Trading risk management for market risk
View AgendaKey reasons to attend
- Discover hedging strategies to minimise risks within trading portfolios
- Integrate trading risk into broader risk management strategies
- Apply various interest rate risk measurement methods
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About the course
In this comprehensive course, participants will enhance their trading risk management skills, gaining the tools needed to navigate today’s volatile markets. Expert-led sessions cover essential risk assessment and mitigation strategies, encompassing hedging techniques, VAR methodologies and scenario analysis.
Emphasis is placed on integrating trading risks into the broader risk management framework, ensuring a holistic approach. Attendees will also be introduced to FRTB, gaining insights into the internal models approach, with a focus on the transition from VAR to expected shortfall.
Participants will leave the course equipped with the practical knowledge to manage trading risk in line with Basel IV standards and effectively adapt to future market shifts.
Pricing options:
- Early-bird rate: save up to $800 per person by booking in advance (refer to the booking section for the deadline)
- 3-for-2 rate: save over $2,000 by booking a group of three attendees (applicable to this course)
- Subscriber reward: save 30% off the standard rate if you are a Risk.net subscriber (use code SUB30)
- Season tickets: save over $1,000 per person by booking 10 or more tickets (available on selection of courses)
*The 30% subscriber reward discount is applicable only to current Risk.net subscribers. If this criteria is not met, we reserve the right to cancel the booking and issue an invoice for the correct rate. Discounts cannot be applied to already registered participants.
Learning objectives
- Clarify risk-reward relationships
- Calculate value-at-risk using the Monte Carlo method
- Learn how to set appropriate stop-loss and take-profit levels
- Explore how the price value of a basis point is calculated
- Examine the Fundamental Review of the Trading Book (FRTB)
- Understand market risk impacts from diverse perspectives
Who should attend
Relevant departments may include but are not limited to:
- Risk management
- Trading
- Treasury
- Quantitative analysis
- Compliance
- Finance
- Audit
- Senior management
Agenda
Sessions:
- Introduction to trading risk
- Hedging strategies
- Understanding interest rate risk measurement methods
- Understanding value-at-risk
- Integrating trading risk into risk management frameworks
- Markets and models
Accreditation
This course is CPD (Continued Professional Development) accredited. One credit is awarded for every hour of learning at the event.
Pre-reading materials
The Risk.net resources below have been selected to enhance your learning experience:
- HSBC’s trading VAR hits 10-year high - Read article | Risk.net
- Semiparametric GARCH models with long memory applied to value-at-risk and expected shortfall - Read article | Risk.net
- EU banks balk at new market risk models back test - Read article | Risk.net
To access some of the above articles you need to have a current subscription to Risk.net. If you don’t have one now, please subscribe to a free trial
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