During the Covid-19 armada, we ran our programs virtually using Zoom or MS Teams. And this new normal has been quite effective, delivering stellar results. Our clients across the globe are quite happy with what we are doing, and doing really well. Our programs run both on weekdays and weekends to suit the needs of everyone. Our in-house or in-plant programs are also conducted virtually. Our weekend programs [ i.e., every Saturday] commence at 10am [ West Africa Time] while week days commence at 9.am prompt [ also West Africa Time]. We have now commenced in-person training programs as well . On timing, we are very flexible as well. Our overarching goal is to work within your timeframe/convenience. For further details/clarification, please send to us an email [info@theriskacademy.org] or call: 08021003297; 07034248767; 09071941111. Because we care.
Certified Market Risk Professional
CMRP
EXAM PREPARATION/LECTURE FEE -$450 OR N400,000
The RMA CMRP equips the holder with sound knowledge of market risk management, especially in the financial services industry.
The syllabus covers overview of market risk, identifying and measuring market risk for equity, fx market, fixed income and commodity markets, exotic instruments, options and credit risks in the market context, yield and interest rate curves, curve building and bootstrapping, pricing models, VaR, stress testing, back testing, market risk technology, and best practice framework for market risk management.
Course Modules
- Module 1
- Module 2
- Module 3
- Module 4
- Module 5
- Module 6
- Module 7
- Module 8
- Module 9
- Module 10
- Module 11
OVERVIEW OF MARKET RISK
Definition of Market Risk
How Market Risk sits alongside other risks such as Credit, Liquidity, Operational and Conduct
Principal types of Market Risk – Interest Rate, Foreign Exchange, Equity and Commodity
Why and how all banks acquire Market Risk
Emerging Market Risks
Measuring Emerging Market Risk
Supervision in Emerging Market
BASIC ACCOUNTING AND FINANCIAL ISSUES
The structure of a bank’s balance sheet
The nature and purpose of capital
Basics of discounted cash flow
Mark to market v. accrual accounting
Derivative financial instruments
The concept of “option” contracts
The idea of “hedging”
Concept of a separate “trading book”
MARKET RISK IN A “TRADING” BOOK
The nature of “trading” activity
Accounting and regulatory requirements
Principal risk measures – positional, sensitivity and Value at Risk
An appropriate limit and control framework
Famous disasters – Barings, AIB, NAB etc
MARKET RISK IN A “BANKING” BOOK
The nature of “banking” activity
Concept of “hold to maturity”
Accounting and regulatory requirements
Principal risk measures – gaps, income sensitivity and value sensitivity
Risk to “value” or to “margin”?
The role of the Treasury function
Principal hedging tools available
The importance of behavioural assumptions
Market risks stemming from impaired assets
MARKET RISK ACROSS THE ENTERPRISE
Hedging of Capital and Reserves
Macro hedging – uses and abuses
Structural foreign exchange risk
Credit spread risk and the blurred boundary between market and credit risk
GOVERNANCE OF MARKET RISK
The importance of Board risk appetite
An appropriate policy framework
An appropriate committee structure
Encouraging the right behaviours
The importance of good risk reporting
Stress and scenario testing
Model validation and data reconciliation
Segregation of duties – 3 lines of defence
Current regulatory developments – meeting the requirements of Basel 2
MARKET RISK MODELS
Parametric Models
Historical Simulation Models
Monte Carlo Simulation Models
Value at Risk Implementation
STRESS TESTING & BACK TESTING
Need for Stress Testing
The concept of stress testing as a complimentary tool to value at risk analysis
The creation of hypothetical and historical scenarios
The implementation of stress test scenarios into market risk modeling
The growing use of stress testing to risk managers
Incorporating into Market Risk Models
Implementation
Evaluating Stress Tests
Aggregate Stress Tests
Maximum Loss Approach
Extreme Value Theory
Systematic Testing
The technique of backtesting
The different types of backtesting
VALUE AT RISK
The concept of Value at Risk
The various methodologies of estimating VaR and their strengths and weaknesses
The comparison between the strength and limitation of VaR
The computation of VaR of foreign exchange spot, foreign exchange options positions, common shares/stocks, fixed income portfolio including portfolio
The various applications of VaR
The various methods to measure value at risk such as parametric, historical simulation and monte carlo simulation
The comparison among the various methods according to their characteristics, advantages and disadvantages
New forms of VaR
DelVaR
Advances in Monte Carlo Simulation
Variance reduction techniques in Monte Carlo Simulation
Advanced Volatility Models
Advanced Correlation Models
The process of value at risk implementation
APPLICATION OF ANALYTICAL TECHNIQUES
Framework of analytical techniques – gap, duration, simulation and value at risk
Concept and assumption under each techniques
Comparison and analysis of each techniques across various parameters
Application of techniques with real life case studies
CASE STUDIES
Orange County
Barings Bank
Metallgesellshaft
Who Can Sit for the Exam?
- Traders and Treasurers
- Market risk Managers
- Risk Management Professionals
- Accountants
- Middle/Back office Staff
- Institutional Investors
- Auditors
- Portfolio Managers
- Risk Management Consultants
- B.sc, M.sc and related degrees in related disciplines.
Enroll for Exam
If you are ready to take the certification exam, click the button below to enrol now.
