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Certificate in Financial Risk Management (FRM Foundations)
Module 1: Foundations of Financial Risk Management
Introduction
Building blocks of risk management
Types of financial risks firms face
How firms manage risk – policies, controls, and governance
Case study: Hedging strategy in the airline industry
Module 2: Quantitative Foundations for Risk Analysis
Probability and statistical distributions
Covariance and Correlation
Skewness and Kurtosis
Linear regression in risk models
Multiple Regression in Risk Models
Hypothesis testing and model validation
Module 3: Market Risk & Value-at-Risk (VaR)
Introduction to Market Risk
Three Approaches to VaR
EWMA model
DV01 and Duration
Hedging interest rate and FX risk
Module 4: Credit Risk and Fixed Income Analysis
Credit risk transfer mechanisms
Introduction to Vasicek Model
Introduction to Corporate Bonds
Treasury bills, bond pricing, and day-count conventions
Module 5: Derivatives and Hedging Strategies
Introduction to Forwards
Introduction to Futures
Futures Margin Requirements
Treasury Bond Futures
Options: Calls & Puts
Options Greeks: Delta, Vega, Rho
Black-Scholes-Merton model
Portfolio hedging and arbitrage strategies
Module 6: Advanced Risk & Treasury Integration
Exchange Rates and OTC Market
Forward Rate Agreements
Interest Rate Swaps
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Introduction to Forwards
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