Market Risk Intermediate - Online

This course offers a continuing look at market risks and regulatory issues associated with them. Using case studies it examines various methods to measure value at risk such as parametric, historical simulation and Monte Carlo simulation and the Concept of stress testing as a complimentary tool to Value at Risk analysis.

This is an online self study course that can be globally accessed 24/7 from any internet enabled computer. Access is for 91 days. Certificates with earned credits will be awarded for successful completion.

También, se ofrece este curso en Español. Llamada para más información.

Available TodayOnlineUSD$175
Instructional Method:
Self-Study
Level: Intermediate

ICB CREDITSICPAS CREDITS
13.254.5
Risk managers and assistants, trading assistants, finance professionals, auditors and controllers.
Market Risk Basics - Online or equivalent level of knowledge
Language Options
También, se ofrece este curso en Español. Llamada para más información.
Emerging Market Risk
Topics covered include:
  • Concept of emerging market risk
  • Difference between developed and developing market
  • Different types of emerging market risk and the methods to measure them
  • Role of supervision in emerging markets
Duration: 1 hour

Market Risk Models
Topics covered include:
  • Various methods to measure value at risk such as parametric, historical simulation and Monte Carlo simulation
  • Comparison among the various methods according to their characteristics, advantages and disadvantages
  • Process of Value at Risk implementation
Duration: 2 hours

Stress Testing
Topics covered include:
  • Concept of stress testing as a complimentary tool to Value at Risk analysis
  • Creation of hypothetical and historical scenarios
  • Implementation of stress test scenarios into market risk modeling
  • Growing use of stress testing to risk managers
Duration: 1.5 hours

Supervisory Requirements
Topics covered include:
  • Importance of supervision of banks
  • Technique of backtesting
  • Different types of backtesting
Duration: 1 hour

Risk Management Systems
This module gives an introduction to the risk management systems. It helps the user understand:
  • The important steps involved in the choice of risk management software vendor
  • The main software solution vendors in the market; products they offer and their salient features
Duration: 2 hours

Case Study - Orange County
This module deals with the Orange County case study analysis through commonly used market risk measures namely Duration and Value at Risk.
  • Gain an insight into the Orange County case and comprehend the investment techniques which led to its disaster
Duration: 1 hour

Case Study - Barings Bank
This module deals with Barings Bank case study and analyzes how with the application of VaR measurement methodology the crisis could have been avoided.
  • Understand the impact of the Kobe earthquake on Japanese equity and currency markets and also comprehend Nick Leeson’s trading operations in Singapore International Monetary Exchange (SIMEX).
  • Understand how Kobe earthquake caused huge losses to Leeson’s reported and unreported positions on SIMEX and OSE
Duration: 1 hour

Case Study - Metallgesellschaft
This module deals with the background of the Metallgesellshaft case, the investment deals which led to the disaster and the strategies adopted by Metallgesellshaft. It also provides an analysis of what was amiss, & the lessons to be learnt from it.
    Duration: 1 hour

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