“VaR” 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

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

Overview of Market Risk Framework

CBN Regulatory Framework on Risk

Overview of Basel Accord

Calculation of Capital Charges (Basel 2)

Controlling Market Risk – Limits Setting

Factor Sensitivities: spot trading, cross currency and forward FX trading positions

Value-at-Risk (5 Steps)

VaR Simulations
Parametric, Historic and Monte-carlo

Stress Testing, Scenario Analysis and Back- Testing

Importance of Internal Controls

Counter-party Risk Management