Risk Management - Market Risk for Banks

In the wake of multiple financial crises, Risk Management has become essential. Today practically every provider of financial services is concerned about the multitude of risks to manage.More specifically, the aim of this course is to provide participants with a good understanding of market risk and how to manage it.

• Define market risk
• Describe and understand the basic components of market risk
• Understand the interaction between market risk and other risks
• Evaluate the market risk of derivatives and portfolios
• Understand and apply risk factors, valuation models and normal distribution calculations
• Explain the use of value at risk (VaR) in measuring and managing market risk
• Understand other methods and tools for managing market risk

• Introduction
• Fundamental concepts of market risk
• Equity risk
  • Systematic - Specific
• Beta
• Interest rate risk
  • Duration/convexity
• FX risk
  • Transaction risk
  • Translation risk
  • Economic risk
• Commodity risk
• Derivatives
  • Black & Scholes
  • Greeks
• Portfolio
  • CAPM
  • APT
  • Leverage
  • Hedging strategies
• ALM
  • Gap analysis
  • Duration gap analysis
  • BPV & NPV
• Value at Risk
  • VaR calculation methods
  • Backtesting
• Stress testing and scenario analysis
• Market risk reporting
• Future trends

This module is part of the Risk Management Certification. To obtain their certificate, candidates must complete 12 days of training in Risk Management and pass the exam for each course.