About the course
The course takes place over 14 weeks and comprises seven core units. The units will be released every two weeks from the start of the course.
Assessment & Post Graduate Certification
At the end of each unit there is an assessment that will allow you to benchmark your growth in knowledge and understanding. For those wishing to receive a Post Graduate Certificate from Middlesex University, an additional marked assignment of 5000 words will also need to be submitted.
Each unit is now complimented by videos from the course director, Clive Corcoran, taking you through the components of the course with particular emphasis on complex areas.
Case Studies & Practical Examples
As well as videos and module content, the course has an abundance of supporting course material to help you understand the complex market risk management subject
Unit 1 - Fundamentals of trading activities and risk metrics
Topics covered -
- Fundamentals of market risk
- Trading book activities and mark to market practice
- Value at risk, expected shortfall and market risk analytics
Unit 2 - Interest rate risk and overview of basel III’s capital adequacy requirements
- Key drivers of interest rate risk
- Overview of Basel III’s capital adequacy requirements
- Swaps, credit value adjustment and collateral management
Unit 3 - Liquidity risk and market micro-structure
- Asset pricing in the presence of illiquidity
- Market micro-structure and macro liquidity risk
- Flash rally in the US Treasury Market in October 2014
- The Flash Crash of May 2010
- The collapse of Northern Rock
Unit 4 - Systemic risk and case studies from the 2007/8 crisis
- Lessons from the 2007/9 global financial crisis
- Monitoring benchmarks to assess market conditions
- Cross sectional market correlations and systemic liquidity
- Securitized banking and the run on repo (paper by Gorton and Metrick, 2010)
- Bear Stearns balance sheet and financial condition in 2008
- Examination of AIG and its role in the credit default swap market in the lead up to the 2008 crisis
Unit 5 - Derivatives, collateral and CCPs
- Overview of derivatives
- Focus on moving clearing to CCPs from OTC arrangements
- Mechanics of CCPs
- How safe are CCPs?
- CME span algorithm
- LCH. Clearnet approach to stress testing
- JP Morgan’s london whale trade losses
Unit 6 - Tail risk, stress testing and ICAAP
- Stress testing – the Big Picture view
- Overview of scenario generation for stress testing
- Stress testing methods, benefits and limitations
- Tail risk in financial markets
- Overview of ICAAP - Internal Capital Adequacy Assessment Process
Unit 7 - Legislation and regulations regarding market risk
- Basel III treatment of market risk
- International regulatory framework and g-sib’s
- Fundamental Review of the Trading Book (FRTB)
- Interest rate risk in the banking book
- The european markets and infrastructure regulation (emir)
- MiFID II
Clive Corcoran has been engaged in the finance and asset management sectors, on both sides of the Atlantic, for more than 25 years. After completing his education in the UK, Canada and the US, he co-founded and became the CEO of an asset management company based in the USA during the 1980s and 90...
Videos and materials
Because of COVID-19, many providers are cancelling or postponing in-person programs or providing online participation options.
We are happy to help you find a suitable online alternative.