Overview
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.
Who should take this course?
This course is ideal for any banking professional currently working in or seeking a career in risk management and market risk management specifically. It is also suitable for banking professionals working in compliance, internal audit, finance, and investor relations that want to enhance their knowledge of market risk.Market Risk Fundamentals Learning Objectives
- 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
Prerequisite Courses
Recommended courses to complete before taking this course.
Level 3
1h 26min
100% online and self-paced
Field of Study: Finance
Start LearningWhat You'll Learn
Course Introduction
What is Market Risk
Parametric VaR
Course Summary
Qualified Assessment
This Course is Part of the Following Programs
Why stop here? Expand your skills and show your expertise with the professional certifications, specializations, and CPE credits you’re already on your way to earning.
Risk Management Specialization
- Skills You’ll Gain Risk Identification, Regulatory Analysis, Risk Measurement, Risk Mitigation
- Great For: Market Risk Analyst, Credit Risk Analyst, Compliance Officer, consulting, Enterprise Risk Manager, Audit
