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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 at both bank trading desks and asset managers. A variety of tools have evolved over the years that will be analyzed such as the Greeks, DV01 and CS01. Special focus will be on interest rates and how trading desks at banks and asset/portfolio manager’s mange and hedge these positions. Volatility will be defined and analyzed as it is an important risk factor in the valuation of different market variables such as interest rates, foreign exchange, equity price, and commodity prices. Finally, correlation between markets will be explored as well as how valuation is impacted by correlation and basic forecasting techniques for future correlation levels.
Course Objectives
By the end of the course, participants will be able to:
- Identify the myriad of market risk factors faced by capital market participants
- Determine the various risk measurements used to quantify market risk:
- DV01/duration
- Greeks – Delta, gamma. Theta, vega and rho
- CS01
- Analyze volatility and its role in market valuation
- Discuss correlation and its impact on valuation
Suggested Prerequisites:
- Risk Management in Financial Institutions – A Foundational Approach
Program Level:Intermediate
Advance Preparation: None
Computers and Financial Calculators: Calculator
Recommended CPE Credits: 7