Summary

Learning Outcome:

• Estimate risk measures, VaR and expected shortfall using various approaches including back-testing
• Identify advantages and disadvantages of parametric and non-parametric estimation methods
• Explain the purpose of correlation modelling and understand empirical approaches to risk metrics and hedging
• Explain the implications of put-call parity on the implied volatility of call and put options and classification of positions in the trading book com-pared to the banking book

Target Audience:

• Market Risk Managers
• Market Risk Analysts and Research Associates
• Investment Risk Managers
• Quantitative Researchers
• Business Analysts
• Senior Market Risk Management Personnel
• Pricing and Valuation Analysts

Day 1

Session 1 

• Market Risk Measures 
• Non-Parametric Approaches 

Session 2
• Parametric Approaches 
• Backtesting VaR 

Session 3

• VaR Mapping

• Risk Management for the Trading Book 

Session 4

• Correlation: Definitions, Applications, Terminology

• Empirical Properties of Correlation 

Day 2 

Session 5 

• Correlation Modelling

• Empirical Approaches to Risk Metrics and Hedging 

Session 6

• Term Structure Models

• Short Rates and Shape of Term Structure Models 

Session 7

• Drift 

• Volatility and Distribution 

Session 8 

• Volatility Smiles 

• Fundamental Review of the Trading Book 

Trainer profile:

Trainer is a multi-skilled OTC Derivatives & Market Risk expert with extensive knowledge and experience of Pricing, Valuation, Financial Derivatives Modelling, Interest Rate Risk Management ,Foreign Exchange hedging, Equity & Credit Derivatives including financial research, analysis and training.

Training dates - September 22-23, 2022

Training fees - ₹40,000 + applicable taxes