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

EXTRAS:

  • A look into a Market Risk/Finance project structure – key players and roles
  • List of common interview questions (the list is made available to all candidates)
  • Introductory counterparty credit risk – live teaching session by Professor Johannes Ruf (London School of Economics)

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.

Testimonials

Our Alumni Get Great Jobs

Graduates of our training programs secure employment with some of the most prestigious financial employers in locations across the globe. Many financial institutions sponsor their employees. More...

Become a highly skilled, highly paid professional in investment banking

Whether you’re new to finance/coding, adding more skills, or advancing your career, our training programs will prepare you for your ideal job.

Focused curricula

Each of our courses focuses on delivering only the specific knowledge you need to pass the toughest interviews, land your coveted role, and succeed in your career.

Learn from experts

Our courses are developed/taught directly by industry-leading implementation experts and thought leaders.

No finance or coding experience required

Beginner, novice or intermediate, whatever your level, you don’t need to have prior knowledge of finance or programming as all our courses are taught from foundations.

Practical learning

You won't just study the theory. Our training programs are heavily practical by design. You will learn by doing - by undertaking the type of work you will likely be doing on the job.

Coding projects

You will learn the highly sought-after programming languages of Python & SQL and then actually write the code needed to build 10+ prototypes of the kind of systems every investment bank uses.

Live teaching sessions

You will join a live web session every week where you can talk directly to the expert instructor, and other students for one-to-one and group support.

Certification

You will overcome the catch-22 hurdle of eligibility by earning a globally recognised official certificate from Financial Risk Hub that demonstrates your competence to potential employers.

CPD credits

You can consolidate your professional quantitative finance & risk analytics credentials by earning credits from leading industry organisations such as the CFA Institute, GARP and PRMIA.

Professional recruiters

You will gain exclusive access to specialist investment banking recruiters to help you advance your career and land a high-paying role.

Go from Job Search to Job Success

We provide access to a wide variety of career services and support to help you land your dream job.

CV/resume help (FinBA program only)

You will be assigned a dedicated professional investment banking recruiter, specialising in Risk & Quant Finance, who will work 1-1 with you to tailor your existing CV/resume.

Leverage our network (FinBA program only)

We foster personal introductions to our network of potential hiring managers and recruiters, to help our students based in London, Toronto, NY/Boston/Chicago/Dallas, and Sydney/Melbourne get connected to the right people.

Job search support

You will receive invaluable guidance on how to navigate the complex recruitment landscape and conduct a smart search for your first or next role in investment banking.

Interview prep

You will be provided a comprehensive set of common interview questions and framework for how to answer them. In addition, we will train you on the mindset and approach needed to ace interviews at any investment bank.