Risk Management: Market Risk for Banks

In today’s dynamic financial environment, banks are increasingly exposed to fluctuations in interest rates, exchange rates, equity prices, and commodity values - collectively known as market risks. Effective market risk management is essential to safeguard a bank’s financial stability, ensure regulatory compliance, and maintain investor confidence. This course provides banking professionals with the foundational knowledge and practical tools to identify, measure, monitor, and manage market risk. Participants will gain insights into key risk metrics, regulatory requirements, and will gain a global overview of the main mitigation strategies, preparing them to make informed decisions in a volatile market landscape and to align with regulatory expectations.

By the end of this course, participants will be able to:

• Understand market risk: Identify and define the main types of market risk (interest rate, currency, equity, and commodity risks) and their impact on banking operations

• Measure market risk: Learn quantitative tools such as Value at Risk (VaR), stress testing, and scenario analysis to assess market risk exposure

• Understand the main approaches for market risk mitigation: Explore strategies to hedge or reduce market risk using financial instruments like derivatives

• Explore the regulatory guidelines and techniques for the main market risk related reports: (e.g., IRRBB, CSRBB, Basel III/IV) and their implications for capital and risk management

• Introduction to Market Risk
• Overview on Risk Measurement Techniques
• Risk Mitigation Techniques Deep dive on IRRBB (Interest rate risk on the Banking Book)
• Capital Requirement related to Market Risk: deep dive on FRTB (Fundamental Review of the Trading Book)
• Governance around Market Risk

Banking professionals with 5 years + of experience in the financial industry, graduates with financial risk management academic background wishing to explore market risk management methodologies in financial institutions.

It is possible to include a final exam at the end of this training course.