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Market Risk Measurement and Management
Market Risk Measurement and Management
Training Activity Rate
Trainer/s
محمد غنيم
Training activity Hours
15
Training activity Date
-
Training Activity Days
Monday
Tuesday
Wednesday
Thursday
Start and End Time
16:30 - 20:15
Training Activity Classification
Risk
Course Language
English
Methodology
In class
City
Amman
Type of Training
short courses
Deadline for registration
Price For Jordanian
120 JOD
Price For Non Jordanian
225 US$
Outcomes

By the end of this training course, trainees will be able to :
-    Identify the component of market risk and their measurement approaches.
-    Calculate specific measures of interest rate risk, FX risk, equity and commodity risks.
-    Compare market risk management for a trading book versus banking book structures.
-    Compare and contrast different risk measurement techniques (e.g., gross/net exposure, concentration measure, value at risk (VaR), expected shortfall, etc.).
-    Compare the different VaR methodologies (parametric, historical simulation and Monte Carlo simulation) and understand the advantages and disadvantages of each methodology.
-    Calculate a simple VaR to a single position (Parametric and Historical Simulation) and expected shortfall measures.
-    Gain an understanding of market risk stress testing and its importance.
-    Define stress testing techniques for trading exposures (e.g., FX, interest rate, equity commodity).
-    Demonstrate a sound understanding of Asset Liability Management (ALM) in terms of the scope and its importance to banks.
-    Identify the main ALM tools including IRR mismatch management and performance management, funds transfer pricing, and liquidity management.
-    Describe the elements of market risk governance and risk management process.
-    Identify the components of market risk policy, limit setting and risk appetite frameworks.

Target Group

- Professionals working in:
-    Treasury.
-    Risk .
-    Capital Management.
-    Regulatory Compliance.
-    Audit.

General Goal

This area focuses on market risk measurement and management techniques to acquire a comprehensive and practical understanding of Market Risk.  The broad knowledge points covered in Market Risk Measurement and Management include the following:

-       Drivers of Market Risk: Interest Rate Risk, Foreign Exchange Risk, Equity Risk, Commodities risk.

-       Value at Risk and other risk measures.

-       Stress Testing Methodology.

-       Asset and Liability Management.

-       Market Risk Management and Governance. 

Contents

-       Fundamentals of Market Risk :

-       Market Risk Definition and Drivers.

-       Interest Rate Risk:

-       IRR components.

-       Risk measurement tools: Modified Duration and BPV.

-       Foreign Currency Risk: Definition and risk measurement tools.

-       Equity Risk: Definition and risk measurement tools.

-       Commodities Risk: Definition and risk measurement tools.

-       Derivatives Risk: Definition and risk measurement tools: the Greeks (e.g. Delta, Gamma, Vega).

-       Trading Book versus Banking Book.

-       Practical exercise: Calculation of factor sensitivities for bonds, FX, equities and options.

-       Case Study: Lessons from the 2007/2009 Global Financial Crisis .

 

 

 

 

-    Market Risk Measurement:

-    Introduction to measurement tools: notional amounts and sensitivities (Duration, convexity, volatility, etc.) .

-    Introduction to Value at Risk .

-    Value at Risk types:

-    Parametric: Delta-Normal Approach.

-    Non-Parametric: Historical and Monte Carlo Approach. 

-    VAR Mapping.

-    VAR Back-testing.

-    Expected Shortfall and other coherent risk measures .

-    Extreme Value Theory .

-    Practical exercise: Parametric and Historical VAR and Expected Shortfall.

-    Market Risk Stress Testing:

-    Introduction .

-    Approaches to stress testing:

-    Historical .

-    Hypothetical: sensitivity analysis and multifactor approach.

-    Reverse Stress Testing.

-    Uses of Stress Testing.

-    Stress Testing challenges .

-    Practical exercise .

-    Introduction to Asset Liability Management:

-    ALM for Banks:

-    The basic Balance Sheet components and income statement of a bank.

-    Key Ratios.

-    Roles of ALM:

-    The scope of ALM function with reference to the relationship with Treasury and other key aspects.

-    Key ALM activities including IRR mismatch management and performance management, Funds Transfer Pricing, and Liquidity Management.

-    Practical exercise .

-    Market Risk Governance and Management :

-    Structure of Market Risk Governance in banks: the three lines of defense approach. 

-    Market Risk Management Process

-    Identification,

-    Measurement,

-    Management,

-    Monitoring and Reporting.

-    Treasury Organizational structure:

-    Front Office,

-    Middle Office,

-    Back Office.

 

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