Market Risk Measurement and Management in Central Banks Training Course

Introduction

In today’s dynamic financial landscape, central banks are increasingly exposed to a range of market risks arising from interest rate volatility, foreign exchange fluctuations, and changing asset valuations. The Market Risk Measurement and Management in Central Banks training course is designed to equip central bank professionals with the necessary skills to identify, measure, monitor, and mitigate market risk exposures using industry best practices and regulatory frameworks. Participants will gain deep insights into modern risk analytics, portfolio risk strategies, and macroprudential tools essential for safeguarding financial stability.

This intensive and practical five-day program offers a solid foundation in market risk concepts tailored specifically for central banking institutions. Through real-world case studies, simulations, and expert-led sessions, attendees will understand the application of quantitative risk models, stress testing, scenario analysis, and governance structures needed for effective market risk oversight. The course promotes both strategic and operational capacity building, essential for risk-sensitive policy formulation and asset management.

Duration

5 days

Target Audience:


This course is ideal for professionals working in:

  • Central bank risk management departments
  • Treasury and investment management units
  • Financial stability and monetary policy departments
  • Internal audit and compliance teams
  • Economists and financial analysts involved in financial sector surveillance

Course Objectives:

  • Understand core concepts and categories of market risk in a central banking context
  • Apply quantitative tools and models for risk measurement and assessment
  • Design and implement risk mitigation frameworks and policies
  • Interpret risk data to support decision-making and reporting
  • Strengthen institutional capacity for proactive market risk governance

Course Modules

  1. Introduction to Market Risk in Central Banks
  • Overview of market risk types: interest rate, FX, equity, and commodity risks
  • Unique market exposures in central bank operations
  • Linkages between monetary policy and market risk
  • Introduction to risk governance frameworks
  • Regulatory landscape and Basel guidelines
  1. Market Risk Measurement Tools and Techniques
  • Value at Risk (VaR) methodologies: historical, parametric, and Monte Carlo
  • Sensitivity analysis and risk metrics (DV01, PVBP, delta, gamma)
  • Duration and convexity in fixed income portfolios
  • Backtesting and validation of models
  • Data management and assumptions in risk modeling
  1. Interest Rate Risk Management
  • Sources of interest rate risk in central bank portfolios
  • Yield curve analysis and scenario construction
  • Gap analysis and earnings-at-risk approaches
  • Duration matching and immunization techniques
  • Policy implications of interest rate shocks
  1. Foreign Exchange (FX) Risk Assessment and Mitigation
  • Central bank exposure to FX volatility
  • Exchange rate regimes and their impact on risk
  • Hedging tools: forwards, options, and swaps
  • Real vs. nominal exchange rate risk
  • Stress testing for FX reserves
  1. Stress Testing and Scenario Analysis
  • Building macroeconomic stress scenarios
  • Reverse stress testing techniques
  • Integrating stress test results into risk decision-making
  • Interpreting tail-risk events
  • Supervisory stress testing mandates
  1. Market Risk Governance and Internal Controls
  • Defining roles and responsibilities in risk oversight
  • Risk committees and escalation protocols
  • Internal audit of market risk practices
  • Risk appetite frameworks
  • Integration with enterprise risk management (ERM)
  1. Risk Reporting and Communication
  • Designing effective market risk dashboards
  • Key Risk Indicators (KRIs) and reporting frequency
  • Communication of risk exposures to policy makers
  • Data visualization tools and reporting platforms
  • Regulatory disclosures and transparency
  1. Case Studies and Simulations in Market Risk Management
  • Real-world case studies from central banks
  • Hands-on risk analytics simulations
  • Group exercises on asset allocation under risk constraints
  • Lessons learned from financial crises
  • Peer review and collaborative problem solving

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 Measurement And Management In Central Banks Training Course in Niger
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