Course Market Risk Management

Structure

The course consists of a half-day, three-hour classroom session. The course includes significant hands-on learning with the practical analysis of real-world cases, proposed by the students themselves, which are then analyzed and discussed in plenary sessions or through exercises led by the instructor. Each half-day of training provides two training credits, which are required for renewing the certifications issued by the school (AMLACERT, KYCACERT, RCACERT, WSACERT).

Program

Defining market risk

• Interest Rate Risk
• Equity Risk
• Volatility Risk
• Exchange Risk
• Credit Spread Risk
• Goods risk
• General and specific risk

 Market risk models

• Duration
• Advantages and limitations
• Greeks
• Delta
• Theta
• rho
• Vega
• Gamma
• VaR (Value at Risk)
• Universal
• Global
• Probabilistic
• Express at a loss of money
• Beyond VaR: Expected Shortfall
• Definition of Portfolio
• Trading Book
• Banking Book

 Market risk regulations

• Capital requirements
• Supervisory Assets
• RWA (Risk Weighted Asset)
• Prudential control
• Market discipline
• Debt securities
• Equity Securities

 Managing market risks

• RAF (Risk Appetite Framework)