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*
- 3-for-2 rate: save over $2,000 by booking a group of three attendees*
- Subscriber reward: save 30% off the standard rate if you are a Risk.net subscriber*
- Season tickets: save up to 60% - request price breakdown
*T&Cs apply
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
Tutors
Martin Macko
Chief Executive
Bearning
Vivek Shah
Chief Risk Officer
Citi
Vivek Shah is chief risk officer at Citibank in New York. With over 25 years of experience, he has expertise across risk types and various asset classes including fixed income, equities, and commodities. Vivek has also worked as deputy CRO at Amundi Pioneer Global Asset Management and head of risk at Prudential Capital Markets. He has authored several articles on risk management. Vivek has taught an undergraduate mathematical methods course at the London School of Economics and conducts internal finance training at Citibank.
José David San Miguel
Market risk expert
Santander
Thomas Obitz Risk Learning Faculty
Founder, expert advisor and programme manager FRTB
RiskTransform
Thomas Obitz, a Risk Learning faculty member, has more than 20 years of consulting experience in Investment and Commercial Banking and broader financial markets. He focuses on risk transformation and works with global banks on their implementation of FRTB. Thomas has publications on risk change and FRTB, is GARB FRM certified and has a MSc in financial mathematics.
Pre-reading materials
The Risk.net resources below have been selected to enhance your learning experience:
- VAR breaches trip up Citi, CS USA and two others in Q3
- Why FRTB models are on the edge of extinction
- The evolution of trading risk and the return to volatility
A Risk.net subscription will provide you access to these articles. Alternatively, register for free to read two articles.
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