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Market risk management

 

 

MARKET RISK MANAGEMENT

Duration  : 3 days

Open:  21 - 23 Mar, 2019

 

 

 

  

CONTENT

COURSE OUTLINE

 

 

Topic 1: Market Risk Governance and Management
1. Introduction
2. The Post-Crisis, Risk-Regulatory Framework
3. Setting the Stage for Market RiskGovernance
4. True Market Risk Governance
5. Committees: Market Risk Appetite and Market Risk Limits
6. Roles and Responsibilities in Practice
7. Market Risk Limits and Limit Policies
8. Risk Management Systems
9. Risk Management Data
10. Monitoring Market Risk
11. What is the Role of the Audit Function?
12. Model Risk Governance
13. Valuation in a Marked-to-Market
14. World during Low Liquidity
Topic 2: Market Risk Measurement
1. Value at Risk — Overview
2. Advanced VAR Models — Univariate
3. Advanced VaR Models — Multivariate
Topic 3: Market Risk in the Trading Books
1. Contextual Introduction to Bank Trading
2. Activities & Historical Development of Financial Product Markets
3. Fixed Income
4. FX and Rates Trading
5. Equity Market Trading

 

 

 

 

 

 

 

Topic 4: Commodities Market Risk
1. Management
2. Introduction
3. Market Participants
4. Key Products and Instruments
5. Risk Implications of Physical Nature of Commodities
6. Price Risk Management
7. Stress Testing
Topic 5: Market Risk Stress Testing —Beyond the VaR Threshold
1. Introduction
2. Dangerous Unknowns
3. Stress Testing: Static and Otherwise
4. Beyond Comparative Static Analysis
5. Systemic Risk Lessons from Beyond Finance
6. Moving Beyond Value at Risk
7. Practical and Organizational Considerations
8. Challenges of Stress Testing
9. Conclusion
Topic 6: Practice — Examples of Stress Testing
1. Scenario Formulation — The Fundamental Challenge of Stress Testing
2. The Market’s Greatest Hits — Calibrating
3. Stress Scenarios Based on History
4. The Achilles Heel Approach

 

BENEFIT

• Understand and apply the underlying principles of Market Risk
• Gain an understanding of Market Risk Measurement and Management
• Gain an understanding of Market Risk in the Trading Book with a focus on the Business-Specific Context
• Describe the elements of Commodities Market Risk Management approaches
• Gain an understanding of Market Risk StressTesting and its renewed importance after the recent crisis

WHO SHOULD ATTEND

• Financial team
• Market risk team
• Basel team
• Internal auditors

TESTIMONIALS

"The Courses at ARFQuant vary in many topics which reward for those who work in the financial sector. The pursuit of these specialized courses is a very arduous process, but the results are well worth the effort. The courses go from theoretical to practical, thus helping to better understand the nature of the problem, as well as how to apply it in practice. Overall, ARFQuant course leaders are very good at teaching and dedicated. Participation in ARFQuant courses helps to increase the systematic and effective learning compared to self-study and self-study." Phương Phùng- OCB

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"A survey on the main issues that the trainees are interested in has been conducted to make sure that the course’s content is fit the needs of the trainees. The training environment was open which encourage the participation of all attendants. Instructors are enthusiastic, supportive and willing to share their knowledge and experience" Phượng Phan - FeCredit

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"The course leader has deep knowledge in risk management, he is enthusiastic and open to the students. Teaching methods attract the attention of students. He usually use stories mixed with humor as examples for the whole class and to create a dynamic atmosphere. The course was  organized professionally" Hien Phan - BIDV

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"From the beginning of 2017, I have been experiencing 02 courses at ARFQuant - Statistics - modeling risk, internal credit rating model.

Even the duration of the courses were quite short but the knowledge I obtained from the course is huge, thanks to the special way that ARFQuant’s teachers deliver the course: simple, understandable and valuable. During the course I felt quite comfortable and easy to grasp knowledge. In addition to the mandatory content in the curriculum, teachers share more experiences in learning and research (eg, Mr. Hoang shared his experiences in reading and reviewing FRM and Mr.Fred taught how to handle data when it is bias, etc.).
Materials and lectures are well designed and focused. At the end of the course, I can take advanced knowledge gained in these materials to study and work. However, it would be more complete if the material introduces some other sources of reference so that I can read more after the courses.

 If I have the opportunity to attend other courses, I would like to experience at ARFQuant again. " Thảo Nguyễn - OCB

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STATISTIC AND RISK MODELLING

 

STRESS TESTING

 

INTERNAL CREDIT RATING MODELS

 

DERIVATIVE AND PRICING

 

MARKET AND LIQUIDITY RISK MANAGEMENT

 

APPLICATION OF SPSS IN FINANCIAL FORECAST

 

APPLICATION OF SPSS IN RISK MODELLING

CREDIT RISK PORTFOLIO MANAGEMENT

 

ASSET LIABILITY MANAGEMENT & FUNDS TRANSFER PRICING

 

MARKET RISK MANAGEMENT

 

OPERATIONAL RISK MANAGEMENT

 

CREDIT RISK MANAGEMENT

 

COUNTER PARTY RISK MANAGEMENT

 

 

 

 

Online :  10
Tất cả: 176819

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