Even thought I have given some of these lectures a while a ago people are still asking for them. Hence in this I reference all the post with the lecture slides, the study material, and the spreadsheets that were needed for the attending class.

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## Quantitative Risk Management Explained

### Marco Marchioro, a Risk Quant

# Lectures

### List of related posts:

## Credit derivatives 3: Advanced credit derivatives

## Credit derivatives 2: Financial instruments with credit risk

## Credit derivatives 1: Introduction to credit risk

## Interest rates 7: Market interest-rate models

## Interest rates 6: Equilibrium interest-rate models

## Interest rates 5: Exotic interest-rate options

## Interest rates 4: Vanilla interest rate options

## Interest rates 3: Bootstrapping the interest-rate term structure

## Interest rates 2: Linear Interest Rate Derivatives

## Interest rates 1: Introduction to exotic derivatives

Even thought I have given some of these lectures a while a ago people are still asking for them. Hence in this I reference all the post with the lecture slides, the study material, and the spreadsheets that were needed for the attending class.

Asset-backed securities Simple model for ABS pricing Mortgage-backed securities Collateralized debt obligations (CDOs) Credit derivatives and the 2007-2008 market crisis

Example of quoted CDS spreads Credit risk hedging using credit-default swaps Some historically important recovery ratios Exotic single-name credit derivatives Portfolio credit derivatives Credit-default-swap index Major traded indexes

Corporate bonds, asset swaps, and z-spreads Risky yield curves Risk-less yield curve Definition of credit derivatives Comparison with other derivatives Survival and default probabilities, hazard rates Credit default swap, spread, and upfront quotes Standard definitions of default, restructuring, and seniority Bootstrap of probability curve from quoted CDS Example of quoted CDS spreads Credit risk hedging […]

No-arbitrage models Hull-White model Monte Carlo simulations Libor market model Other market interest-rate models

Bond options Introduction to interest-rate models Short-rate models Equilibrium models: Vasicek model Other equilibrium models Binomial and trinomial trees Finite differences

Exotic caps, floors, and swaptions Swaps with exotic floating-rate legs Commodities and no-arbitrage Numeraires and pricing formulas Stochastic differential equations (SDEs) Partial differential equations (PDEs) Feynman-Kac formula Numerical methods: analytical approximations

Probability evolution at information arrival Brownian motion and option pricing Probability measures: physical and risk neutral Interest-rate options, Caplets and Black formula Caps, Floors, and Collars. Cap/Floor parity Bootstrap of volatility term structure cap volatilities Options on swaps (Swaptions) Historical and implied volatilities Volatility smile Caps and floors with digital payoffs or with barriers

Market quotes of deposit rates, IR futures, and swaps Need for a consistent interest-rate curve Instantaneous forward rate Interest-rate term structure built using multiple rates Bootstrapping quoted deposit, futures, and swap rates Foreign-exchange forward contract Sensitivities of interest-rate portfolios (DV01) Hedging portfolio interest-rate risk

Interest-rates: definitions Compounding conventions: simple, compounded, continuous Money-market account The discount factor Yield curve described by a single rate Interbank deposit and deposit rates Forward-rate agreements (FRA) Interest-rate futures Interest-rates swaps IRS fixed leg, IBOR leg, and fair swap rate

Introduction to module “Interest Rate Derivatives” as part of class “Advanced Derivatives” A real-life example of an exotic derivative Structure of a derivative term sheet Pricing tools and pricing software QuantLib: an open-source tool QuantLibXL: using QuantLib on a spreadsheet Object handler and defining objects on a spreadsheet Day counters, business calendars, and end-of-month conventions […]