Market Risk Management

 

  • Market risk is one of the most studied and important elements of financial risk within the financial system. Banks and corporations are taking on an increasing level of market risks as a way to improve performance. Since the crisis, however, organisations are also much more focused on the management of market risk, dedicating more time and resources to dealing with such risk.

Course objectives

This course provides participants an understanding of the frameworks that can be used by financial institutions, institutional investors and corporations to identify, measure, and report market risks. It provides a detailed overview of the state of market risk management, including measurement, limit systems, policy and key controls. After discussing specific market risks, the instruments and methods used to manage individual risks will be discussed in more detail and supported with case studies from practice. At the end of the seminar, we will introduce the concept of Value at Risk (VaR), as an important measure of market risk, and demonstrate how it is calculated and used. After the seminar, participants will understand the important types of risk in market activities and which types of limits and procedures are necessary to effectively manage these risks.

Who should attend

  • risk managers
  • regulatory reporting staff
  • traders
  • sales professionals covering corporate and institutional investor clients with markets and risk management strategies and products
  • treasury, finance, and capital markets professionals at medium-sized and large corporations that face market risks when implementing their business or financing strategies
  • anyone interested in market risk management techniques

Teaching methodology

    The workshop comprises market risk management theory, discussions, short problems and exercises, and short cases. It is appropriate for those who deal with market risks on a daily basis, and would like to supplement their knowledge with additional cases and examples from practice. By the end of seminar, participants will have achieved a proficient level in discussing and evaluating methods and means for effective market risk management and the implementation of necessary limits and controls.

  • Course description and agenda

    Date: 29 March 2016

    Venue: Ljubljana, Four Points by Sheraton Ljubljana Mons

    The workshop is held in the Slovene language.

     

    Course brosure
  • Course contents

    • Introduction to market risks
    • Types of market risk
      • interest rate risk
      • equity price risk
      • foreign exchange risk
      • commodity price risk
    • Volatility
    • Portfolio effects from diversification
    • Risk appetite and tolerance
    • Foreign currency risk management
    • Money market risk management
    • Bond risk management
    • Stock portfolio risk management
    • Derivatives risk management
    • Risk limits and control process
    • Organisational culture and structure
    • Introduction to Value at Risk (VaR)
      • what is VaR?
      • key issues regarding VaR
      • calculating VaR