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Excel and Python-Powered Risk Management Program

Master Market Risk   [Basics to Advanced to Practical Applications]

Take your risk management skills to the next level with our comprehensive market risk program. Our expert instructors will guide you through the development and validation of various measurement models and provide valuable insights into the best practices for managing value-at-risk, sensitivities, and scenario analysis. With a focus on practical skills and hands-on experience, you'll be fully prepared to tackle real-world challenges in the market risk industry.

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HOURS ON-DEMAND

PYTHON-BASED MODELS

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4.9

PYTHON PROJECTS

BLOGS PUBLISHED

RATING ACHIEVED

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Master the Most Sought-After Career in Finance and Advance Your Career

Are you looking to build a career in market risk management? Our program is designed to provide you with the knowledge and skills you need to succeed. Our comprehensive curriculum covers everything from the basics of market risk measurement to advanced tactics for managing risk. ​

 

Throughout the program, you'll learn how to develop and validate a wide range of measurement models involving value-at-risk, sensitivities, and scenarios using Excel and Python. These powerful tools will enable you to become proficient in analyzing and predicting market risk, so you can make informed decisions and manage risk effectively.

In addition to the core curriculum, you'll also have the opportunity to practice what you've learned through hands-on exercises and interactive projects. With our step-by-step, self-paced materials, you'll have the opportunity to learn and practice at your own pace. And with the use of Excel and Python, you'll have hands-on experience in applying your knowledge to real-world situations. Our experienced instructors will guide you through every step of the process, ensuring that you have a strong foundation in market risk.

 

By the end of the program, you'll have the skills and knowledge you need to become a market risk domain expert. Don't miss this opportunity to take your career to the next level - enroll in our market risk management program today!

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Premium Subscription

Master Market Risk

reach out to us at contact@thefinanalytics.com

INR 18,000

USD 225

Inclusions

Theory, Excel Modeling, Python Modeling

The Financial Book

INR 100

Ace Your Python Programming Interview

INR 100

Financial Derivatives Interview Handbook

INR 100

Mastering Market Risk: An Interview Prep Guide

INR 100

CV/Resume, Interviews, and Placement

Prerequisite: Welcome to Python Basics [ 20+ hours ] training program.

4-months [ 60+ Hours ] training program.

Get hands-on experience on real-world projects [ 25+ Projects ] and team collaboration.

Q&A support incl. excel and python model assistance.

Online instructor-led weekend live batch + recorded sessions available as fallback option.

Downloadable access to excel and python-based models.

Read access to financial book, interview guides, CV/Resume preparation, and reference materials.

Get placement opportunities and a certificate on completion.

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Our Expert-Led Resources For Your Journey

Unleash your full potential with expert-led resources that focus on practical understanding by taking advantage of our step-by-step self-paced materials to learn and practice at your own pace.

Get Started
Essentials to Build Your Foundation
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Program Coverage Curated By Experienced Mentors

We're focused on delivering practical skills to data science, data analytics, and finance professionals with an in-depth understanding & implementation using python. We never stop adding more content to it.

Introduction to Market Risk

→ Introduction to Market Risk Framework

→ Financial Products & Derivative Instruments - Underlying Risk Factors 

→ Market Risk Model Performance Monitoring & Risk Monitoring Tactics - Standard Error | RMSE | Traffic Light | Limits | Flags | Thresholds → Market Risk Measurement Models & Management Tactics

→ Historical Time-Series of Equities & Equity Shocks - Absolute | Discrete Proportional | Continuous Proportional → Modeling - Equity Risk | Equity Return Distribution

→ Projects: Distributional Assumption for Equity Returns – Normality vs. Standardization | Applied Time-Series Models for Equity Risk – Simple vs. Exponential | Market Report: Monitor USD10Y3M Spread and S&P500

Introduction to Python Programming [7 Sessions]

Value-at-Risk Measurement Models

→ Value-at-Risk (VaR) Models - Historical Simulation Method | Monte-Carlo Simulation Method → Value-at-Risk (VaR) Models - Parametric Method → Downside Risk | Tail Risk | Conditional Value-at-Risk (CVaR | Expected Shortfall) → Stressed Value-at-Risk (SVaR), Incremental & Marginal Value-at-Risk (IVaR & MVaR)

→ Revaluation Approaches for VaR - Full Reval | Partial Reval - Taylor Approx. → Market Risk Model Validation through Backtesting VaR & ES Models → Exceptions/Breaches in VaR Limits/Flags/Thresholds → Overall Impact on Bank's Capital Adequacy Requirement

→ Model Validation through Backtesting | Traffic Light Approach

→ Projects: Equity Risk Assessment – Historical Simulation and Parametric Method

Sensitivity Analysis & Hedging Techniques

→ Market Risk Asset Classes - Equity | Interest Rate | Currency/FX | Commodity

→ Risk Sensitivities - Beta | Duration | DV01 | Convexity | Delta | Gamma | Vega | Theta | Rho | Vanna | Volga & Impact due to - Moneyness | Volatility | Time

→ Sensitivity-Based Models - Taylor Approximation | Ladder-Based Interpolation

→ Static/Dynamic Hedging & Rebalancing Techniques to remain Risk-Neutral - Delta | Gamma | Delta-Gamma | Vega | Delta-Vega → Multiple Risk Sensitivity Trades

→ Exceptions/Breaches in Sensi-Limits/Flags/Thresholds

Scenario Analysis & Stress Testing

→ Risks involved in Equities | Bonds | Options | Swaps → Identification of Risk Factors & Computation of Shocks - Absolute | Proportional → Scenario Generation & Expansion - Spot | Vol | SpotVol | Ladder → Scenario Types - Historical/Hypothetical | Event Specific

→ Scenario Analysis | Stress Testing - Scenario Creation for Identified Shocks - Spot Shocks [Positive | Negative | Antithetic] - Equity, Rates, FX, Commodity | Volatility Shocks - Normal/Local | Log-Normal/ATM Implied | Full Revaluation Model | Scenario Profit & Loss | Risk - EQ, IR, FX, COM | Cross Risk

→ Exceptions/Breaches in Scenario Limits/Flags/Thresholds

→ Management Action & Recommendations

Pricing & Valuation of Financial Instruments

→ Interest-Rate Bonds, IR Swaps - Discounting Cash Flow Model → Equity Futures, Forwards, FRAs - Cost of Carry Model → Equity, Rates, FX Option Derivatives - Binomial Model (Single-Period | Two-Period | Multi-Period) - Risk-Neutralization Approach | Delta-Hedging Approach | Replicating Portfolio Approach | Black-Scholes-Merton Option Pricing Model | Monte-Carlo Simulation - Point Estimation | Path Estimation

→ Full Revaluation vs. Partial Revaluation - Taylor Series Expansion/Approximation | Ladder-Based Interpolation Technique → Testing Option's Price under Put-Call Parity Theorem

→ Model Validation - Challenging Assumptions - Distributional, Constant Volatility, Interest Rate | Model Inputs & Model Formula

Modeling Volatilities & Interest Rates | Stochastic Processes & Simulation

→ Volatility Engines - Implied Volatility Smile & Smirk | Exponentially Weighted Moving Average (EWMA) | Generalized AutoRegressive Conditional Heteroskedasticity (GARCH 1,1) Model → Interest Rate Theories - IRR | Spot Rate | Forward Rate | Par Rate | Yield/IRCurve | Mechanics of Interest Rates - IRP | Cost of Carrying Model → Historical Time-Series of Interest Rates & Interest Rate Shocks - Absolute | Discrete Proportional | Continuous Proportional → Rates - Treasury | Agency | Municipals | Corporate → Stochastic Models - Historical Simulation | Monte-Carlo Simulation - Point & Path Estimation using Differential Equation → Yield Curve Construction - Linear Interpolation & Extrapolation | Bootstrapping | OLS Method for Interest Rates Modeling - Linear | Polynomial - Quadratic | Cubic Spline Piecewise | Quartic | Nelson-Siegel | Nelson-Siegel-Svensson

Market Risk Regulations

→ Minimum Capital Requirement for Market Risk

→ Risk Weighted Assets (RWA) & Components - Value at Risk (VaR) | Stressed VaR | Risk Not in VaR (RNIV) | Incremental Risk Charge (IRC)

→ Tier I & II Capital & Elimination of Tier III Capital in Basel Norms

→ Sensitivity-Based Approaches - Linear Risk | Volatility Risk | Curvature Risk

→ Standardised Approach (SA) for Market Risk → Internal Models Approach (IMA) for Market Risk

→ Understanding of Fundamental Review of Trading Book (FRTB) Standards and Modeling

→ Understanding of Basel Regulations - Accord I, II, III and Modeling

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