Risk Management - Market Risk for Funds

Market risk plays a pivotal role within and beyond fund risk frameworks, impacting essential organisational, regulatory and strategic aspects of investment fund management.
This course provides its participants with the primary market risk concepts, its role within an investment fund's organisation and the main tools applied by practitioners to assess these risks.

• Identify the main components of market risk in the fund industry
• Understand the interaction between market risk and other risks in the fund industry
• Apply common risk approaches as Value at Risk (VaR), stress testing and back-testing
• Evaluate the market risk of derivatives and portfolios
• Learn main regulatory requirements and processes relevant for investment fund risk management
• Measure a fund’s global exposure under the Commitment approach and Value at Risk (VaR) approach

• Fundamentals of Market Risk
• Equity Risk
• Interest Rate Risk
• FOREX Risk
• Commodity Risk
• Derivative Risk
  • Black & Scholes
  • Greeks
• Portfolio Risk
  • Models
  • Leverage
  • Hedging strategies
• Global exposure
  • Commitment approach
  • Value at Risk approach
• Stress testing and scenario analysis
• Market Risk reporting
• Future trends