Quantitative Risk Analysis in Finance
Fundamentals of risk calculation (risk metrics such as Value at Risk, duration, Expected Shortfall, etc.)
This is followed by the risk calculation and valuation of individual financial products. For each product, the documentation regarding theoretical foundations, calculation tools, corresponding tool descriptions, and—in some cases—collections of exercises are listed.
The final section is dedicated to the risk calculation and analysis of a portfolio consisting of multiple financial products.
Select a part for detailed analysis.
Risk metrics such as Value at Risk, duration, Expected Shortfall, etc.
For each product: documentation on the theoretical principles, calculation tools and corresponding tool descriptions, and in some cases, collections of exercises
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Select a financial product below this box for detailed analyses.
Currency risks and exchange rate analysis
Bond valuation and interest rate risk
Standard interest rate swaps and DV01 analysis
Forward starting interest rate swaps
Cross-currency swap structures
Gold swap valuation & risk analysis
Risks of various options
Portfolio of various financial instruments