07. Quantitative Market Risk Management

The Quant Market Risk Management (QMRM) Program is designed to equip finance professionals with in-depth knowledge, hands-on expertise, and quantitative techniques required for managing market risks effectively. This rigorous program bridges the gap between theoretical risk frameworks and practical, real-time risk modeling, mirroring the workflows and modeling standards of institutional risk desks at global investment banks, asset management and consulting firms, and other financial institutions.

This program addresses the dual mandate of institutional risk management functions—satisfying regulatory capital requirements while providing actionable risk insights for trading and risk decisions. Master VaR methodologies used for regulatory submissions and regular limit monitoring, scenario stress testing satisfying both regulatory requirements and internal capital planning, and sensitivity analysis directing actual hedging strategies on trading desks. Develop institutional-level models that pass independent validation standards, integrate with front-office pricing systems, and generate the regular risk reports scrutinized by senior management and board risk committees at global banks.

Modules:

01. Introduction to Market Risk Management Fundamentals

02. Sensitivity Analysis and Hedging Techniques

03. Scenario Analysis and Portfolio Stress Testing

04. Value-at-Risk Methodologies and Portfolio Risk Management

05. Stressed VaR, Expected Shortfall, and Advanced Risk Measures

06. Basel and FRTB Regulatory Frameworks

07. Model Validation, Backtesting, and Performance Assessment

Prerequisites: Python Programming, Excel | Duration: ~85 hrs | Mode: Live (Instructor-led) and Recorded (Self-Paced)

Includes: Get Started with Anaconda Navigator: Installation Guide, Introduction to Anaconda Navigator, Introduction to Jupyter Notebook, and Interview Guides