Risk management begins with the identification, measurement, management and controlling of risk. This course identifies the risks associated with spot, forward, option and credit trading in the front office. A variety of tools have evolved over the years that will be analyzed including Value at Risk (VaR), scenario analysis, stress testing and backtesting. The newer kid on the block will also be examined: expected shortfall. These tools, along with reports (summary versus desk level), limits and monitoring will be analyzed. How Basel III, capital and liquidity, impact the front office is investigated. Lastly, the new Volcker requirements are considered.
Course Objectives
By the end of the course, participants will be able to:
- Identify the myriad of risk factors faced by capital market participants
- Determine the various risk measurements used to quantify risk:
- DV01
- Greeks
- CS01
- Explain the qualitative risk measures used to control risk
Suggested Prerequisites:
- Fundamentals understanding of Capital Markets
Program Level:Intermediate
Advance Preparation: None
Computers and Financial Calculators: Calculator
Recommended CPE Credits: 7