Market Risk Management

Market Risk Management



Market Risk Management

For group bookings, to discuss tailored delivery or for any questions about this course, please get in touch:

Course Overview​


This practical course offers a comprehensive overview of managing market risk in the wake of significant financial events such as the credit crunch, Global Financial Crisis, quantitative easing, and the pandemic. ​

It introduces the basics of risk management, covering the identification, measurement, and management of various risks including market, credit, and operational risks. Participants will learn about the crucial banking controls, valuation methods, and the impact of organisational culture on risk management. ​

The course explores advanced tools and concepts such as delta, DV01, Value at Risk (VaR), its limitations, and the introduction of Expected Shortfall. Additionally, it delves into handling new products and derivatives within market risk frameworks, specific challenges for fund managers, and the role of back testing in VaR models. Concluding with an examination of market risk capital requirements and upcoming regulatory changes.​

Learning Objectives​


  • Understand the fundamental concepts of market risk management, including the identification, measurement, and management of market, credit, operational, and other risks, within the context of significant financial events like the Global Financial Crisis and the pandemic.​
  • Gain proficiency in valuation techniques and the distinction between Banking Book and Trading Book, alongside grasping the importance of basic control processes in banking for effective market risk management.​
  • Master the use of market risk tools and concepts such as delta, DV01, and Value at Risk (VaR), including their limitations and the advantages of alternative measures like Expected Shortfall.​
  • Learn to navigate the complexities of incorporating new financial products and derivatives into market risk portfolios, understanding their impact on risk profiles and the necessary adjustments to risk measures.​
  • Acquire insights into the unique challenges of market risk management for fund managers, including the use of benchmarks, alpha, beta, information ratios, and managing liquidity risk.​
  • Prepare for the evolving regulatory landscape affecting market risk management, including the transition to new capital requirements under Basel III and the anticipated changes with the Fundamental Review of the Trading Book (FRTB).
Market Risk Management

Course Modules


  • The fundamentals
  • The mechanics of market risk in banking
  • Market risk management tools
  • Understanding portfolio risk techniques
  • Getting to grips with value at risk
  • Scenario & stress tests
  • Incorporating new products
  • Derivatives & market risk
  • Utilising derivatives in market risk portfolios
  • Market risk for investment managers
  • Back testing
  • Evolution of market risk capital

For group bookings, to discuss tailored delivery or for any questions about this course, please get in touch:

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Market Risk Management

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