Market Risk Fundamentals

Market Risk Fundamentals Overview

Market risk refers to the potential for a financial institution to suffer losses due to changes in financial markets. These changes can stem from fluctuations in interest rates, exchange rates, commodity prices, and equity prices.
This course aims to equip learners with the skills and knowledge necessary to clearly articulate market risk, as well as to evaluate what part of a bank’s balance sheet is most likely to be impacted by market risk. They will also learn to quantify market risk using annualized standard deviation of returns. A specific focus of the course is to introduce the concept of Value at Risk (VaR) with a specific focus on parametric VaR.

This means learners will calculate VaR in Excel using the parametric methodology, for both single positions and for simple portfolios. Critically, real life data in the form of Refintiv charts, historical market prices, and actual bank balance sheets will be used throughout this course to ensure the content covered is both relevant and applicable to real-world scenarios.

Market Risk Fundamentals Learning Objectives 

• You’ll be able to clearly describe market risk and list its main drivers
• Assess a bank’s balance sheet to broadly determine its exposure to market risk
• Calculate the annualized standard deviation of returns and interpret this in the context of market risk
• Calculate Value at Risk using the parametric approach for single security positions as well as for simple two-asset portfolios.

Who should take this course?