Market Risk

In addition to your class tuition and study materials, you will receive the following:


Exercises

• Exercises using market data

Other Extras

• Certificate of attendance

Level: Introductory


Synopsis:
This course introduces the delegate to market risk and the main methods used by the industry to measure and manage it. It incorporates a lot of hands-on practice using current market data.


At the end of the course participants will be able to: Understand market risk . Understand the enterprise-wide implications of market risk . Understand the limitations of VaR . Understand the use of VaR for measuring risk .


Prerequisites:
Although no previous knowledge/experience in risk is necessary, the delegate would be expected to know the fundamentals of financial markets and instruments, such as fixed income markets and bond valuation.


Suitable For:
This course is ideal for those delegates that are starting their careers in risk and front-office staff, as well professionals from non-risk areas, such as HR, operations and IT, who want to gain an overall understanding of impact of market risk and tools for its measurement and management.


Introduction

• What is market risk?
• Which activities expose us to market risk?
• Which financial products expose us to market risk?
• Case study:Metallgesellschaft

Instruments and market risk

• Price risk of equity, fixed income and derivatives
• Volatility risk

Value-at-Risk (VaR)

• How is VaR calculated? - Analytical, Historical, Simulation (Monte-Carlo, binomial, etc)
• Limitations of VaR - what it does and does not measure
• Backtesting and stress testing