Market Risk Measurement and Management Course

Name: Market Risk Measurement and Management Training Course
Availability: InStock

Advanced market-risk sensitivities, VaR, expected shortfall, stress testing, limits, valuation controls, and model governance

Market Risk Measurement and Management Course

At a glance

Duration: 1 Week
Format: Classroom
Cities: Amsterdam, Montreux, Paris, Chicago, Vienna, Milan and more
Next session: 26 – 30 October 2026, Amsterdam
Average fee: 5,750 €

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Market Risk Measurement and Management Training Course

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Overview

Market Risk Measurement and Management Training Course is a one-week advanced programme for professionals who measure, aggregate, limit, challenge, and report losses arising from movements in market prices and rates. Participants connect risk-factor mapping, position and valuation data, sensitivities, value at risk, expected shortfall, stress testing, backtesting, liquidity horizons, basis risk, non-linear exposure, limit structures, valuation controls, model governance, and executive reporting across trading and investment portfolios.

Each participant develops a Market Risk Measurement and Limit Framework for a selected portfolio or trading activity. The framework contains a risk-factor inventory, sensitivity map, measurement stack, aggregation rules, stress library, backtesting design, limit architecture, valuation-control interface, model-governance controls, and reporting dashboard. Agile Leaders Training Center presents market-risk management as a linked system of positions, data, models, controls, judgement, and accountable action.

Who Should Attend

Market-risk managers, analysts, and risk-control professionals
Treasury, trading, investment, asset-liability, and portfolio teams
Quantitative risk, model-development, validation, and model-risk specialists
Product control, valuation control, finance, and regulatory-reporting teams
Risk-data, technology, and analytics professionals supporting market-risk engines
Internal audit, assurance, compliance, and governance professionals
Senior managers and committee members reviewing exposure, limits, and capital

The course assumes familiarity with financial instruments, portfolios, and basic statistics. It does not provide trading or investment advice, approve a regulatory model, or replace institution-specific validation, accounting, capital, or supervisory interpretation.

Learning Objectives

Map positions to interest-rate, foreign-exchange, equity, commodity, spread, volatility, and basis risk factors
Calculate and interpret sensitivities, value at risk, expected shortfall, and stress losses
Understand diversification, concentration, correlation, optionality, and liquidity effects
Design limits that connect business mandates, risk appetite, measures, and escalation
Build backtesting and performance-analysis routines that expose model weakness
Connect independent price verification, valuation uncertainty, reserves, and market risk
Govern data, proxies, assumptions, model changes, validation, use, and limitations
Produce decision-ready reports for desks, committees, executives, and boards

Practical Work Product

Participants build a Market Risk Measurement and Limit Framework containing:

Portfolio and risk-factor inventory
Sensitivity and exposure map
VaR and expected-shortfall measurement specification
Stress and reverse-stress library
Backtesting and exception process
Limit and escalation architecture
Valuation and market-data control interface
Model-governance checklist
Market-risk dashboard and action log

Day 1: Positions, Risk Factors, and Sensitivities

Market-risk taxonomy and the boundary between market, credit, counterparty, and liquidity risk
Position representation, cash flows, curves, surfaces, prices, spreads, and reference data
Interest-rate gap, duration, PV01, convexity, foreign-exchange delta, equity beta, and commodity exposure
Option delta, gamma, vega, theta, volatility surfaces, and non-linear risk
Basis, correlation, concentration, jump, and residual risks

Workshop: create a risk-factor inventory and sensitivity map for a mixed portfolio, identifying missing and duplicated exposure.

Day 2: VaR, Expected Shortfall, and Aggregation

Parametric, historical, and simulation approaches to value at risk
Confidence levels, holding periods, lookback windows, weighting, scaling, and assumptions
Expected shortfall, tail loss, liquidity horizons, and non-modellable factors
Portfolio aggregation, diversification, correlation instability, and concentration
Interpreting measures for limits, capital, pricing, and management decisions

Workshop: specify a measurement stack and compare sensitivities, VaR, expected shortfall, and concentration indicators for the same portfolio.

Day 3: Stress Testing, Backtesting, and Model Performance

Historical, hypothetical, sensitivity, multi-factor, and reverse stress scenarios
Scenario severity, plausibility, coherence, coverage, and narrative
Linking macro-financial events to rates, spreads, currencies, equities, commodities, and volatility
Backtesting, profit-and-loss definitions, exceptions, attribution, and escalation
Model drift, data weakness, proxy risk, regime change, and performance monitoring

Workshop: build a stress library and backtesting process with thresholds, owners, exception analysis, and remediation decisions.

Day 4: Limits, Valuation Controls, and Daily Management

Desk mandates, risk appetite, directional exposure, sensitivity, VaR, stress, concentration, and stop-loss limits
Limit allocation, utilisation, intraday monitoring, breach handling, temporary increases, and escalation
Market data governance, stale prices, outliers, proxies, and data lineage
Independent price verification, valuation adjustments, uncertainty, reserves, and prudent valuation
Profit-and-loss reporting, attribution, unexplained movement, and interaction with product control

Workshop: design a limit hierarchy and daily market-risk pack linking exposure, valuation, P&L, breaches, and actions.

Day 5: Model Governance, Capital Context, and Reporting

Trading-book governance, regulatory measurement context, and standardised versus internal-model approaches
Model inventory, ownership, development, validation, approval, implementation, and change control
Use tests, limitations, overrides, compensating controls, and independent review
Reporting to trading desks, asset-liability committees, risk committees, executives, and boards
Governance calendar, emerging-risk review, and the ninety-day implementation backlog

Capstone: present and challenge the Market Risk Measurement and Limit Framework before a simulated risk committee.

Training Methods

Portfolio exercises and risk-factor mapping
Sensitivity, VaR, expected-shortfall, and stress comparisons
Backtesting, exception, and model-performance cases
Limit, valuation-control, and reporting workshops
Peer review of measurement frameworks and dashboards

Course Outcomes

Participants leave able to connect positions and market data with complementary risk measures, challenge model output, design credible stresses and limits, investigate exceptions, and communicate exposure and action clearly. They also understand where measurement ends and management judgement, valuation control, validation, and governance must begin.

Frequently Asked Questions

Is this a quantitative modelling course?

It develops advanced measurement understanding and governance capability but does not teach programming or full model construction from source code.

Does the course cover FRTB concepts?

Yes. It explains the trading-book boundary, expected shortfall, liquidity horizons, non-modellable factors, and governance context without providing institution-specific regulatory advice.

Is it limited to banks?

No. The core measurement and limit methods also apply to investment portfolios, treasury operations, commodities, and other market-exposed organisations.

What will I produce?

You will complete a Market Risk Measurement and Limit Framework covering factors, measures, stress, backtesting, limits, valuation, models, and reporting.

credits: 5 credit per day

Course Mode: full-time

Provider: Agile Leaders Training Center

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Showing 61-75 of 75 events

Location	Dates	Duration	Mode	Price
Munich	Week 34, 2027 23 – 27 August 2027	1 Week	Onsite	€5,700
Istanbul	Week 35, 2027 30 August – 3 September 2027	1 Week	Onsite	€4,500
Vienna	Week 36, 2027 6 – 10 September 2027	1 Week	Onsite	€5,700
Sharm El-Sheikh	Week 37, 2027 13 – 17 September 2027	1 Week	Onsite	€4,100
Abu Dhabi	Week 37, 2027 13 – 17 September 2027	1 Week	Onsite	€4,700
Jakarta	Week 38, 2027 20 – 24 September 2027	1 Week	Onsite	€5,700
London	Week 39, 2027 27 September – 1 October 2027	1 Week	Onsite	€5,700
San Diego	Week 39, 2027 27 September – 1 October 2027	1 Week	Onsite	€14,000
Zoom	Week 40, 2027 4 – 8 October 2027	1 Week	Online	€1,500
Singapore	Week 40, 2027 4 – 8 October 2027	1 Week	Onsite	€5,700
Kuala Lumpur	Week 41, 2027 11 – 15 October 2027	1 Week	Onsite	€5,200
Dubai	Week 42, 2027 18 – 22 October 2027	1 Week	Onsite	€4,500
Lagos	Week 42, 2027 24 – 28 October 2027	1 Week	Onsite	€4,100
Cairo	Week 43, 2027 25 – 29 October 2027	1 Week	Onsite	€4,100
Kuwait	Week 43, 2027 31 October – 4 November 2027	1 Week	Onsite	€5,500

Frequently asked questions

What does this course cover?

Overview Market Risk Measurement and Management Training Course is a one-week advanced programme for professionals who measure, aggregate, limit, challenge, and report losses arising from movements in market prices and rates. Participants connect risk-factor mapping, position and valuation data, sensitivities, value at risk, expected shortfall, stress tes…

Are training dates available?

Yes. Available dates and destinations are listed in the course dates section on this page.

How can I register?

Choose an available date on this page and complete the registration form, or send a programme enquiry.

Can I download the course brochure?

Yes. Use the brochure download link provided on this page.

Market Risk Measurement and Management Course