Market Risk Management and VaR Models Masterclass
“Mastering Market Risk: Navigating Dynamics, Tools, and Strategies”
Course Overview
Market risk, the ever-present threat stemming from fluctuations in interest rates, exchange rates, stock prices, and commodity values, lies at the heart of every financial institution’s concern. This encompasses interest rate risk, currency risk, equity risk, and commodity risk, each posing unique challenges. In the dynamic landscape of financial markets, banks must navigate through uncertainties where the value of their assets can fluctuate unpredictably. This overview sets the stage for a practical masterclass on Market Risk Management and VaR Models, where participants will delve into the intricacies of identifying, measuring, and mitigating market risk. Through hands-on exercises and expert guidance, attendees will explore the use of sophisticated models tailored to managing market risk effectively, ensuring alignment with risk tolerance and capacity. This masterclass equips professionals with the tools and insights necessary to safeguard financial stability amidst the ever-changing market dynamics.
BENEFITS OF ATTENDING
- Gain insight into the current market landscape, exploring the aftermath of significant events like the credit crunch/GFC and quantitative easing (QE), and discerning their implications for risk management.
- Grasp the core concepts of risk management, distinguishing its essence from other financial activities, and develop proficiency in identifying, measuring, and managing various types of risks.
- Recognize the critical role of basic control processes in mitigating market risk in banking, including valuation methodologies, profit and loss monitoring, limit setting, and organizational culture.
- Acquire practical knowledge of essential risk management tools for market risk, such as defining returns processes, modeling sensitivities to market moves, and understanding arbitrage principles for pricing and risk assessment.
- Learn techniques for aggregating positions, assessing portfolio effects from correlation and diversification, and employing composite risk measures and portfolio risk models to manage market risk across portfolios.
- Understand the concept of Value at Risk (VaR) and its various calculation approaches, as well as recognize its shortcomings in handling specific risk factors, illiquid assets, and changing market conditions.
- Explore adjuncts to VaR tools, including scenario analysis and stress testing, for identifying problem positions and evaluating the robustness of risk management strategies.
- Develop strategies for incorporating new products into risk management frameworks, assessing non-modelable risks, and coping with risks beyond VaR metrics.
- Analyze the insights derivatives provide into market risk, including implied volatility, market instabilities, and adjustments to risk measures, enhancing risk assessment capabilities.
- Understand the unique challenges of market risk management for fund managers, including benchmark-relative risk assessment, liquidity risk management, and the role of performance metrics in evaluating fund performance.
- Learn the importance of back testing VaR models, understanding sources of profit and loss, and evaluating model performance through hypothesis testing and extreme value theory.
- Explore the evolution of Basel capital requirements for market risk, including the 1996 market risk amendment, internal models recognition, and recent developments such as Basel III and the Fundamental Review of the Trading Book (FRTB).
WHO SHOULD ATTEND
This Practical and Interactive course specifically designed for but not limited to:
- CROs
- CFOs
- Market Risk
- ALCO members
- Interest rate risk
- Liquidity risk
- Quantitative Analytics
- Heads of Trading Businesses
- Treasury
- Trading Desk Heads, Market Risk Management
- Market Risk Auditing
- Enterprise Risk Management
- Liquidity and Regulatory Capital
- Model Validation
- Traded risk
- Risk management
- Internal audit
- Market Data, Regulation, and Supervision
- Capital Management
- Capital Modeling
IN-HOUSE
Our Tailored Learning Offering
Do you have five or more people interested in attending this course? Do you want to tailor it to meet your company’s exact requirements? If you’d like to do either of these, we can bring this course to your company’s office by offering our classroom program or LIVE Online. You could even save up to 50% on the cost of sending delegates to a public course and dramatically increase your ROI.
Top Quality
From the Boardroom to the front line, we can deliver engaging, multi-faceted learning programmes that will nurture the skills needed to fast-track development and enable teams to flourish.
Best Way
We combine the right blend of formal, informal, online and classroom techniques to increase your employees’ knowledge retention, drive collaboration, and create social learning communities.
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Trusted Clients
Amazing Experience
"We worked with BIZENIUS for our Fresh Graduates Program thru one of our clients. I must say that they are simply amazing. At each step of the sessions, Knowledge Transfer and Practical Learning were emphasized upon, with daily evaluations to verify learning. Happy to say that we are so happy that our partners chose BIZENIUS to deliver this critical session for us. Looking to work together in future."
Sustainable Relationship with BIZENIUS
“It is always a pleasure to work with BIZENIUS. We have been partnering with BIZENIUS since 2016 and we see improvements with each session. The courses are highly Interactive, and their lecturer’s makes it easy to understand the materials. We look forward to working with BIZENIUS on a variety of courses. We are happy with the way this relationship has evolved.”
Practical Approach, Hand on Learning.
“BIZENIUS organized NEBOSH Oil and Gas Certificate for us. The sessions in the preparatory training were well complimented with real life case studies and practical examples. We enjoyed the 5 days training session leading up to the examination. Everything was organized with meticulous details to ensure a great learning experience and success at the examination. Thank you.”
Relevant and Well Organized.
“The training was very well organized. The content was very relevant to my role. The interactive discussion was encouraged, and the trainer was also very knowledgeable of the subject matter. I would recommend this training to all who are involved at some stage of Risk, ICAAP or ILAAP.”
