Market Risk Advanced

This course is available in three levels viz., Basic, Intermediate and Advanced.
Topics covered at the Advanced Level include:

• An in-depth coverage of Advanced Market Risk Models, Statistical Models, Stress Testing & Scenario Analysis, and Risk-adjusted Performance Measurement
• Complex theories and concepts that are presented in a simple and easy-to-understand manner with practice exercises, calculators and other interactive features

The three courses on Market Risk draw on real-life case studies extensively. The last course in each level includes a comprehensive and exclusive discussion of Case Studies.

Description of Advanced VaR Models
Explains in details the various advanced VaR models.

• The various emerging forms of VaR viz., Component VaR and Del VaR
• The impact of individual trades on Total VaR
• The advancements in Monte Carlo Simulation
• The variance reduction techniques employed for Monte Carlo Simulation

Duration: 1 Hour

Advanced Measuring Volatility and Correlation
Explains in details the concept of volatility.

• The concept of volatility and volatility clustering
• The conditional volatility models viz., Exponential Moving Average approach and GARCH
• The importance of time errors and the impact of crashes on correlation and its effect on VaR calculation

Duration: 1 Hour

Advanced Scenario Analysis and Stress Tests
Deals with the concept of Advanced Scenario Analysis and Stress Tests.

• The application of stress testing to a group of reporting firms through aggregation
• The various techniques like Maximum Loss and Extreme Value Theory
• How systematic stress testing is used with the help of stress test matrices

Duration: 1 Hour

Risk-adjusted Performance Measurement
Deals with the concepts of Risk Adjusted Performance Measurement.

• The concept and need for risk adjusted performance measurement
• Risk capital and the measures of risk capital viz., revenue (or earnings) volatility, Earnings at Risk (EaR), and asset volatility Value at Risk (VaR)
• The importance of capital allocation in risk adjusted performance measurement and the factors that affect them

Duration: 1 Hour