Course Overview:
This course provides an in-depth exploration of market risk management, focusing on the frameworks, methodologies, and strategic tools used to identify, assess, monitor, and mitigate market-related risks. Participants will learn how interest rate risk, foreign exchange risk, equity risk, and commodity risk impact financial portfolios and corporate performance. The course covers both qualitative and quantitative approaches, including the use of Value at Risk (VaR), stress testing, scenario analysis, and regulatory frameworks such as Basel III.
The training combines theoretical principles with real-world case studies and hands-on simulations, preparing professionals to build effective market risk management strategies in volatile environments.
Course Objectives:
By the end of this course, participants will be able to:
- Understand the key types of market risk and their sources.
- Apply leading frameworks for market risk governance and compliance (e.g., Basel III).
- Use quantitative techniques such as VaR, sensitivity analysis, and stress testing.
- Develop strategies to hedge and mitigate market exposures.
- Interpret market data and risk indicators to support decision-making.
- Integrate market risk management into overall enterprise risk governance.
Who Should Attend:
This course is ideal for:
- Risk Managers and Risk Analysts
- Treasury and Investment Managers
- Financial Analysts and Portfolio Managers
- Internal Auditors and Compliance Officers
- Traders and Dealing Room Staff
- Regulators and Supervisors in financial services
- Professionals in banking, asset management, insurance, and corporate finance
Course Outline:
Module 1: Introduction to Market Risk
- Definition and components of market risk
- Importance of market risk management in financial and non-financial institutions
- Historical market failures and lessons learned
Module 2: Regulatory Frameworks for Market Risk
- Overview of Basel II/III capital requirements for market risk
- Supervisory expectations and governance practices
- Risk appetite and limits frameworks
Module 3: Key Types of Market Risk
- Interest Rate Risk
- Foreign Exchange Risk
- Equity Price Risk
- Commodity Risk
Module 4: Measurement Techniques
- Value at Risk (VaR): concepts, assumptions, and limitations
- Parametric, historical simulation, and Monte Carlo methods
- Backtesting and model validation
Module 5: Stress Testing and Scenario Analysis
- Developing adverse scenarios
- Reverse stress testing
- Interpreting results for decision-making
Module 6: Risk Mitigation Strategies
- Hedging with derivatives (futures, options, swaps)
- Natural hedging and diversification
- Risk transfer vs. risk acceptance strategies
Module 7: Market Risk Reporting and Governance
- Market risk dashboards and KPIs
- Internal risk communication and escalation
- Board and regulator reporting
Module 8: Technology and Tools in Market Risk Management
- Risk analytics systems
- Integration with front, middle, and back office
- Data quality and risk modeling tools
Module 9: Case Studies and Group Exercises
- Real-life case studies on market disruptions and hedging strategies
- Group risk analysis and strategy simulation
- Discussion on emerging risks (e.g., geopolitical, ESG-related market risks)
Module 10: Course Review and Final Takeaways
- Summary of core frameworks and strategies
- Self-assessment quiz or group presentation (optional)
- Developing an action plan for your institution