Market Risk Training Program

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Course Highlights:

Market risk refers to risks arising from movements in the interest rate, exchange rate, stock price, and commodity prices. Market risk includes interest rate risk, currency risk, equity risk, and commodity risk. Banks face market risk when the market value of the financial products owned by banks decreases due to factors that affect the whole market and or to a specific asset. It is essentially the risk arising from changes in the markets in which an organization is exposed. The market risk is different from credit risk, which is the risk of losing money when a counterparty fails to make a promised payment. Identification and measurement of risk are important parts of risk management, as is ensuring that the risks taken are in line with the risk capacity and appetite. Appropriate models are used by banks for managing market risk. Effective risk management include appropriate use of models based on expertise and judgement.

Benefits of the Programme:

Identifying market risk associated with different asset classes
Using the suitable derivatives to manage market risk
Applying different statistical models for measuring market risk
Understanding how to construct stress test
Making different scenario analyses and
Gaining solid foundation of risk management process.

Who should attend:

Identifying market risk associated with different asset classes
Using the suitable derivatives to manage market risk
Applying different statistical models for measuring market risk
Understanding how to construct stress test
Making different scenario analyses and
Gaining solid foundation of risk management process.

Course deliverables:

Identifying market risk associated with different asset classes
Using the suitable derivatives to manage market risk
Applying different statistical models for measuring market risk
Understanding how to construct stress test
Making different scenario analyses and
Gaining solid foundation of risk management process.

Customized Training:

Our training programs may be customized to meet the specific training and development solutions that match the needs of any organization and teams. Training courses can be delivered onsite, online or through a blended learning approach.

Programme- Market Risk Training Program

Market Risk

Identifying market risk & using the suitable derivatives to manage market risk
Applying different statistical models to measure market risk
Understanding how to construct stress test
Making different scenario analyses

Financial Instruments

Financial Markets asset classes- Currencies, Rates (Interest Rates), Equities, Commodities & Derivatives
Currencies- Spot, Forwards, Futures, FX Money Market Swaps, Long Term Currency Swaps, Mifor Swaps etc…
Interest Rates- Money Market Lending & Borrowing, Repo/Reverse Repo, Term Lending, T. Bills, CDs, CPs, etc…
Equities: Public Listed Equity-IPO, Secondary Market, Private Equity etc.
Derivatives- Long Term Forwards, Futures, Currency Swaps, Currency Options, Overnight Index Swaps, Forward Rate Agreement, etc…

Market Risk exercises

Exercises on Forward Revaluation, AGL, Duration, Modified Duration, Portfolio Duration, PV01, YTM Calculation, Boot Strapping, Variance, Standard Deviation.
FRA, IRS, Currency Swap and Option Pricing & Valuation
Valuation of vanilla options & option structures
Options Greeks

Market Risk Measurement

Foreign Exchange & Gold position calculation
Intra Day & NOOP Calculation
Interest Earnings at Risk measurement
Value at Risk measurement

Stress Testing & Scenario Analysis

Market Risk Management-Monitoring & Control

VaR Limit
Country Limits & Counterparty Exposure Limits
Moody’s, S&P & Fitch Ratings. Risk weightage for different rating exposures
Netting, Novation & Assignments
Agreements for dealing in Financial Instruments- ISDA, GMRA, IFXCO Master Agreement etc.