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Market Risk Appreciation Program (MRAP)

Course Overview

“MRAP” empowers participants to increase their market risk management awareness. MRAP is designed to equip participants with contemporary skills in Trading Market Risk, Non-trading Interest Rate and Asset-Liability Management. MRAP covers the understanding of the risks (trading, non-trading, liquidity, pre-settlement and settlement) associated with treasury activities and balance sheet management.

Course Objectives

  • the module empowers participants to increase their market risk management awareness
  • participants will be equipped with contemporary skills in Trading Market Risk, Non-trading Interest Rate and Asset-Liability Management
  • they will acquire specialised skills to properly understand, analyse and review the monitoring and control of market risk activities

Duration – 5 Days

Curriculum

Financial Risk Overview
Typology of Risks, Market Risk Landscape & Factors, Regulatory Capital & Basel

Diagnosis of Market Risk Positions
FX, Fixed Income Trading & Fixed Income Non-trading

Banking Book
Non-trading Interest Rate Risk, Liquidity Risk & Touch-points of the Organisation

Trading Market Risk Management Framework (SPIG)
Strategy, Process, Infrastructure & Governance

Process: Identification
Product Program, Mark-to-Market & Mark-to-Model

Process: Control
Limits & Triggers, Regulatory & Institutional

Supplementary Risk Controls

Process: Measurement (Basel Standardised)
FX , Interest Rate

Process: Measurement (VaR)
Factor Sensitivities

Counterparty Risk Management
Pre-Settlement Risk

Non-trading Interest Rate Risk Management Framework

Liquidity Risk Management

Process: Monitoring

Process: Reporting

Process: Infrastructure