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Market Risk – Basic, Intermediate, Advanced


Market Risk – Basic, Intermediate, Advanced

Every professional involved in the Global Financial Services industry would benefit from this training! This comprehensive course covers several important topics in the industry such as: Statistical concepts, Risk measurement, Back Testing, Stress Testing, and Value of Risk methodologies, used by leading financial institutions worldwide.



Access Length

3 Months


Mentor Supported



Course Overview

This product is available in three levels viz., Basic, Intermediate and Advanced.
Topics covered at the Basic Level include:

  • Building Blocks of Market Risk
  • Financial Mathematics such as Time Value of Money
  • Statistical concepts such as Probability Distribution, Volatility, Correlation and Regression
  • Bond Pricing and Yield Analysis
  • Risk measurement concepts such as Gap Analysis, Duration Analysis, Simulation Analysis and Basis Point Value
  • The Basic Level courses are packed with interactive practical examples, calculators, and intuitive explanations that form a solid foundation for Market Risk Management

The Intermediate Level covers:

  • Several important topics in the industry such as Back Testing and Stress Testing that are presented with practical examples in an engaging and interactive fashion
  • A comprehensive annual survey on Value at Risk methodologies (assumptions, choice of models and the amount/type of exposure) used by leading financial institutions worldwide

Topics covered at the Advanced Level include:

  • An in-depth coverage of Advanced Market Risk Models, Statistical Models, Stress Testing & Scenario Analysis, and Risk-adjusted Performance Measurement
  • Complex theories and concepts that are presented in a simple and
    easy-to-understand manner with practice exercises, calculators and other interactive features

The three courses on Market Risk draw on real-life case studies extensively. The last course in each level includes a comprehensive and exclusive discussion of Case Studies.

Course Outline:

Market Risk: Basic Level

1. Interest Rate Risk

  • Objectives
  • Introduction
  • Types of Interest Rate Risk
  • Impact of Interest Rate Risk
  • Measuring Interest Rate Risk I
  • Measuring Interest Rate Risk II

2. Liquidity Risk

  • Objectives
  • Introduction
  • Liquidity Measurement Systems
  • Liquidity Management
  • Practical Tools and Techniques
  • Liquidity Risk and VaR

3. Equity Risk

  • Objectives
  • Introduction
  • Capital Asset Pricing Model
  • Measuring Equity Risk
  • Diversification and Equity Risk

4. Foreign Exchange Risk

  • Objectives
  • Introduction
  • Regulations

5. Commodity Risk

  • Objectives
  • Introduction
  • Commodity Market
  • Methodology

6. Portfolio Risk

  • Objectives
  • Introduction
  • Types of Risk Exposure
  • Measuring Portfolio Risk
  • Portfolio Management

7. Value at Risk

  • Objectives
  • Risk Measures
  • Introduction
  • Value at Risk Parameters
  • Role of VaR
  • Regulators and VaR
  • Determining VaR
  • Evaluating VaR
  • Application of VaR

8. Regulatory Issues

  • Objectives
  • Aim of Regulation
  • Basel Accord
  • Approaches to Capital Charges
Market Risk: Intermediate Level

1. Emerging Market Risk

  • Objectives
  • Introduction
  • Emerging Market Risks
  • Measuring Emerging Market Risk
  • Supervision in Emerging Market

2. Market Risk Models

  • Objectives
  • Introduction
  • Parametric Models
  • Historical Simulation Models
  • Monte Carlo Simulation Models
  • Value at Risk Implementation

3. Stress Testing

  • Objectives
  • Need for Stress Testing
  • Incorporating into Market Risk Models
  • Implementation
  • Evaluating Stress Tests

4. Supervisory Requirements

  • Objectives
  • Introduction
  • Backtesting
  • Supervision

5. Risk Management Systems

  • Objectives
  • Choosing a Risk Solution
  • Algorithmics
  • RiskMetrics
  • Askari
  • SunGard Trading and Risk Systems
  • Financial Engineering Associates

6. Case Study – Orange County

  • Objectives
  • History
  • Crisis
  • Analyzing through Measures

7. Case Study – Barings Bank

  • Objectives
  • Kobe Earthquake and its fallout
  • Trading Mechanics
  • Applications of Value at Risk

8. Case Study – Metallgesellshaft

  • Objectives
  • Introduction
  • Hedging Alternatives
  • Analysis of MGRM’s Methods
  • Lessons Learnt
Market Risk: Advanced Level

1. Description of Advanced VaR models

  • Objectives
  • New forms of VaR
  • DelVaR
  • Advances in Monte Carlo Simulation
  • Variance reduction techniques in Monte Carlo Simulation

2. Advanced Measuring Volatility and Correlation

  • Objectives
  • Introduction
  • Advanced Volatility Models
  • Advanced Correlation Models

3. Advanced Scenario Analysis and Stress Tests

  • Objectives
  • Aggregate Stress Tests
  • Maximum Loss Approach
  • Extreme Value Theory
  • Systematic Testing

4. Risk Adjusted Performance Measurement

  • Objectives
  • Introduction
  • Measuring Risk Capital
  • Capital Allocation

All necessary materials are included.

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