The Mechanics of Market Risk (Online)

IFF Training

IFF Training

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About the course

Course Structure

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.

Video Content

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

Syllabus modules

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

Topics covered:

  • 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

Topics covered:

  • 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

Topics covered:

  • 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

Topics covered:

  • 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

Topics covered:

  • 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

Experts

Clive Corcoran

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

The Mechanics of Market Risk (Online) at IFF Training

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Disclaimer

Coursalytics is an independent platform to find, compare, and book executive courses. Coursalytics is not endorsed by, sponsored by, or otherwise affiliated with any business school or university.

Full disclaimer.

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.