Market Risk Basic

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

• Building Blocks of Market Risk
• Financial Mathematics such as Time Value of Money
• Statistical concepts such as Probability Distribution, Volatility, Correlation and Regression
• Bond Pricing and Yield Analysis
• Risk measurement concepts such as Gap Analysis, Duration Analysis, Simulation Analysis and Basis Point Value
• The Basic Level courses are packed with interactive practical examples, calculators, and intuitive explanations that form a solid foundation for Market Risk Management

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Interest Rate Risk

• Concept of interest rate risk
• Different types of interest rate risk
• Impact of interest rate risk on target measures such as Net Interest Income (NII) and Economic
• Value of Portfolio Equity (EVPE)
• Techniques of measuring interest rate risk such as Gap Analysis, Duration and Convexity

Duration: 1 Hour

Liquidity Risk

• Concept of liquidity and liquidity risk and its importance to banks
• Various liquidity measurement systems
• Practical tools and techniques to monitor liquidity
• How to incorporate liquidity into VaR Limits

Duration: 1 Hour

Equity Risk

• Equity risk and its components
• The various methods of measuring equity risk
• The growing importance of diversification and its impact on equity risk

Duration: 1 Hour

Foreign Exchange Risk

• Concept of foreign exchange exposure, rate and risk
• Sources of foreign exchange risk
• Various regulatory issues

Duration: 1 Hour

Commodity Risk
Gives an introduction to commodity risk.

• The concept of commodity risk
• The determination of price in the commodity market
• The measurement of commodity risk using maturity model and simplified approach

Duration: 1 Hour

Portfolio Risk
Explains the concept of portfolio risk.

• The concept of portfolio risk
• The importance of diversification of portfolio
• The different types of risk exposures
• The methods of measuring portfolio risk
• How to minimize portfolio risk using the techniques of indexing and immunization

Duration: 1 Hour

Value at Risk

• Concept of value at risk
• Parameters associated with value at risk
• Various facets of value at risk
• Advantages, disadvantages and application of value at risk

Duration: 2 Hours

Regulatory Issues
Deals with regulatory issues in Market Risk.

• How market risk can be regulated
• The purpose of regulatory capital
• The various approaches applied to capital charges

Duration: 1 Hour