Market Risk Management
This course is a rigorous review of the complete market risk reporting cycle: from risk model selection to data aggregation and model calibration to risk computation and ultimately risk reporting.
CPE Credits: 7
This course is a component of:
Advanced Risk Management Professional Certificate
Prerequisite knowledge:
- Intermediate MS Excel skills (lookup functions, matrix multiplication, etc.)
- Fixed income arithmetic
- Elementary differential calculus
- Basic probability and statistics
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To make it even easier to learn, you can finance your program through Affirm.
Loans offered through Affirm are available in the U.S. and Canada.
Module 1: Equity Risk
- Elements of portfolio theory
- Capital Asset Pricing Model
- Systematic vs. idiosyncratic risk
- Equity portfolio risk and performance evaluation
Module 2: Fixed Income Risk
- Bond and swap arithmetic
- Rate risk - DV01, Duration, Convexity
- Delta and delta-gamma (convexity) approximations
- Foreign Exchange Risk
Module 3: Derivatives Risk
- Forwards, Futures, Options
- Option valuation
- Sensitivity Measures: Greeks
Module 4: Measuring Market Risk with Historical Data
- Collecting data to model the behavior of risk factors
- Determining the loss distribution
- Dollar P/L vs. returns
- Computing risk measure estimates
- Confidence intervals for risk measure estimates
- Techniques to improve accuracy of risk estimates
- Volatility updating: EWMA and GARCH
- Bootstrapping the sample data
Module 5: Model Based approaches to Market Risk
- Single risk factor models
- Modeling the joint behavior of multiple risk factors
- Portfolio risk measures
- Techniques to reduce complexity / dimensionality
- Extreme Value techniques