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
