Introduction

•  The different constituents of market risk
• Identifying main techniques for measuring risk
• Market risk regulations and Basel 2 – Basel II Minimum Requirements for Internal Models Approach (IMA)
• The difference between the approach in the trading and banking books
• The issues with the Basel VAR requirements
• Basel 3 and FRTB

Basic Measures of Risk

• Correlation and convexity
• Sensitivity-based risk measures:
  • Zero coupon curves
  • Calculating present values
• Risk factors and sensitivities in options portfolios: the Greeks
• The problem of non-normality
• Downside risk, regret and maximum loss
• Coherent risk measures and conditional VaR; Extreme Value Theory
• New FRTB measures and complexity

Alternative Measures of Risk

• The problems caused by correlation and convexity
• Sensitivity based risk measures:
  • Zero coupon curves
  • Calculating present values
• Risk factors and sensitivities in options portfolios: the Greeks
• The problem of non-normality and the current yield curve
• Downside risk, regret and maximum loss

Statistical methods for estimating and forecasting volatility and correlation

• Uses and abuses of equally weighted moving averages
• Making GARCH models work for you
• Validating volatility forecasts
• Statistical vs operational methods
• Factor Models

Value-At-Risk models: from basics to latest developments

• What can VaR provide; limitations of VaR
• Application to liquid equities and foreign exchange
• Challenges in Value at Risk in fixed income
• Applications to derivatives
• Monte Carlo methods
• Why do different VaR models give such diverse results?
• The key problems with VaR

Key Market Risk Management Techniques

• Sensitivity analysis
• Stress testing market risk
• Scenario modelling market risk

Worked Group  Exercises, Discussion / Q & A

Delegates attending this course will gain specialist technical and behavioural knowledge, an understanding of the nature of the problems associated with market risk modelling and the solutions that are available.

The difficulties posed by the Basel Accord and the weaknesses of current models will be considered together with stress testing and scenario modelling.

Highly interactive expert-led intensive presentation, Q&A, group real-time in-depth case studies, regulation and discussion supported by key principles and theory. The virtual learning platform uses safe, industry preferred software to optimize live face-to-face visual interaction, discrete chat, for polling and quizzes.

(An invitation via email with access link is included for all participants.)