Market Risk – Basic, Intermediate, Advanced Training

40 hours/3 months access/Instructor Supported

Overview
BASIC LEVEL: Evaluate cash flows at various points in time, Gain an insight into basic financial measures such as current yield, yield-to-maturity, and total return analysis.  Analyze the mechanics of bond pricing and issues involved therein.  Understand the concepts of volatility and correlation in financial asset prices.

INTERMEDIATE LEVEL:  Introduces tools such as VaR and stress testing to estimate Market Risk. Details of various Risk Management Softwares are available. Analyzes case studies of Barings Bank, Orange County and Metallgesellschaft.

ADVANCED LEVEL:  Handling VaR and stress testing with an emphasis on modeling. It explains advanced volatility and correlation models such as GARCH and EMWA.

Market Risk: Basic Level
Time taken to complete each Course: Two - Three hours

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

JOB AIDS

· Measurement Tools

· Disclosures

· Global Best Practices

· Benchmarking Data

· Policy Templates

Calculators in Market Risk: Basic Level
1. Undiversified and Diversified VaR
2. VaR of an Equity
3. VaR of an FRA
4. Variance Covariance

Elearning Features

ProTrain, in partnership with Kesdee, offer state-of-the art simulated learning environment.  Exhaustive theoretical material supplemented with contemporary case studies

Learner friendly courses with:

>          Formulae, definitions and concise summaries

>          Interactive simulations

>          Solved examples, practice exercises and quizzes

>          Mock exams from proprietary database

>          Timed tests in exam format

>          Personalized results for self assessment

>          Glossary, FAQs, Pocket Reference

>          Valuable reference extracts

Other features include :

>          E-mail subject-matter expert

>          Online with 24x7 customer support