Market Risk - Basic, Intermediate, Advanced

40 Hours / 3 Months / Mentor Supported

Course Overview:

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

All necessary materials are included.


System Requirements:

Internet Connectivity Requirements:
  • Cable and DSL internet connections are recommended.
Hardware Requirements:
  • Minimum Pentium 400 Mhz CPU or G3 Macintosh. 1 GHz or greater CPU recommended.
  • 256MB RAM minimum. 1 GB RAM recommended.
  • 800x600 video resolution minimum. 1025x768 recommended.
  • Speakers/Headphones to listen to Dialogue steaming audio sessions.
  • A microphone to speak in Dialogue streaming audio sessions.
Operating System Requirements:
  • Windows Vista, 7, 8, 8.1, 9, 10
  • Mac OSX 10 or higher.
  • OpenSUSE Linux 9.2 or higher.
Web Browser Requirements:
  • Google Chrome is recommended.
  • Firefox 13.x or greater.
  • Internet Explorer 6.x or greater.
  • Safari 3.2.2 or greater.
Software Requirements:
  • Adobe Flash Player 6 or greater.
  • Oracle Java 7 or greater.
  • Adobe Reader 7 or greater.
Web Browser Settings:
  • Accept Cookies
  • Disable Pop-up Blocker.


** Outlines are subject to change, as courses and materials are updated. Software is not included with the purchase of the course, unless otherwise specified. Students are responsible for the purchase and installation of the necessary course software. **