Tutorial lessons
04 Valuation and Risk Models
Learn FRM Part 1 Valuation and Risk Models with free tutorials on VaR, volatility, credit risk, stress testing, bond valuation, duration, and option pricing.
Lessons
Tutorial lessons
VRM 1: Measures of Financial Risk
Study measures of financial risk for FRM Part 1, covering portfolio risk, value at risk, expected shortfall, coherent risk measures and spectral risk measures.
VRM 2: Calculating and Applying VaR
Learn calculating and applying VaR for FRM Part 1, covering historical simulation, delta-normal and Monte Carlo methods, expected shortfall and stressed VaR.
VRM 3: Measuring and Monitoring Volatility
Study measuring and monitoring volatility for FRM Part 1, covering EWMA, GARCH models, fat tails, mean reversion, implied volatility and correlation.
VRM 4: External and Internal Credit Ratings
Study external and internal credit ratings for FRM Part 1, covering rating scales, default probabilities, hazard rates, transition matrices and bank models.
VRM 5: Country Risk
Study country risk for FRM Part 1, covering political and economic risks, sovereign defaults, credit ratings, country risk premiums and CDS spreads.
VRM 6: Measuring Credit Risk
Study measuring credit risk for FRM Part 1, covering expected loss, credit VaR, default correlation, the Vasicek model, CreditMetrics and capital requirements.
VRM 7: Operational Risk
Study operational risk for FRM Part 1, covering Basel event categories, capital approaches, loss modeling, scenario analysis, controls and key risk indicators.
VRM 8: Stress Testing
Study stress testing for FRM Part 1: historical and hypothetical scenarios, reverse stress testing, stressed VaR and ES, governance, and worked examples.
VRM 9: Pricing Conventions, Discounting, and Arbitrage
Learn pricing conventions, discount factors, bond arbitrage, bootstrapping, Treasury STRIPS, and day-count conventions for FRM Part 1 with worked examples.
VRM 10: Interest Rates
Explore interest rates for FRM Part 1, including compounding, spot, forward and par rates, yield curves, forward rate agreements, and interest rate swaps.
VRM 11: Bond Yields and Return Calculations
Master bond yields and return calculations for FRM Part 1, covering yield to maturity, bond spreads, carry roll-down, and P&L decomposition with examples.
VRM 12: Applying Duration, Convexity, and DV01
Learn duration, convexity and DV01 for FRM Part 1 with worked examples covering bond price sensitivity, hedging, portfolio risk, and barbell vs bullet strategies.
VRM 13: Modeling Non-Parallel Term Structure Shifts and Hedging
Study non-parallel term structure shifts and hedging for FRM Part 1, covering key rate 01, forward bucket 01, PCA, and portfolio risk with worked examples.
VRM 14: Binomial Trees
Learn binomial trees for FRM Part 1 with worked examples on risk-neutral valuation, European and American options, delta hedging, and dividend adjustments.
VRM 15: The Black-Scholes-Merton Model
Learn the Black-Scholes-Merton model for FRM Part 1, including option pricing, model assumptions, implied volatility, risk-neutral valuation, and dividends.
VRM 16: Option Sensitivity Measures: The Greeks
Learn option Greeks for FRM Part 1: delta, gamma, vega, theta and rho, with worked examples on hedging, portfolio sensitivities, and portfolio insurance.