Market Risk (Finance) Curriculum

The curriculum provides end-to-end coverage of the most important areas of finance / Market Risk solutions.

Scroll

Module 1: Introduction

Session 1

  • Structure of an Investment Bank – Front Office, Middle Office, Back Office
  • Roles of FO Sales, Traders and Quants
  • Trades – Execution, Booking, Settlement
  • Trading desk, prop/non prop trading, Flow desk
  • Asset classes (Equity, Fixed Income – Interest Rate, Credit -, Commodities, Foreign Exchange), derivatives – options, futures and forwards, exotics
  • Payoff profiles
  • Data – market, trade/position and reference
  • Risk factors, timeseries
  • Proxying, benching, forward filling/copy forward

Session 2

  • Implied volatility, historical vol, vol modelling (GARCH)
  • Vol surfaces
  • Correlation
  • Interest rate, zero rate, forward rates
  • Hypothetical portfolio
  • What if analyses
  • Capital requirements: standard rules, internal model approach
  • Breakdown of key components of FRTB. Discussion of DFAST, CCAR etc regulations
  • FRTB Standardised Approach (SA)
  • FRTB QIS
  • New developments in market risk, hot job areas

Module 1 outcome: After completing this module, candidates will possess in-depth knowledge and thorough understanding of the most important foundational components of finance and Market Risk

Module 2: Advanced Market Risk (Finance)

Session 1

  • Geometric Brownian Motion, Monte Carlo simulation
  • Simulating a stock price
  • Pricing of vanilla and exotic instruments
  • Computational approach (Monte Carlo method)
  • Closed form/analytical approach (Black Scholes method)
  • Sensitivities
  • Finite difference method
  • Black Scholes method
  • Stress testing

Session 2

  • Historical scenarios generation
  • Monte Carlo scenarios generation
  • Absolute, and relative scenarios
  • Full revaluation
  • PnL calculations (hypothetical/theoretical/clean/Full Reval PnL)
  • Taylor PnL (Delta-Gamma-Vega approximation)

Session 3

  • Value at Risk, incremental VaR
  • Historical simulation VaR, MC VaR
  • Stress period, Stressed VaR
  • Scenario PV
  • PnL vector analysis – interpolation
  • VaR scaling
  • Expected Shortfall
  • Back testing (VaR/PnL)

Session 4

FRTB Internal Model Approach (IMA) Expected Shortfall model for Capital calculation

  • Cascading approach
  • Indirect method
  • Constrained and unconstrained ES

FRTB Capital Eligibility

  • Backtesting
  • PnL attribution

FRTB IMA and SBA process flows

Quantitative validation/testing of

  • VaR
  • ES
  • Stress testing
  • Backtesting
  • PnLs

Career Talk with a Recruiter

EXTRAS:

  • A look into a Market Risk project structure – key players and roles
  • List of common Risk interview questions (the list is made available to all candidates)
  • Career strategy discussion
  • How to create your own Market Risk resume/CV
  • How to look for a job in Market Risk
  • Open discussion

Module 2 assessment is project-based: candidates will be tasked with building analytics components.

Module 2 outcome: At the end of this module (which builds on Module 1 content), candidates will have solid understanding of finance (including FRTB etc), hands-on experience of building Risk engines components, deep knowledge of solutions implementation, and exposure to quant analysis. They will also be able to perform quantitative validation. In addition, candidates will know how to create their own Finance resume/CV, and ace job interviews.