Market Risk

Agenda Summary ï Introduction - Market Risk in Banking ï Case Study - Banking blow-ups ñ What went wrong? ï Risk Management Tools for Market Risk ï Portfolio Market Risk Tools ï Value-at-Risk & Its Short Comings ï Adjuncts to the Value-at-Risk Tools ï Practical Workshop - Developing scenario and stress tests ï New Products & New Challenges ï What Can Derivatives Tell Us About Market Risk? ï Incorporating Derivatives into Market Risk Portfolios ï Market Risk for Fund Managers ï The Role of Back Testing for VaR ï Market Risk Capital ï Case Study - Looking at market risk disclosures by major banks ï Case Study - What elements are vital for effective risk management? How can you tell if you have them?