Join Mailing List

For latest news and information about Treasury and Financial Markets, enter your details below:

Market Risk Training Course

Print Preview Send to a Friend Share

An introduction to Market Risk, (One Day)

Enquire or book this course

This practical workshop is an introduction to market risk. It explains the basic methods used by financial institutions. How the calculations are made and what they show. It will also explain the advantages and disadvantages of the techniques and why several risk measures are normally used together. The course is designed for those who prepare or use these reports and need to know more.

The market risk course will cover:

  • Gap reports
  • Duration
  • Basis point value, (PV01/DV01)
  • Futures equivalency
  • Value at risk
  • Stress testing
  • When things go wrong

Below is a summary of the market risk course. The day has been placed in a logical sequence and emphasis will be placed on practical case study examples.

Morning

Market Risk

  • What market risk is
  • Why we measure market risk

How market risk occurs

  • Foreign exchange exposure
  • Interest rate risk
  • Day-to-day mismatches
  • Trading
  • Ineffective hedging

Measuring foreign exchange risk

  • Spot equivalency
  • Strengths & weaknesses

Measuring interest rate risk:

Gap reports

  • What they are
  • What they show
  • Pipeline risk
  • Use in balance sheet management
  • Strengths & weaknesses

Duration

  • Simple & modified duration
  • How it is calculated
  • What it shows
  • How you can use it
  • Use in the industry
  • Strengths & weaknesses

Basis point value

  • How it is calculated
  • What it shows
  • How you can use it
  • Use in the industry
  • Strengths & weaknesses

Afternoon

Futures equivalency

  • Interest rate futures & bond futures
  • How it is calculated
  • What it shows
  • How you can use it
  • Use in the industry
  • Strengths & weaknesses

Value at risk

  • What it is
  • Some of the calculations involved
  • Single position VAR
  • Diversified & undiversified VAR
  • Variance Covariance, what it is
  • Why it is used
  • Strengths & weaknesses
  • Importance of validation & testing
  • Importance of stress testing

"Normal" market conditions

  • Why market risk measures do not capture all the risks you have
  • Why it is important to use a combination of measures to report market risk
  • Why consistency in the market risk reports produced is important

Where market risk reporting can go wrong

  • Timeliness/availability
  • Understanding
  • Validity of data
  • Accuracy
  • Reporting of excesses and action
  • Real life case study

End of workshop and review

Related Documents

Free to ViewRegulation > Does liquidity risk overshadow market risk? 100% relevant

23rd January 2010

In a world where regulators are focusing on liquidity and capital it's easy to overlook market risk. In many firms this means interest rate exposure. In the UK with Bank Rate at an all time low it's tempting to think that hedging fixed rate assets is just a waste of money. After all why pay 3.25% on a 5 year swap when 3 month Libor is only 51 basis points? Surely matching the interest basis on assets and liabilities ends up costing you 274 bps doesn't it?


Free to ViewShort courses>Market risk 86% relevant


Free to ViewMarket Risk - 30th September 2014 86% relevant

3rd April 2014


Registration RequiredValue at Risk (VAR) Guide 70% relevant


Registration RequiredMarket Guides > Gap reports - how do you use them? 70% relevant

14th October 2009

Gap reports show you the interest rate risk you are running in your balance sheet. They put the assets and liabilities into time buckets in accordance with their interest rate repricing. From this simple approach you can obtain a table or graph of the risk being run. This normally includes a profit and loss figure that results from moving the yield curve. Gap limits are also applied in order to keep the interest rate exposure within risk tolerence. Gap reports aren't new; they are widely used and have both strengths and weaknesses. Let's find out more.


Free to ViewTraining Courses > Value at Risk 70% relevant