График занятий по программе FRM Part I

Дата
День недели
Время занятий
Длительность
(ак. часа.)
Тема
Foundation of risk management
1
 
Понедельник
19:00-21:15
3
  • The role of risk management
  • Basic risk types, measurement and management tools
  • Creating value with risk management
  • Modern Portfolio Theory (MPT)
 
 
Среда
19:00-21:15
3
  • Standard and non-standard forms of the Capital Asset Pricing Model (CAPM)
  • Single and multi-index models and the Arbitrage Pricing Theory (APT)
  • Risk-adjusted performance measurement
 
 
Пятница
19:00-21:15
3
  • Enterprise Risk Management
  • Financial disasters and risk management failures
  • Ethics and the GARP Code of Conduct
 
 
Суббота
10:00 – 12:15
3
  • Practicum
Quantitative analysis tools
2
 
Понедельник
19:00-21:15
3
  • Discrete and continuous probability distributions
  • Population and sample statistics
 
 
Среда
19:00-21:15
3
  • Statistical inference and hypothesis testing
  • Estimating the parameters of distributions
  • Graphical representation of statistical relationships
 
 
Пятница
19:00-21:15
3
  • Linear regression with single and multiple repressors
  • Monte Carlo Methods
  • Estimating correlation and volatility using EWMA and GARCH models
  • Volatility term structures
  • Quantifying volatility in VaR models
 
 
Суббота
10:00 – 12:15
3
  • Practicum
Financial Markets and Products
3
 
Понедельник
19:00-21:15
3
  • Mechanics of OTC and exchange markets
  • Forwards, futures, swaps and options
  • Interest rates and measures of interest rate sensitivity
 
 
Среда
19:00-21:15
3
  • Derivatives on fixed income securities, interest rates, foreign exchange and equities
  • Financial Markets and Products: Commodity derivatives
 
 
Пятница
19:00-21:15
3
  • Foreign exchange risk
  • Corporate bonds
 
 
Суббота
10:00 – 12:15
3
  • Practicum
Valuation and Risk Models
4
 
Понедельник
19:00-21:15
3
  • Value-at-Risk (VaR)
  • Option valuation
 
 
Среда
19:00-21:15
3
  • Fixed income valuation
  • Country and sovereign risk models and management
 
 
Пятница
19:00-21:15
3
  • Expected and unexpected losses
  • Operational risk
  • Stress testing and scenario analysis
 
 
Суббота
10:00 – 12:15
3
  • Practicum
 
 
Воскресение
 
4
  • MOCK Exam
 
Итого
 
 
52 часа
Стоимость: 1-го уровня - 350 000 тенге.

 

График занятий по программе FRM. Part II

Дата
День недели
Время занятий
Длительность
(ак. часа.)
Тема
MarketRiskMeasurement and Management Valuation and Risk Models
1
 
Понедельник
19:00-21:15
3
  • Fixed income securities
  • Mortgages and mortgage-backed securities (MBS)
 
 
Среда
19:00-21:15
3
  • VaR and other risk measures
  • Volatility: smiles and term structures
 
 
Пятница
19:00-21:15
3
  • Exotic options
 
 
Суббота
10:00 – 12:15
3
  • Practicum
Credit Risk Measurement and Management
2
 
Понедельник
19:00-21:15
3
  • Subprime mortgages and securitization
  • Counterparty risk and OTC derivatives
  • Credit risk concentration
 
 
Среда
19:00-21:15
3
  • Credit derivatives
  • Structured finance and securitization
 
 
Пятница
19:00-21:15
3
  • Default risk
  • Expected and unexpected losses
  • Credit VaR
 
 
Суббота
10:00 – 12:15
3
  • Practicum
Operational and Integrated Risk Management
3
 
Понедельник
19:00-21:15
3
  • Calculating and applying risk-adjusted return on capital (RAROC)
  • Understanding, managing, and mitigating liquidity risk
  • Understanding and managing model risk
 
 
Среда
19:00-21:15
3
  • Evaluating the performance of risk management systems
  • Validating VaR models
  • Enterprise risk management (ERM)
 
 
Пятница
19:00-21:15
3
  • Economic capital
  • Failure mechanics of dealer banks
  • Regulation and the Basel Accords
  • Operational loss data
 
 
Суббота
10:00 – 12:15
3
  • Practicum
Risk Management and Investment Management. Current Issues in Financial Markets
4
 
Понедельник
19:00-21:15
3
  • Risk Management and Investment Management
  • Portfolio construction
  • Portfolio-based performance analysis
  • Tests of the Capital Asset Pricing Model (CAPM)
  • Portfolio and component VaR.
  • Risk budgeting
 
 
Среда
19:00-21:15
3
  • Risk monitoring and performance measurement
  • Hedge funds
  • Private equity
  • Causes, consequences, and lessons learned from the current crisis
  • Impact of financial development on risk
 
 
Пятница
19:00-21:15
3
  • Sovereign risk
  • Trading Fraud
  • Systemic Risk Management
  • Active Risk Management
 
 
Суббота
10:00 – 12:15
3
  • Practicum
 
 
Воскресение
 
4
  • MOCK Exam
 
Итого
 
 
52 часа
Стоимость: 2-го. уровня - 350 000 тенге.