Financial Products & Associated Risk Management

Market Risk Management - Part 1


This eCourse consists of three modules on market risk management. Module 1 addresses some key issues associated with market risk: What is it? Where does it come from? How can it be managed effectively? And how has its management and regulation been influenced by market events such as the financial crisis and various rogue trader incidents?

Module 2 looks at the strategies that banks can use to manage market risk and the limitations associated with market risk management. The tutorial also examines how regulators are continuously attempting to ensure that banks hold sufficient capital to cover market risk.

Module 3 describes market risk measures in detail and looks at the issues associated with their usage.


On completion of this course, you will be able to:
- Identify the main types and sources of this risk
- Recognize the problems with market risk management that were exposed by the global financial crisis and the regulatory response to this
- Identify the key components of the risk management framework required for the effective identification, measurement, and management of market risk
- Recognize the impact of a bank’s business strategy and risk appetitive on its exposure to market risk
- Identify the various strategies that banks can adopt to manage market risk
- Identify the limitations to market risk management, including those risks that are difficult to measure and manage
- Recognize why the Basel Committee on Banking Supervision (BCBS) was forced to make substantial revisions to the market risk regulatory framework, including the publication of revised rules for the Standardized Approach (SA) and Internal Models Approach (IMA) for calculating regulatory capital
- Recognize how the measurement of market risk has evolved from crude measures such as notional amounts in the early days to sophisticated modeling techniques
- Identify the various market risk measures and their limitations, including beta, duration, convexity, option Greeks, value at risk (VaR), and expected shortfall (ES)


Module 1: Market Risk - An Introduction
Topic 1: Overview of Market Risk
Topic 2: Risk Management Framework for Market Risk

Module 2: Market Risk - Management
Topic 1: Managing Market Risk
Topic 2: Market Risk Management & Basel Requirements

Module 3: Market Risk – Measurement
Topic 1: Overview of Market Risk Measurement
Topic 2: Market Risk Measures


Relevant Subject
Type 1 - Dealing in securities
Type 2 - Dealing in futures contracts
Type 3 - Leveraged foreign exchange trading
Type 4 - Advising on securities
Type 5 - Advising on futures contracts
SFC:2.50, PWMA:2.50
Chinese Securities Association of Hong Kong (HKCSA): HK$840
Staff of Corporate Member: HK$800
Non-Member: HK$1200
All Member: HK$800