Market Risk Advanced- Online

This course explains in detail the various advanced VaR models and the concepts of volatility, Advanced Scenario Analysis, Stress Tests and Risk Adjusted Performance Measurement.

This is an online self study course that can be globally accessed from any internet enabled computer.

Available TodayOnlineUSD$100
Instructional Method:
Self-Study
Level: Advanced
CPE Credits: 8

Risk managers and assistants, trading assistants, finance professionals, auditors and controllers.
Market Risk Basics and Intermediate - Online or equivalent level of knowledge
Description of Advanced VaR Models
  • The various emerging forms of VaR viz., Component VaR and Del VaR
  • The impact of individual trades on Total VaR
  • The advancements in Monte Carlo Simulation
  • The variance reduction techniques employed for Monte Carlo Simulation

Advanced Measuring Volatility and Correlation

  • The concept of volatility and volatility clustering
  • The conditional volatility models viz., Exponential Moving Average approach and GARCH
  • The importance of time errors and the impact of crashes on correlation and its effect on VaR calculation

Advanced Scenario Analysis and Stress Tests

  • The application of stress testing to a group of reporting firms through aggregation
  • The various techniques like Maximum Loss and Extreme Value Theory
  • How systematic stress testing is used with the help of stress test matrices

Risk-adjusted Performance Measurement

  • The concept and need for risk adjusted performance measurement
  • Risk capital and the measures of risk capital viz., revenue (or earnings) volatility, Earnings at Risk (EaR), and asset volatility - Value at Risk (VaR)
  • The importance of capital allocation in risk adjusted performance measurement and the factors that affect them

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