E-Learning Course: Market Risk - Advanced (Library of 4 courses)

  • ID: 3007184
  • Training
  • Region: Global
  • KESDEE Inc
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This product is available in three levels viz., Basic, ntermediate and Advanced.
Topics covered at the Advanced Level include:

- An in-depth coverage of Advanced Market Risk Models, Statistical Models, Stress Testing & Scenario Analysis, and Risk-adjusted Performance Measurement
- Complex theories and concepts that are presented in a simple and easy-to-understand manner with practice exercises, calculators and other interactive features

The three courses on Market Risk draw on real-life case studies extensively. The last course in each level includes a comprehensive and exclusive discussion of Case Studies.
Learning Objective

- Describe the advancements in Monte Carlo Simulation and the variance reduction techniques employed for its calculation
- Describe the concept of volatility and volatility clustering
- Discuss the conditional volatility models viz., Exponential Moving Average approach and GARCH
- Describe the concept of Advanced Scenario Analysis and Stress Test and demonstrate their application
- Describe the concept and need for risk adjusted performance measurement
- Explain risk capital and its measures
- Explain the importance of capital allocation in risk adjusted performance measurement and the factors that affect them

Target Audience

Every professional involved in the global financial services industry (as a provider, user, regulator or advisor of product/services, marketplace/exchange) would benefit from KESDEE’s innovative solutions.

- Supervisory Agencies
- Central Banks
- Financial Institutions
- Commercial Banks
- Investment Banks
- Housing Societies/Thrifts
- Mutual Funds
- Brokerage Houses
- Stock Exchanges
- Derivatives Exchanges
- Insurance Companies
- Multinational Corporations
- Accountancy Firms
- Consultancy Firms
- Law Firms
- Rating Agencies
- Multi-lateral Financial Institutions
- Others
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1. Description of Advanced VaR Models
This course explains in details the various advanced VaR models. It helps the user understand:

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

2. Advanced Measuring Volatility and Correlation
This course explains in details the concept of volatility. It helps the user understand:

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

3. Advanced Scenario Analysis and Stress Tests
This course deals with the concept of Advanced Scenario Analysis and Stress Tests. It helps the user understand:

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

4. Risk-adjusted Performance Measurement
This course deals with the concepts of Risk Adjusted Performance Measurement. It helps the user understand:

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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