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Trading Market Risk (VaR)

Course Overview

β€œVaR” is designed to enable organisations develop a robust market risk team and also put in place action/trigger limits, policies, controls etc. to manage the inherent risks involved in treasury dealings

Course Objectives

  • expose participants to the concepts, methodologies and the practice of market risk management
  • sensitise participants on the market risk related provisions of Basel Accord
  • empower participants to facilitate the implementation of market risk framework in their respective institutions

Duration – 4 Days

 

 

Curriculum

Fundamentals of Financial Markets Products
Treasury Bills, Bonds, Equities and Foreign Exchange

Overview of Market Risk Framework
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CBN Regulatory Framework on Risk
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Overview of Basel Accord
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Calculation of Capital Charges (Basel 2)
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Controlling Market Risk – Limits Setting
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Factor Sensitivities: spot trading, cross currency and forward FX trading positions
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Value-at-Risk (5 Steps)
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VaR Simulations
Parametric, Historic and Monte-carlo

Stress Testing, Scenario Analysis and Back- Testing
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Importance of Internal Controls
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Counterparty Risk Management
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