Market Risk - Basic, Intermediate, Advanced

Hours: 40 / Access Length: 3 Months / Delivery: Online, Mentor Supported
Retail Price: $599.00

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, Fiber, DSL, or LEO Satellite (i.e. Starlink) internet with speeds of at least 10mb/sec download and 5mb/sec upload are recommended for the best experience.

NOTE: While cellular hotspots may allow access to our courses, users may experience connectivity issues by trying to access our learning management system.  This is due to the potential high download and upload latency of cellular connections.   Therefore, it is not recommended that students use a cellular hotspot as their primary way of accessing their courses.

Hardware Requirements:

  • CPU: 1 GHz or higher
  • RAM: 4 GB or higher
  • Resolution: 1280 x 720 or higher.  1920x1080 resolution is recommended for the best experience.
  • Speakers / Headphones
  • Microphone for Webinar or Live Online sessions.

Operating System Requirements:

  • Windows 7 or higher.
  • Mac OSX 10 or higher.
  • Latest Chrome OS
  • Latest Linux Distributions

NOTE: While we understand that our courses can be viewed on Android and iPhone devices, we do not recommend the use of these devices for our courses. The size of these devices do not provide a good learning environment for students taking online or live online based courses.

Web Browser Requirements:

  • Latest Google Chrome is recommended for the best experience.
  • Latest Mozilla FireFox
  • Latest Microsoft Edge
  • Latest Apple Safari

Basic Software Requirements (These are recommendations of software to use):

  • Office suite software (Microsoft Office, OpenOffice, or LibreOffice)
  • PDF reader program (Adobe Reader, FoxIt)
  • Courses may require other software that is described in the above course outline.


** The course outlines displayed on this website are subject to change at any time without prior notice. **