizable
📍 On-site or remote training
Pricing on request
📌 Reference: FBIV-225
CUSTOMIZED TRAINING
📌 Tailored to your specific requirements
⏳ Duration flexible according to objectives
📍 On-site or remote training
Personalized pricing
Ready to get the most out of your training?
Before diving into the session, quickly assess your knowledge and pinpoint exactly what to focus on!
- ✅ Identify your strengths and areas to improve.
- ✅ Maximize the relevance of your learning experience.
- ✅ Start the training fully prepared!
It only takes 5 minutes!
👉 Take the Quiz Now!Learning Outcomes
- Understand the role and different professions in quantitative finance
- Master fundamental mathematics for financial modeling
- Learn basic probability concepts and an introduction to stochastic calculus
- Understand the Black-Scholes model for option pricing
- Study key interest rate forecasting models
- Apply methodologies for measuring and managing financial risks
- Implement practical applications of VaR and CVaR
- Develop principles of portfolio construction and optimization
- Analyze concepts of Alpha, Beta, and Sharpe ratio optimization
Who Should Attend?
This training is designed for:
- Young Finance Professionals: Those looking to acquire a solid foundation in quantitative finance to better understand industry challenges.
- Professionals from Other Fields: Engineers, IT specialists, and other experts seeking to transition into or explore the financial sector while gaining a fundamental understanding of quantitative concepts.
- Financial Institutions: Banks and investment funds looking to introduce their staff to the fundamental concepts of quantitative finance.
- Junior Consultants and Auditors: Those beginning their careers in financial consulting or auditing who want to grasp the basics of quantitative techniques.
- Enthusiastic Individuals: Passionate individuals interested in financial markets who wish to understand the foundations of quantitative finance.
Duration
- 2 days (14 heures)
📌 Dive Deeper into the Topic
Want to better understand risk management mechanisms and their application in financial risk management? Explore our detailed articles:
📖 Understanding Wrong-Way Risk in Simple Terms 📚 Understanding Funding Value Adjustment in Simple TermsTraining Program
I. Introduction and Fundamentals
- Definition of Quantitative Finance
- Different Types of "Quants"
- Fundamental Mathematical Concepts
- Historical Context of Quantitative Finance
- Case Study: Solving a system of equations to determine the expected return of three different assets.
II. Stochastic Calculus
- Symmetric Random Walk, Brownian Motion, Stochastic Processes, and Itô’s Lemma
- Black-Scholes Model and Binomial Tree
- Case Studies:
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- Applying Itô’s Lemma to solve a stochastic differential equation.
- Constructing a binomial tree to price a European option.
III. Interest Rate Models
- Vasicek Model
- Cox-Ingersoll-Ross (CIR) Model
- Hull-White Model
- Heath-Jarrow-Morton (HJM) Model
- Case Study: Calibrating the Hull-White model using market data and applying it for swap valuation.
IV. Risk Management
- Risk Measurement and Management Methods
- Value at Risk (VaR) and Conditional VaR (CVaR)
- Coherent Risk Metrics
- Stress Testing and Scenario Analysis
- Case Studies:
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- Computing VaR and CVaR for a portfolio.
- Comparing VaR with expected losses under stress conditions.
V. Exotic Options Hedging
- Challenges of Hedging Exotic Options
- Pricing of Exotic Options
- Managing an Exotic Options Portfolio
- Case Studies:
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- Calibrating a model on implied volatilities to price exotic options.
- Designing a dynamic hedging strategy for an exotic options portfolio.