Understand what market risk is and its main types (interest rate, FX, equity, commodity, volatility).
Learn the statistical foundations of risk: returns, volatility, correlation, and diversification.
Master Value at Risk (VaR) methods: parametric, historical simulation, and Monte Carlo.
Explore Expected Shortfall and why it is a more robust risk measure than VaR.
Analyze volatility using realized, historical, implied, and time-series models (ARCH/GARCH).
Understand options, payoffs, and the Greeks (delta, gamma, vega, theta, rho) for risk management.
Apply stress testing and scenario analysis, including reverse stress tests.
Gain skills in backtesting, model validation, and identifying model risk.
Learn governance practices, risk appetite setting, limits, and Basel regulatory frameworks.
Distinguish between regulatory capital and economic capital in decision-making.
Develop skills in risk reporting, P&L explain, and analyzing drivers of risk.
Understand the links between market risk, liquidity risk, XVA, margining, and counterparty exposures.
