Market Risk Training Program

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Course Highlights:

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Programme- Market Risk Training Program

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

Stress Testing & Scenario Analysis

  • 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.
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