Training overview
Corporate / Group Training
2 days
From 2,199 GBP

Start dates
2,199 GBP
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Course description

Market Risk (In-House)

  • Critically manage and control risk
  • Understand and justify current best practice in risk management
  • Use Value-at-Risk: Why do regulators like it, where does it fail and what can be done about it?
  • Assess alternatives to VaR, including ‘Expected Shortfall’ and ‘Stress Tests and Scenarios’
  • Understand impact and requirements for risk management and capital

COVID-19 Update

This provider offers an online version of their classroom courses

Training content


  • Overview of current markets and fallout from the credit crunch/GFC and QE
  • The basics of risk management – What is it? What isn’t it?
  • Identification, measurement and management of risk
  • Market risk
  • Credit risk
  • Operational risk
  • Other risks
  • Valuation, mark to market and accruals, banking book/trading book split
  • What do we mean by manage?
  • What is risk management trying to achieve?
  • Regulation vs. risk management – Aren’t they trying to do the same thing?

Market Risk in Banking

  • Importance of basic control processes
  • Mark to market, mark to model other valuation
  • Profit and loss monitoring
  • Limits
  • Assets and liability (inventory) control
  • Organisational culture and structure
  • The tone set by senior management
  • Staffing and experience
  • The importance of systems
  • Banks vs. other corporate entities – Why are they different?

Risk Management Tools for Market Risk

  • Defining a returns process for a price series
  • Modelling the returns process
  • Asset/liability size and equivalents
  • Sensitivities of positions to market moves – The concepts of delta and DV01
  • Arbitrage principles for pricing and sensitivities – Forward pricing and probability

Portfolio Market Risk Tools

  • Aggregation of positions – From the many to the few
  • Portfolio effects from correlation and diversification
  • Composite risk measures
  • VaR and other portfolio risk models

VaR and Its Short Comings

  • Variance-Covariance
  • Historic simulation
  • Monte-Carlo
  • Limitations of approaches
  • Handling specific risk
  • Problems with illiquid assets
  • Changes in volatility and covariance assumptions
  • Why might “Expected Shortfall” be better?
  • What might the “Fundamental Review of the Trading Book” bring?

Adjuncts to the VaR Tools

  • Using scenarios to identify “problem” positions
  • Stress testing – What is it and how does it help?

New Products and New Challenges

  • How do we incorporate new products?
  • Breaking down the components of risk
  • Use of models
  • Incorporating into existing system and not-in-system trades for reporting
  • How do we cope with non-modelable risk?
  • How do we cope with risks not in VaR?

What Can Derivatives Tell Us About Market Risk?

  • Implied volatility, skews and smiles – What do they mean?
  • Fat tails and market instabilities
  • What do real returns look like?
  • How should we adjust measures?

Market Risk for Fund Managers

  • Why is Fund Management different?
    • traditional fund manager vs. hedge funds
  • The role of benchmarks and mandates
  • Alpha, Beta, Information and Sharpe Ratios – What do they tell us?
  • Benchmark relative risk
  • Non linear beta effects
    • managing liquidity risk for funds – how do investors get in and out?
    • why is it easy to be misled by a good track-record?

The Role of Back Testing for VaR

  • Explaining the sources and sinks of profit and loss from risk measures
  • Back testing process – Clean, dirty and hypothetical P&L
  • Exceptions – How many is too many or too few?
  • Model hypothesis testing
  • Effects of auto correlation
  • The role of Extreme Value Theory (EVT) for tail correction

Market Risk Capital

  • The evolution of Basel capital requirements for market risk
  • The 1996 market risk amendment and introduction of internal models
  • Quantitative and qualitative aspects of model recognition
  • Defining market risk capital and qualifying capital types – Tiers 1, 2 and 3
  • Recent developments such as liquidity risk and leverage limits – What is Basel III bringing?
    • what will the FRTB (aka Basel IV) bring?


  • Online course fee: £1799 + VAT if applicable
  • London course fee: £2199.00 + VAT @ 20% = £2638.80

About IFF

International Faculty of Finance - IFF Finance & IFE Energy - Specialist Training Courses

As one of the world's leading specialist financial training organisations, The International Faculty of Finance, provides participants in the global financial markets with intensive technical training programmes designed to help them succeed on the global stage.  Established in 1991 we...

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