Telephone: +44 (0)20 7920 9128
Email: [email protected]
Web: www.barbicanconsulting.co.uk
Short courses>Market risk
Market risk - 2.5 hours
A foundation course that introduces the topic of market risk, some of the measures used and their advantages and disadvantages.
It is suitable for those working in or around financial markets who need to know more.
There are simple examples with time for questions and answers.
This course is only available in-house and is suitable for up to 12 people.
- How and why market risk occurs
- Gap reports
- What they are
- What they show
- Strengths & weaknesses
- Duration
- How it is calculated
- What it shows
- Strengths & weaknesses
- Basis point value
- How it is calculated
- What it shows
- How you can use it
- Strengths & weaknesses
- Value at risk
- How it is calculated
- What it shows
- How you can use it
- Strengths & weaknesses
Related Documents
Regulation > Does liquidity risk overshadow market risk? 
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?
Market Risk Training Course 
Market Risk - 30th September 2014
3rd April 2014
Value at Risk (VAR) Guide 
Market Guides > Gap reports - how do you use them?
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.