CERTIFICATION PROGRAM

This certification is designed to learn about risk management, estimating market risk measures, back-testing of value at risk, what are the main advantages from risk, how to rewarding risk takers, building a good risk management system.

About Certification

In this course you will learn about

  • Risk management, ERM and Credit crisis
  • Arbitrage pricing and Risk takers
  • Effects of poor data, Data errors, and Operational data governance
  • Applying CAPM to performance management and Risk Appetite
  • Case study: Financial Disaster
  • Estimating market risk, Parametric and non-parametric approaches
  • Backtesting and Var mapping
  • Financial correlation and the term structures
  • Discounting Credit issues and Finding costs
  • Volatility smiles

CAREER BENEFITS

This certification will help professionals to…

  • Estimating market risk measures.
  • It will help investors to measure their continually changing exposure to the market risk.
  • Gain profitable interest in data governance, and parametric and non-parametric approaches.

Target Audience

Market Risk- Manager

Market Risk Controller

Planning Analyst

Financial Analyst

COURSE HIGHLIGHTS

8+ Hrs Video Recording

Question Bank

Study Notes

Companies that hire Certified Candidate

Modules

Market Risk Measurement and Management

Risk Management

Course Curriculum

  • Risk management, ERM and Credit crisis
  • Arbitrage pricing and Risk takers
  • Effects of poor data, Data errors, and Operational data governance
  • Applying CAPM to performance management and Risk Appetite
  • Case study: Financial Disaster
  • Discounting Credit issues and Finding costs
  • Estimating VaR using Historical Simulation
  • Identifying VaR Limit
  • Parametric Estimation Approach for Estimating VaR
  • Expected Shortfall given P/L or Return Data
  • Coherent Risk Measures
  • Estimating Coherent Risk Measures by Estimating Quantiles
  • Bootstrap Historical Simulation Approach
  • Historical Simulation using Non-Parametric Density Estimation
  • Age-Weighted Historical Simulation
  • Volatility-Weighted Historical Simulation
  • Correlation-Weighted Historical Simulation
  • Filtered Historical Simulation
  • Advantages of Non-Parametric Methods
  • Disadvantages of Non-Parametric Methods
  • Importance and challenges of extreme values
  • Extreme value theory (EVT)
  • Block maxima models: Steps in creating the model
  • Generalized extreme value (GEV) distribution
  • Peaks-over-threshold (POT)
  • Generalized Pareto (GP) distribution
  • Compute VaR and Expected Shortfall using the POT Approach
  • Generalized Extreme Value and POT
  • Multivariate EVT
  • Mapping of Fixed Income Securities
  • Method of Mapping
  • How Mapping of Risk Factors Supports Stress Testing
  • Benchmarking a Portfolio Using VaR
  • Method of Mapping Options
  • Liquidity Risk & VaR Models
  • Risk Measures
  • Stress Testing Framework
  • Integrated Stress Testing Approach
  • Risk Aggregation Methodologies
  • Risk Aggregation
  • Balance Sheet Management
  • Correlation Risks
  • Correlation Risks: Types
  • Correlations in Financial Investments
  • Correlation in Trading with Multi-Asset Options
  • Risk Management
  • Correlations during the recent Financial Crisis
  • Correlation risk in Other types of risk
  • Correlations and Economic States
  • Autocorrelation
  • Mean Reversion
  • Best-fit distribution for equity, bond, and default correlations
  • Estimating market risk
  • Parametric and non-parametric approaches
  • Financial correlation and the term structures
  • Back-testing and Var mapping
  • The Evolution of Short Rates and the Shape of the Term Structure
  • Statistical Correlation Models
  • The Art of Term Structure Models Drift
  • Volatility Smiles
  • Basics on Income Tax, Deferred Taxes (Assets and Liabilities)
  • Steps to calculate Income Tax Expense
  • Review of Deferred Taxes
  • Non-Reversal of Timing difference
  • Basics and types of Leases
  • Conditions for Finance Leases
  • Accounting treatment for Leases
  • Two types of Finance Leases
  • Off Balance Sheet Financing
  • Pension Plans
  • Introduction
  • Conceptual Overview
  • Condition for Assessing
  • Detection of reporting Quality issues
  • Conclusion