График занятий по программе FRM Part I

График занятий по программе FRM Part I
с 03.08.2021 г. - по 06.11.2021 г.

Дата

День недели

Время занятий

Длительность
(
а. ч.)

Тема

1 Foundation of risk management

1

03.08.2021г

Tuesday

19:00-22:00

Introduction to risk management. Types of risk.  Corporate risk management. Corporate governance and risk management.  (Book1)

2

05.08.2021г

Thursday

19:00-22:00

4 ч

Credit risk transfer mechanisms. Modern portfolio theory and capital asset pricing model modern portfolio. The arbitrage pricing theory and multifactor models of risk and return. (Book1)

3

07.08.2021г

Saturday

13:00-14:30

1.5 ч

Practicum  (Book1)

4

10.08.2021г

Tuesday

19:00-22:00

4 ч

Principles for effective data aggregation and risk reporting. Enterprise risk management and future trends. learning from financial disasters. (Book1)

2 Quantitative analysis tools

5

12.08.2021г

 

Thursday

19:00-22:00

4 ч

 

Fundamentals of probability. Random variables. Probability mass functions, cumulative distribution functions, and expected values. Mean, variance, skewness, and kurtosis.(Book2)

6

14.08.202

Saturday

13:00-14:30

1.5 ч

Practicum  (Book2)

7

17.08.2021г

 

Tuesday

19:00-22:00

4 ч

 

Common univariate random variables. Multivariate random variables. Sample moments.(Book2)

8

19.08.2021г

Thursday

19:00-22:00

4

Hypothesis testing.(Book2)

9

21.08.2021г

Saturday

13:00-14:30

1.5ч

Practicum (Book2)

10

24.08.2021г

 

Tuesday

19:00-22:00

linear regression. regression with multiple explanatory variables.  Regression diagnostics. Stationary time series. Non-stationary time series.(Book2)

11

26.08.2021г

Thursday

19:00-22:00

Measuring return, volatility, and correlation.  Simulation and bootstrapping.(Book2)

12

28.08.2021г

Saturday

13:00-14:30

1.5ч

Practicum (Book2)

3 Financial Markets and Products

13

31.08.2021г

 

Tuesday

19:00-22:00

Banks. insurance companies and pension plans. Fund management. (Book3)

14

02.09.2021г

 

Thursday    

19:00-22:00

Introduction to derivatives. exchanges and otc markets.(Book3)

15

04.09.2021г

Saturday

13:00-14:30

1.5ч

Practicum.(Book3)

16

07.09.2021г

Tuesday

19:00-22:00

Central clearing.  Futures markets. using futures for hedging.(Book3)

17

09.09.2021г

 

Thursday

19:00-22:00

Foreign exchange markets. Pricing financial forwards and futures. (Book3)

18

11.09.2021г

Saturday

13:00-14:30

1.5ч

Practicum(Book3)

19

14.09.2021г

 

Tuesday

19:00-22:00

Commodity forwards and futures. Options markets.(Book3)

20

16.09.2021г

 

Thursday

19:00-22:00

Properties of options. Trading strategies. Exotic options.(Book3)

21

18.09.2021г

Saturday

13:00-14:30

1.5ч

Practicum(Book3)

22

21.09.2021г

Tuesday

19:00-22:00

4

Properties of interest rates. Spot rates, forward rates, and forward rate agreements. Duration and convexity. (Book3)

23

23.09.2021г

Thursday

19:00-22:00

Corporate bonds. mortgages and mortgage-backed securities. (Book3)

24

25.09.2021г

Saturday

13:00-14:30

1.5ч

Practicum (Book3)

25

28.09.2021г

Tuesday

19:00-22:00

Interest rate futures. Swaps. (Book3)

4 Valuation and Risk Models.

26

30.09.2021г

Thursday

19:00-22:00

Measures of financial risk. Portfolio theory and value at risk. (Book4)

27

02.10.2021г

Saturday

13:00-14:30

1.5ч

Practicum (Book4)

28

05.10.2021г

 

Tuesday

19:00-22:00

Calculating and applying var. Linear and non-linear derivatives.

Monte carlo, stress testing, and scenario analysis.(Book4)

29

07.10.2021г

 

Thursday

19:00-22:00

Measuring and monitoring volatility. Estimating value at risk.

Estimating volatility and mean reversion. (Book4)

30

09.10.2021г

Saturday

13:00-14:30

1.5ч

Practicum (Book4)

31

12.10.2021г

Tuesday

19:00-22:00

External and internal credit ratings. Country risk: determinants, measures, and implications. (Book4)

32

14.10.2021г

 

Thursday

19:00-22:00

Measuring credit risk. Expected and unexpected loss.

Measuring credit losses and modeling credit risk. (Book4)

33

16.10.2021г

Saturday

13:00-14:30

1.5ч

Practicum (Book4)

34

19.10.2021г

Tuesday

19:00-22:00

Operational risk. Operational risk management. Stress testing. Stress-testing integration and methods.

Stress-testing governance. (Book4)

35

21.10.2021г

Thursday

19:00-22:00

Pricing conventions, discounting, and arbitrage. bond components and pricing. interest rates. Yield curve shapes. (Book4)

36

23.10.2021г

Saturday

13:00-14:30

1.5ч

Practicum (Book4)

37

26.10.2021г

Tuesday

19:00-22:00

Bond yields and return calculations. Applying duration, convexity, and dv01.(Book4)

38

28.10.2021г

Thursday

19:00-22:00

Modeling non-parallel term structure shifts and hedging. Key rate exposures and hedging forward buckets and volatility.

(Book4)

39

30.10.2021г

Saturday

13:00-14:30

1.5ч

Practicum (Book4)

40

02.11.2021г

Tuesday

19:00-22:00

Binomial trees. The black-scholes-merton model. Black-scholes-merton model dividends, warrants, and implied

volatility. (Book4)

41

04.11.2021г

Thursday

19:00-22:00

Option sensitivity measures: the “greeks". naked and covered positions.

Delta and delta hedging.

theta, gamma, vega, and rho. (Book4)

42

06.11.2021г

Saturday

13:00-14:30

1.5ч

Practicum (Book4)

 

Итого

 

 

140ч

 

Стоимость курсов для одного участника: FRM Part I - 350 000 тг.