Market Risk Management (MRM) Strategies for Success

Partner: Udemy
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Description: This is Unofficial Course.This course is a comprehensive journey into the world of market risk management, designed to equip learners with both the theoretical foundations and practical tools used by risk professionals in banks, investment firms, and regulatory environments. It begins with the core question of what market risk is, exploring its various types such as interest rate risk, foreign exchange risk, equity risk, commodity risk, and volatility risk, along with the instruments and trading activities that generate these exposures. From there, it builds a solid foundation in statistical and mathematical concepts such as returns, distributions, variance, volatility, covariance, and correlation, explaining how risks aggregate across instruments and why diversification is both a strength and a limitation when correlations break down.The course then dives deeply into the central methodologies of risk measurement, with a detailed exploration of Value at Risk (VaR) and its different calculation approaches including parametric, historical simulation, and Monte Carlo methods. It also covers the important concept of Expected Shortfall, highlighting its advantages as a coherent risk measure and its growing role in regulatory frameworks. Alongside this, learners will gain a strong grasp of volatility estimation techniques, time-series modeling with ARCH and GARCH families, and the implications of heavy-tailed return distributions on tail risk.Building on this quantitative foundation, the course introduces derivatives and options as key sources of market risk, explaining option payoffs and moneyness before moving to the Greeks—delta, gamma, vega, theta, and rho—as essential tools for measuring sensitivities and managing nonlinear risk exposures. Learners will understand how to apply linear and quadratic approximations to portfolio risk, as well as the limitations of such methods under stress.A full module is dedicated to stress testing
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Price: 19.99
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Source: Impact
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