معهد الدراسات المصرفية

المملكة الأردنية الهاشمية

Market Risk Measurement and Management


المحاضر تاريخ البداية تاريخ النهاية توقيت البداية توقيت النهاية مكان الانعقاد عدد الساعات سجّل الآن
محمد حسين غنيم
2022-06-20 2022-06-23 16:30 20:15 عمان 15

(Objectives / الأهداف)

:

By the end of this training course, trainees will be able to :

-    Identify the component of market risk and their measurement approaches.

-    Calculate specific measures of interest rate risk, FX risk, equity and commodity risks.

-    Compare market risk management for a trading book versus banking book structures.

-    Compare and contrast different risk measurement techniques (e.g., gross/net exposure, concentration measure, value at risk (VaR), expected shortfall, etc.).

-    Compare the different VaR methodologies (parametric, historical simulation and Monte Carlo simulation) and understand the advantages and disadvantages of each methodology.

-    Calculate a simple VaR to a single position (Parametric and Historical Simulation) and expected shortfall measures.

-    Gain an understanding of market risk stress testing and its importance.

-    Define stress testing techniques for trading exposures (e.g., FX, interest rate, equity commodity).

-    Demonstrate a sound understanding of Asset Liability Management (ALM) in terms of the scope and its importance to banks.

-    Identify the main ALM tools including IRR mismatch management and performance management, funds transfer pricing, and liquidity management.

-    Describe the elements of market risk governance and risk management process.

-    Identify the components of market risk policy, limit setting and risk appetite frameworks.


(Contents / المحتويات)

:

-    Fundamentals of Market Risk :

-    Market Risk Definition and Drivers.

-    Interest Rate Risk:

-    IRR components.

-    Risk measurement tools: Modified Duration and BPV.

-    Foreign Currency Risk: Definition and risk measurement tools.

-    Equity Risk: Definition and risk measurement tools.

-    Commodities Risk: Definition and risk measurement tools.

-    Derivatives Risk: Definition and risk measurement tools: the Greeks (e.g. Delta, Gamma, Vega).

-    Trading Book versus Banking Book.

-    Practical exercise: Calculation of factor sensitivities for bonds, FX, equities and options.

-    Case Study: Lessons from the 2007/2009 Global Financial Crisis .

 -    Market Risk Measurement:

-    Introduction to measurement tools: notional amounts and sensitivities (Duration, convexity, volatility, etc.) .

-    Introduction to Value at Risk .

-    Value at Risk types:

-    Parametric: Delta-Normal Approach.

-    Non-Parametric: Historical and Monte Carlo Approach. 

-    VAR Mapping.

-    VAR Back-testing.

-    Expected Shortfall and other coherent risk measures .

-    Extreme Value Theory .

-    Practical exercise: Parametric and Historical VAR and Expected Shortfall.

-    Market Risk Stress Testing:

-    Introduction .

-    Approaches to stress testing:

-    Historical .

-    Hypothetical: sensitivity analysis and multifactor approach.

-    Reverse Stress Testing.

-    Uses of Stress Testing.

-    Stress Testing challenges .

-    Practical exercise .

-    Introduction to Asset Liability Management:

-    ALM for Banks:

-    The basic Balance Sheet components and income statement of a bank.

-    Key Ratios.

-    Roles of ALM:

-    The scope of ALM function with reference to the relationship with Treasury and other key aspects.

-    Key ALM activities including IRR mismatch management and performance management, Funds Transfer Pricing, and Liquidity Management.

-    Practical exercise .

-    Market Risk Governance and Management :

-    Structure of Market Risk Governance in banks: the three lines of defense approach. 

-    Market Risk Management Process

-    Identification,

-    Measurement,

-    Management,

-    Monitoring and Reporting.

-    Treasury Organizational structure:

-    Front Office,

-    Middle Office,

-    Back Office.



(Participants / المشاركون)

:

-  Professionals working in:

-    Treasury.

-    Risk .

-    Capital Management.

-    Regulatory Compliance.

-    Audit.