Market Risk and Value at Risk (VaR) in Treasury Training Course

Introduction

This intensive 5-day training course provides a comprehensive deep dive into market risk management with a specific focus on Value at Risk (VaR) applications within treasury functions. Participants will gain a robust understanding of the various facets of market risk, including interest rate risk, foreign exchange risk, equity risk, and commodity risk, and learn cutting-edge methodologies for their identification, measurement, and mitigation. The course emphasizes practical, real-world applications of VaR and other market risk metrics, enabling treasury professionals to effectively monitor exposures, set appropriate limits, and make informed strategic decisions to safeguard organizational assets and optimize financial performance.

Going beyond theoretical concepts, this program equips attendees with the analytical tools and quantitative techniques necessary to implement and interpret VaR models effectively, covering historical simulation, parametric, and Monte Carlo approaches. Through interactive case studies, hands-on exercises, and discussions of current industry best practices, participants will develop the skills to design robust risk management frameworks, conduct scenario analysis and stress testing, and ensure compliance with evolving regulatory requirements. Whether you are a treasury manager, risk analyst, or finance professional responsible for managing market risk, this course offers an unparalleled opportunity to enhance your expertise and master the essential techniques for navigating today's volatile financial markets.

Duration: 5 days

Target Audience:

  • Treasury Managers and Staff
  • Market Risk Analysts
  • Financial Controllers
  • Risk Management Professionals
  • Investment Managers
  • Accountants dealing with financial instruments
  • Regulators and Auditors

Objectives:

  • To provide a thorough understanding of market risk concepts and typologies.
  • To equip participants with the knowledge and skills to calculate and interpret VaR using various methodologies.
  • To understand the application of VaR in different treasury activities (e.g., funding, investment, hedging).
  • To explore advanced market risk measurement techniques like stress testing and scenario analysis.
  • To enable participants to implement robust market risk management frameworks within a treasury function.

Course Modules:

Introduction

  • Overview of treasury functions and their inherent market risks.
  • Defining market risk: interest rate, FX, equity, commodity, and other price risks.
  • The importance of market risk management in financial institutions.
  • Introduction to Value at Risk (VaR) as a key market risk metric.
  • Regulatory landscape and its impact on market risk management.

Fundamentals of Market Risk

  • Interest Rate Risk: types, measurement, and management.
  • Foreign Exchange Risk: translation, transaction, and economic exposure.
  • Equity Price Risk: impact on investment portfolios.
  • Commodity Price Risk: direct and indirect exposures.
  • Correlation and diversification in market risk.

Value at Risk (VaR) Methodologies - I

  • Historical Simulation VaR: methodology, advantages, and limitations.
  • Parametric (Variance-Covariance) VaR: assumptions, calculation, and practical application.
  • Understanding portfolio variance and covariance matrices.
  • Choosing appropriate confidence levels and holding periods for VaR.
  • Backtesting VaR models to assess their accuracy.

Value at Risk (VaR) Methodologies - II

  • Monte Carlo Simulation VaR: steps, advantages for non-linear instruments.
  • Generating random walks and simulating market factors.
  • Incorporating volatility and correlation into Monte Carlo models.
  • Advantages and disadvantages of different VaR methodologies.
  • Selection criteria for the most appropriate VaR method for specific portfolios.

Advanced Market Risk Measurement

  • Expected Shortfall (ES) / Conditional VaR (CVaR): understanding tail risk.
  • Stress Testing: design, implementation, and interpretation of stress scenarios.
  • Scenario Analysis: pre-defined and user-defined scenarios.
  • Incremental VaR, Marginal VaR, and Component VaR.
  • Sensitivity analysis and "Greeks" (Delta, Gamma, Vega, Rho).

Market Risk in Treasury Operations

  • VaR for interest rate risk in funding and liquidity management.
  • Measuring FX VaR for hedging and proprietary trading.
  • Applying VaR to investment portfolios managed by treasury.
  • VaR for commodity exposures within corporate treasuries.
  • Integrating VaR into treasury's daily decision-making process.

Limits, Policies, and Governance

  • Establishing market risk limits (VaR limits, stop-loss limits).
  • Designing effective market risk policies and procedures.
  • Roles and responsibilities in market risk governance.
  • Internal reporting frameworks for market risk.
  • Escalation procedures for limit breaches and unusual market movements.

Regulatory Aspects and Best Practices

  • Basel III framework and its impact on market risk capital requirements.
  • FRTB (Fundamental Review of the Trading Book) implications for VaR.
  • Best practices in market risk data management and infrastructure.
  • Independent validation of market risk models.
  • Emerging trends in market risk management and future challenges.

CERTIFICATION

  • Upon successful completion of this training, participants will be issued with Macskills Training and Development Institute Certificate

TRAINING VENUE

  • Training will be held at Macskills Training Centre. We also tailor make the training upon request at different locations across the world.

AIRPORT PICK UP AND ACCOMMODATION

  • Airport pick up and accommodation is arranged upon request

TERMS OF PAYMENT

Payment should be made to Macskills Development Institute bank account before the start of the training and receipts sent to info@macskillsdevelopment.com

 

Market Risk And Value At Risk (var) In Treasury Training Course in Haiti
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