Risk Management - Market Risk for Funds

In the fund industry, market risk plays a central role, since it directly impacts a fund’s value and thus its NAV. The objective of this course is to provide participants with a good understanding of market risk in the fund industry and how to manage it.

• Describe and understand the basic components of market risk in the fund industry
• Understand the interaction between market risk and other risks in the fund industry
• Understand and measure leverage for funds
• Evaluate the market risk of derivatives and portfolios
• Learn how to measure a fund’s global exposure:
  • Commitment approach
  • Value at risk (VaR) approach

• Fundamentals of Market Risk
• Equity Risk
• Interest Rate Risk
• FOREX Risk
• Commodity Risk
• Derivative Risk
  • Black & Scholes
  • Greeks
• Portfolio Risk
  • Models
  • Leverage
  • Hedging strategies
• Global exposure
  • Commitment approach
  • Value at Risk approach
• Stress testing and scenario analysis
• Market Risk reporting
• Future trends