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Course Curriculum
- 1.1 Market Risk Concepts, Definitions, and Characteristics
- 1.2 Types and Sources of Market Risk (Interest Rate, Equity, Foreign Exchange, Commodity, and Volatility Risk)
- 1.3 Evolution and History of Market Risk Management
- 1.4 Enterprise Risk Management Frameworks and Market Risk Governance (ISO 31000, COSO ERM, Three Lines Model)
- Quiz
- 2.1 Risk Metrics: Value at Risk (VaR), Expected Shortfall (ES), Duration, DV01, and Greeks
- 2.2 Market Risk Models, Scenario Analysis, and Stress Testing Methodologies
- 2.3 Market Data Management, Model Validation, and Backtesting Principles
- 2.4 Portfolio Diversification, Correlation Analysis, and Risk-Adjusted Performance Measurement
- Quiz
- 3.1 Risk Appetite, Risk Limits, and Market Risk Governance Structures
- 3.2 Hedging Strategies Using Futures, Options, Swaps, and Forward Contracts
- 3.3 Asset Allocation, Portfolio Rebalancing, and Market Risk Mitigation Techniques
- 3.4 Liquidity Risk Interaction, Trading Book Management, and Treasury Risk Practices
- Quiz
- 4.1 Basel III Framework and the Fundamental Review of the Trading Book (FRTB)
- 4.2 IFRS 7, IFRS 9, BCBS 239, IOSCO Principles, and Financial Stability Standards
- 4.3 Corporate Governance, Compliance, Professional Ethics, and Model Risk Governance
- 4.4 Market Abuse Regulations, Regulatory Reporting, and Supervisory Expectations
- Quiz
- 5.1 Market Risk Management in Banking, Asset Management, Insurance, and Corporate Treasury
- 5.2 Market Risk Reporting, Key Risk Indicators (KRIs), and Executive Decision-Making
- 5.3 Financial Crisis Case Studies and Lessons from Market Risk Failures
- 5.4 Operational Implementation of Market Risk Frameworks and Risk Culture Development
- Quiz