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Section
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Section Title
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Description
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Hyperlink?
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1.5 [foot] and 4.2.2.1
[foot]
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Introduction
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Annualisation (annualization)
conventions
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yes
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4.3.1.6
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Derivative pricing and
hedging
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Optimised trinomial
lattices
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yes
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4.3.1.6(b)
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Derivative pricing and hedging
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Semi-analytic lattice
integrator approaches
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yes
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4.3.1.6(c)
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Derivative pricing and
hedging
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Numerical integration
techniques
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no
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4.3.2.2
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Derivative pricing and hedging
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Deriving the
Black-Scholes pricing formulae using stochastic calculus if r, q
and sigma are constant
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yes
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4.3.2.6
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Derivative pricing and
hedging
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Derivative pricing
where there are multiple underlying price processes
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no
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4.3.4
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Derivative pricing and
hedging
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Analytical formulae for
option pricing greeks for Black-Scholes formulae
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yes
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4.13
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Derivative pricing and hedging
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Calibrating an assumed
multivariate prior (Normal) distribution to the 'nearest' alternative
multivariate Normal distribution that reproduces the calibration points
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yes
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5.3.4 [foot]
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Yield curve analysis
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Extrapolating present
values from yield curves
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no
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7.1
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Risk measurement
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A more in depth
mathematical treatment of risk management
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yes
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7.2
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Risk measurement
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Analysis of potential
difference between weighted average of instrument specific durations and the
equivalent 'whole portfolio' duration
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no
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7.3.2.5
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Risk measurement
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Risk measurement
techniques that involve analysing fund returns through time
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no
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7.3.2.5 [foot]
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Risk measurement
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Example of snail trails
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no
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7.4.3
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Risk measurement
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Principal components
analysis and other similar techniques
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yes
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7.4.4
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Risk measurement
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Expression of
multivariate regression analysis in matrix algebra form
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yes
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7.4.8
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Risk measurement
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Time series based risk
modelling as a special case of forecasting the characteristics of return
series
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yes
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7.5.1
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Risk measurement
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The sparcity of the
data available and how using weekly data does not appear to add many more
significant principal components
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no
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7.5.1 [foot]
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Risk measurement
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Random matrix theory
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yes
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7.7.1
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Risk attribution
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Grouping individual
instrument contributions to risk
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yes
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7.7.1
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Risk attribution
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Beta adjusted risk
attribution
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yes
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9.3.3(a)
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Backtesting risk models
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Standard statistical
tests relevant to backtesting VaR and equivalents
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yes
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9.3.3(b)
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Testing backtest
quality
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Standard statistical
tests relevant to backtesting the entire distributional form
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yes
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9.4
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Fitting observed
distributional forms
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Generalised beta
distribution of the second kind, and other generalised distributional forms
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yes
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9.4
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Fitting observed
distributional forms
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Levy stable
distributions (also known as stable Paretian distributions)
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yes
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9.5.3
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Fat tails
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Derivation of
Cornish-Fisher asymptotic expansion
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yes
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9.5.4
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Fat tails
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How the Cornish-Fisher
asymptotic expansion lacks a desirable invariance property
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no
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9.5.5 [foot]
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Fat tails
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How polynomial
curve-fits to quantile-quantile plots simplify computation of expected
shortfall
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yes
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9.5.6
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Fat tails
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How mixtures of normal
distributions can lead to fat-tails
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yes
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9.5.6
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Fat tails
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Typically greater
sensitivity of expected shortfall versus VaR to magnitude of fat-tailed
behaviour
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yes
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9.6.4
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Fat tails (in multiple
return series simultaneously)
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Box counting algorithms
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no
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12.1
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Portfolio construction
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Taking account of ‘what
the market has to say’ within investment idea generation
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yes
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12.2.3
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Portfolio construction
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Algorithms for solving
(mean-variance) constrained quadratic optimisation problems
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yes
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12.4.2
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Portfolio construction
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Why statistical tests
of manager skill based on past data typically depend on information ratios
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yes
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12.4.2
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Portfolio construction
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What might constitute
upper quartile skill levels?
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yes
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12.4.4
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Portfolio construction
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Clustering techniques
for universe selection
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yes
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12.7.1
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Portfolio construction
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Practical ways of
catering better for non-Normality in return distributions in portfolio
optimisation
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yes
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12.8.2
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Robust optimisation:
Re-sampling
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For what mathematical
problem are re-sampled optimised portfolios actually optimal?
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yes
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13.4.10
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Market consistent
liability valuations
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Summary of techniques
used in non-life insurance reserving
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no
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13.6.2
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Solvency add-ons
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Impact that division
between base liability and solvency add-on can have within current regulatory
frameworks
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no
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