Market Risk Management - A Quantitative Approach

 

Summary

 

Learning Outcome:

 

  • Estimate risk measures, VaR and expected shortfall using various approaches including back-testing
  • Identify advantages and disadvantages of parametric and non-parametric estimation methods
  • Explain the purpose of correlation modelling and understand empirical approaches to risk metrics and hedging
  • Explain the implications of put-call parity on the implied volatility of call and put options and classification of positions in the trading book com-pared to the banking book

Target Audience:

 

  • Market Risk Managers
  • Market Risk Analysts and Research Associates
  • Investment Risk Managers
  • Quantitative Researchers
  • Business Analysts
  • Senior Market Risk Management Personnel
  • Pricing and Valuation Analysts

Day 1


Session 1 

• Market Risk Measures 
• Non-Parametric Approaches 

 

Session 2
• Parametric Approaches 
• Backtesting VaR 

 

Session 3

• VaR Mapping

• Risk Management for the Trading Book 

 

Session 4

• Correlation: Definitions, Applications, Terminology

• Empirical Properties of Correlation 

 

Day 2 

 

Session 5 

• Correlation Modelling

• Empirical Approaches to Risk Metrics and Hedging 

 

Session 6

• Term Structure Models

• Short Rates and Shape of Term Structure Models 

 

Session 7

• Drift 

• Volatility and Distribution 

 

Session 8 

• Volatility Smiles 

• Fundamental Review of the Trading Book 

 

Trainer profile:


Trainer is a multi-skilled OTC Derivatives & Market Risk expert with extensive knowledge and experience of Pricing, Valuation, Financial Derivatives Modelling, Interest Rate Risk Management ,Foreign Exchange hedging, Equity & Credit Derivatives including financial research, analysis and training.

 

Training dates - September 22-23, 2022

Training fees - ₹40,000 + applicable taxes