Market Risk For Actuaries (Exams SP9/CM2/CP1)
4.2 (8 ratings)
Course Ratings are calculated from individual students’ ratings and a variety of other signals, like age of rating and reliability, to ensure that they reflect course quality fairly and accurately.
67 students enrolled

Market Risk For Actuaries (Exams SP9/CM2/CP1)

By MJ the Fellow Actuary
4.2 (8 ratings)
Course Ratings are calculated from individual students’ ratings and a variety of other signals, like age of rating and reliability, to ensure that they reflect course quality fairly and accurately.
67 students enrolled
Created by Michael Jordan
Last updated 4/2020
English
English [Auto-generated]
Current price: $27.99 Original price: $39.99 Discount: 30% off
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This course includes
  • 1.5 hours on-demand video
  • Full lifetime access
  • Access on mobile and TV
  • Certificate of Completion
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What you'll learn
  • How to measure and manage Market Risks
Requirements
  • Must have done the first few actuarial exams (Statistics and Financial Maths)
Description

For the Actuarial Students

  • This course is designed for actuaries writing exam: SP9/CM2/CP1.

  • It is theoretical in nature and designed to introduce a student to the material.

  • It is not a substitute for studying, rather a supplement.

Introduction

  • Risk is defined as the consequences resulting from uncertainty.

  • Market Risk is defined as the unexpected changes in an assets price.

Content

  • Part 1 is an introduction to Risk and looks at the mathematical properties of risk measures.

  • Part 2 is about being aware of Market Risk

  • Part 3 is about identifying Market Risk and its sources of uncertainty.

  • Part 4 is about the models used to assess Market Risk

  • Part 5 is about managing Market Risk and going beyond just hedging and derivatives.

  • Part 6 is about monitoring Market Risk with the Sharpe and Sortino Ratios

  • Part 7 is about how Black Scholes can be used to calculate an Implied Volatility for Market Risk Models

Who this course is for:
  • Advanced Actuarial Students
Course content
Expand all 18 lectures 01:33:41
+ Market Risk Assessment
6 lectures 22:58
Overview of Market Risk Models
03:19
Severity's Normal Assumption
04:52
Variance and Semi-Variance
02:07
Shortfall and Tail VaR
01:23
Value at Risk Framework
04:46
GARCH Model for Volatility Estimation
06:31
+ Appendix: Implied Volatility (Black-Scholes & Ito's Lemma)
5 lectures 15:36
Brownian Motion
01:04
Weiner Process
01:17
Ito Process
03:56
Ito Lemma
05:05
Black Scholes: Implied Volatility
04:14
+ Bonus: Basel Regulations
1 lecture 12:39
Overview of Basel Accords
12:39