frm-garp/Market-Risk-Measurement-and-Management frm-garp/Market-Risk-Measurement-and-Management

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frm-garp/Market-Risk-Measurement-and-Management
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Repository Details

This repository focuses on market risk measurement and management techniques. These include term structure models for fixedincome securities and volatility exposures. The risk measures covered include Value-at-Risk, expected shortfall, and several other coherent measures. An understanding of correlations and copulas, the usage of parametric and non-parametric estimation methods, extreme value theory, exotic options and mortgage backed securities are also covered.

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