Advanced Market Risk Management

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The analysis and management of market risk is critical to both bank managers and bank supervisors, as global financial institutions increasingly use their balance sheets to make large, speculative bets in their proprietary trading businesses.

Market Risk Management professionals are responsible for monitoring their bank’s adherence to trading limits, as well as analyzing and reporting market risk. This allows them to monitor and report their bank’s market risk capital to regulators. A variety of quantitative risk control measures are used, including Value at Risk (VaR) and other stress tests, with a particular focus on liquidity and risk concentration.

Besides designing, implementing and supervising the use of market risk measurement models and pricing models, market risk professionals should be proficient in Advanced Risk Modeling techniques for trading portfolios, including VaR models, stress testing and hedging analysis.

Market risk professionals should also be knowledgeable on Derivatives Modeling, and have a firm understanding of the risk management of exotic derivatives. Besides assessing and quantifying all market risk models, market risk professionals must have the capability to advice senior executives on the strategic risk/reward decision-making process driving large and complex transactions.

In the final part of a 3 part program on market risk, the Finance 3.0 Market Risk (Advanced) program contains a library of 4 courses designed to help you master the strategic, operational and technical aspects of market risk management.

The 4 courses covered in the Finance 3.0 Market Risk (Advanced) program are:

• Description of Advanced VaR models
• Advanced Measuring Volatility and Correlation
• Advanced Scenario Analysis and Stress Tests
• Risk Adjusted Performance Measurement

Program Details

1. Description of Advanced VaR models

• The various emerging forms of VaR viz., Component VaR and Del VaR
• The impact of individual trades on Total VaR
• The advancements in Monte Carlo Simulation
• The variance reduction techniques employed for Monte Carlo Simulation

2. Advanced Measuring Volatility and Correlation

• The concept of volatility and volatility clustering
• The conditional volatility models viz., Exponential Moving Average approach and GARCH
• The importance of time errors and the impact of crashes on correlation and its effect on VaR calculation

3. Advanced Scenario Analysis and Stress Tests

• The application of stress testing to a group of reporting firms through aggregation
• The various techniques like Maximum Loss and Extreme Value Theory
• How systematic stress testing is used with the help of stress test matrices

4. Risk Adjusted Performance Measurement

• The concept and need for risk adjusted performance measurement
• Risk capital and the measures of risk capital viz., revenue (or earnings) volatility, Earnings at Risk (EaR), and asset volatility – Value at Risk (VaR)
• The importance of capital allocation in risk adjusted performance measurement and the factors that affect them

Enrollment into the Finance 3.0 Market Risk (Advanced) program also provides you with access to a database of Disclosures, Benchmarking Data, Policy Templates, Global Best Practices and Measurement Tools, to ensure a comprehensive array of market risk job aids and tools at your fingertips always.

$100 – 12 Month Program – Enroll Now