Characteristics of distribution

Dispersion and measures of dispersion and relevance to Risk Management

•     1. Range
•     2. Variance and standard deviation
•     3. Quartile and percentile

Correlation & Regression

•     1. OLS, goodness fit R^2 chisquare, modelling Issue (Missing variables, multicollinearity, heteroscedasticity, autocorrelation)

Probability distribution

Moments of Distribution with respect to analysis on return

Discreet probability distribution

Continuous probability distribution.

•     1. Standard normal Distribution
•     2. Lognormal distribution.
•     3. Gaussian
•     4. Extreme value theory & EV distribution.

Probability distribution (multivariate)

•     1. Joint distribution
•     2. Marginals

Copulas

Financial Time series analysis.

•     1. Stationary time series models b.non stationary time series model
•     2. Forecasting volatility (UWMA, EWMA.ARCH, GARCH)

VaR

Binomial, Monte Carlo, Black-Scholes Model, Option Pricing

Simulation & case studies