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MARKET RISK
 
     
  Summary Description  
  This workshop provides a comprehensive understanding of traded financial cash and derivative instruments exploring key risk and volatility measurement methodologies.  
     
  Methodology  
  Presentations, case studies, group work and classroom discussion  
     
  Target Audience  
  Credit associates, relationship managers, credit review officers  
     
  Main Topics  
 
Introduction
- Risk management framework
- Risk measures
- Risk appetite
Market Risk parameters
- The case of forwards
- The case of bonds: duration and convexity
- Option Greeks definitions
- Delta hedging
- Interdependence of Greeks and trader’s P&L
- Vega hedging, and Other Greeks
  Value at Risk (VaR)
- VaR concept and implementation
- Parametric VaR
- Historical simulation VaR
- Monte Carlo VaR
- Excel concepts
Stress tests (introduction)
 
       
 
  Duration  
  2 days  
     
   
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