GARP Program

The Global Association of Risk Professionals (GARP) is a not-for-profit organization and is the only globally recognized membership association for risk managers. GARP's goal is to help create a culture of risk awareness within organizations, from entry level to board level.

• The role of risk management
• Basic risk types, measurement and management tools
• Creating value with risk management
• Modern Portfolio Theory (MPT)
• Standard and non-standard forms of the Capital Asset Pricing Model (CAPM)
• Single and multi-index models and the Arbitrage Pricing Theory (APT)
• Risk-adjusted performance measurement
• Enterprise Risk Management Financial disasters and risk management failures
• Case studies
• Ethics and the GARP Code of Conduct

• Fixed income securities
  • Duration, DV01, and convexity
  • Key rate exposures
  • Hedging and immunization
  • Risk neutral pricing
  • Mortgage-backed securities: structure and valuation
• VaR and other risk measures
  • VaR mapping
  • Backtesting VaR
  • Expected shortfall (ES) and other coherent risk measures
  • Parametric and non-parametric methods of estimation
  • Modeling dependence: correlations and copulas
  • Extreme value theory (EVT)
• Volatility: smiles and term structures
• Exotic options