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London, Europe, USA East Coast Time Zones
CPEs: 16
Instructor: Dr Howard Haughton
Level: Intermediate
Tuition: £2,395.00
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NEW Modelling Market Risk FM011

Location: London, Europe, USA East Coast Time Zones

First Date: Oct 27 - 28 2022

Duration: 2 days

Programme Director: Dr Howard Haughton Quantitative Risk Expert

All Dates & Locations
Venue Details

Experience the highly-interactive expert-led social learning through Virtual Classroom via Cisco WebEx from Risk Reward.

All our 2022 Virtual Classroom events feature shared (or discrete) live chat between delegates and the expert, participate in topical surveys, polling questions, group exercises and case studies for a tried -and- true engaging and gratifying learning experience.

Need to certify an entire department, small teams or 1:1? Simply contact us for significant cost savings and dates to meet your specific needs.

Agenda Highlights

Session 1: Introduction

Session 2: Basic Measures of Risk

Session 3: Alternative Measures of Risk

Session 4: Statistical Methods of Estimating and Forecasting Volatility and Correlation

Session 5: Value-At-Risk models: from basics to latest developments

Session 6: Key Market Risk Management Techniques

Overview

This intermediate level course reviews the current state of market risk and considers the different approaches that are likely to be suitable for modelling market risk approaches.  Looking at the Basel requirements it takes into account the current market volatility to address current modelling issues.

Who Should Attend

Any staff involved with market risk and market risk modelling within a bank or financial institution.

Knowledge Pre-Requisites

Some knowledge of financial instruments will be required since this is assumed within the course.  An understanding of mathematical modelling principles would also be an advantage but is not required.

Certification Option

All delegates who complete the course will receive a Certificate in Modelling Market Risk, and for those requiring a demonstration of competency a 20-multiple choice question quiz, fully invigilated via email with results report is available at no additional charge.

Additional Course Information

What Does It Cover?

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

Discussion / Q & A

Learning Objectives

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.

Social Learning & Methods

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 encrypted Cisco WebEx 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.)

Registration

NEW Modelling Market Risk

Course Fee

Early Bird Discounts of 15% available until Dec 15, 2021

Course Fee (per person):
GBP £2,395.00 (+ UK VAT when applicable)

Number of delegates:

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