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Effective Market Risk Management

A state-of-the-art guide to practical model development. The course provides a best practice framework for measuring and modelling market risk.

Course Highlights

Attend this intensive two-day training course and learn about:

Best practice in market risk management
What VAR is good for, how regulators use it and where it fails
Alternatives and adjuncts to VAR including stress and scenario testing
Market risk techniques for non-linear and hedge fund risk
The common pitfalls in market risk management and how to avoid them
The future of regulatory and economic capital calculation for market risk

For details of the course trainer, please download the course brochure

Booking Information

Dates	Prices	Book This Course	Discount
19 - 20 May 2010	£ 1899		-
29 - 30 Nov 2010	£ 1899		-

Course Programme

DAY ONE

Current Market Conditions and the Credit Crunch

Basics of Risk Management

Risk management

The types of risk: market, credit, liquidity, operational and legal risks
Accounting: fair value vs accrual

The aims of risk management

Market Risk Management in the Wider Bank

Simple market risk controls

P/L, limits
What do you own? The deal review process

Culture and organisation

Risk management in the broader bank
Banks vs other financial institutions vs corporates

Case Study: Market Risk Disasters

Quantitative Risk Management Tools

Risk management tools

Market returns
Models of return processes
Positions and sensitivities (equity delta / interest rate delta)
Concepts of arbitrage

Portfolio Risk Aggregation

Portfolios and risk aggregation

Types of portfolios
Diversification and correlation
Aggregation: introducing composite risk measures
Value-at-risk

The Limitations of VAR

Specific risk
Illiquid assets
Volatility and correlation instabilities

DAY TWO

Case Study: VAR and Structured Credit Trades

Stress and Scenario Testing

Scenario analysis
Stress testing

Managing Market Risk: More Tools

New products and managing product complexity
Systems and effective risk reporting

Lessons from Derivatives

Implied volatility
What does implied volatility teach us about return distributions?
Fat tails and market risk measurement

Dealing with Derivatives

The return distribution for nonlinear instruments
Understanding confidence intervals for non-linear portfolios
The importance of Greeks for market risk management

Market Risk for Asset Managers

Alpha and beta
Risk vs a benchmark
Asymmetric beta
Alternative beta

Backtesting

P/L explanation
The back testing process
Exemptions: how many do we expect and how many are we allowed?
Clustered exceptions and autocorrelation
Extreme value theory

Capital for Market Risk

The 1996 Market Risk Amendment to Basel I
Best practice in market risk economic capital calculations
Disclosure from leading institutions
The future of market risk capital