MARKET RISK MANAGEMENT

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COURSE OVERVIEW

This Market Risk Management course offers an in-depth exploration of market risk within financial instruments. Participants will learn to identify and analyze market risk at various levels and understand how portfolios respond to market changes. The course covers essential topics such as interest rate risk, bond cash flow sensitivities, the yield curve, and FX risk. Through this program, participants will acquire the competencies needed to manage market risk effectively, ensuring financial stability and informed decision-making.

COURSE OBJECTIVES

By completing this course, participants will be able to:

Understand where market risk is generated in financial instruments.
Analyze market risk across different financial instruments.
Manage interest rate risk effectively.
Assess portfolio sensitivities to market changes.
Interpret bond cash flows and their sensitivities.
Construct and analyze zero-coupon yield curves.
Evaluate and manage FX risk.
Implement robust market risk management strategies.

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TARGET COMPETENCIES

Risk Identification
Risk Analysis
Interest Rate Risk
FX Risk Management
Portfolio Sensitivity
Financial Instruments

This course is suitable for professionals across various industries who aspire to enhance their leadership capabilities and excel in their roles. Job titles may include project managers, team leaders, supervisors, department heads, and aspiring leaders.

The course employs a mix of lectures, interactive discussions, case studies, and hands-on exercises. Participants will engage in real-world scenarios to apply theoretical knowledge and develop practical skills. This blended approach ensures a thorough understanding of market risk management practices and prepares participants for real-life challenges.

INTRODUCTION TO MARKET RISK

Definition and Types of Market Risk
Sources of Market Risk in Financial Instruments
Importance of Market Risk Management
Regulatory Framework and Standards
Overview of Market Risk Metrics

INTEREST RATE RISK MANAGEMENT

Understanding Interest Rate Risk
Measuring Interest Rate Sensitivity
Duration and Convexity Analysis
Managing Interest Rate Risk in Portfolios
Case Studies on Interest Rate Risk

BOND CASH FLOWS AND SENSITIVITIES

Bond Pricing and Valuation
Sensitivity of Bond Cash Flows
Yield Curves and Spread Analysis
Duration and Immunization Strategies
Impact of Market Changes on Bond Portfolios

ZERO-COUPON YIELD CURVE CONSTRUCTION

Concept of Zero-Coupon Bonds
Building Zero-Coupon Yield Curves
Applications in Risk Management
Spot Rates and Forward Rates
Case Studies on Yield Curve Analysis

FOREIGN EXCHANGE (FX) RISK MANAGEMENT

Understanding FX Risk
Measuring FX Exposure
FX Risk Management Strategies
Hedging Techniques and Instruments
Case Studies on FX Risk

PORTFOLIO SENSITIVITY ANALYSIS

Assessing Portfolio Risk
Sensitivity to Market Movements
Value-at-Risk (VaR) Models
Scenario Analysis and Stress Testing