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 indepth coverage of Advanced Market Risk Models, Statistical Models, Stress Testing & Scenario Analysis, and Riskadjusted Performance Measurement

Complex theories and concepts that are presented in a simple and
easytounderstand manner with practice exercises, calculators and other interactive features
The three courses on Market Risk draw on reallife 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 Popup 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. **