Syllabus Of MRM-
- Introduction to Market Risk:
- Definition and types of market risk.
- Historical examples of market risk events.
- Importance of market risk management.
- Market Risk Metrics:
- Value at Risk (VaR) and its calculation methods (historical simulation, parametric, Monte Carlo).
- Expected Shortfall (ES).
- Stress testing and scenario analysis.
- Backtesting VaR models.
- Market Risk Factors:
- Interest rate risk.
- Equity price risk.
- Foreign exchange rate risk.
- Commodity price risk.
- Credit spread risk.
- Market Risk Models:
- Time series models for forecasting financial market data.
- Volatility modeling (GARCH models).
- Correlation and copula models.
- Multifactor models.
- Regulatory Framework and Capital Requirements:
- Basel III and Basel IV regulations.
- Market risk capital requirements.
- Internal models approach vs. standardized approach.
- Market Risk Management Practices:
- Risk appetite and tolerance.
- Risk limits and controls.
- Risk reporting and monitoring.
- Risk-adjusted performance measurement.
- Hedging and Risk Mitigation:
- Use of derivatives for hedging.
- Delta hedging, gamma hedging, and other hedging strategies.
- Portfolio optimization for risk reduction.
- Market Risk in Trading and Investment Portfolios:
- Risk in trading desks.
- Risk in investment portfolios.
- Portfolio construction and optimization.
- Market Risk in Banking:
- Asset-liability management.
- Interest rate risk in the banking book (IRRBB).
- Liquidity risk and funding risk.
- Market Risk Case Studies:
- Real-world case studies of market risk events and how they were managed or mismanaged.
- Ethical and Legal Considerations:
- Ethical issues in market risk management.
- Legal and regulatory compliance.
- Recent Developments and Emerging Trends:
- Machine learning and AI in market risk management.
- Environmental, Social, and Governance (ESG) considerations in risk management.