Market Risk Management and VaR Models Masterclass
Identify, measure and mitigate market risk with VaR done honestly — its calculation approaches, its blind spots, and the scenario tools that reach beyond it.
Format
Classroom · Virtual
Upcoming sessions
Pick a session to applyADMISSIONS OPENThe programme
VaR is indispensable and misleading in equal measure — it summarises portfolio risk in one number and hides illiquid assets, specific risk factors and changing market conditions behind it. This hands-on masterclass works through identifying, measuring and mitigating market risk across interest rate, currency, equity and commodity exposures. Participants cover the basic control processes that catch problems early — valuation, P&L monitoring, limit setting and organisational culture — then the modelling toolkit: returns processes, sensitivities to market moves, position aggregation, correlation and diversification effects, and VaR’s calculation approaches alongside its shortcomings. Scenario analysis, stress testing, back-testing with hypothesis testing and extreme value theory, derivative-implied signals and fund-management risk complete the picture.
What you will do
Who attends
- CROs, CFOs and heads of trading businesses
- Market risk management, auditing and model validation teams
- Treasury, trading desk heads and quantitative analytics
- Enterprise risk, capital management and internal audit
Programme agenda
Built for the decisions no textbook prepares you for
I.The market risk landscape
- Interest rate, currency, equity and commodity risk
- The market after the GFC and quantitative easing
- Risk management versus other financial activities
II.Controls and tools
- Valuation, P&L monitoring and limit setting
- Returns processes and sensitivities to market moves
- Arbitrage principles for pricing and risk assessment
III.VaR and its limits
- VaR calculation approaches
- Shortcomings: specific risk factors, illiquidity, changing conditions
- Portfolio aggregation, correlation and diversification
IV.Beyond VaR
- Scenario analysis and stress testing
- Back-testing, hypothesis testing and extreme value theory
- Derivative-implied signals and fund-management risk
Frequently asked
Does this course go beyond VaR?
Deliberately so. VaR is treated as indispensable and misleading in equal measure: participants learn its main calculation approaches and its blind spots — specific risk factors, illiquid assets and changing market conditions — then reach beyond it with scenario analysis, stress testing, back-testing with hypothesis testing and extreme value theory, and derivative-implied signals.
Which market risk exposures are covered?
Interest rate, currency, equity and commodity exposures, together with the basic control processes that catch problems early — valuation, P&L monitoring, limit setting and organisational culture — and the modelling toolkit: returns processes, sensitivities, position aggregation, and correlation and diversification effects.
Who is the masterclass for, and how is it delivered?
CROs, CFOs and heads of trading businesses; market risk management, auditing and model validation teams; treasury, trading desk heads and quantitative analytics; and enterprise risk, capital management and internal audit. BIZENIUS delivers this hands-on programme in English and French, with in-house editions on request; sessions run on a rolling calendar and fees are provided on enquiry.
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In their words
Knowledge transfer, emphasised throughout
“We worked with BIZENIUS for our Fresh Graduates Programme — they are simply amazing. Knowledge transfer and practical learning were emphasised throughout.”
Kuwait Investment Authority
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Take the brochure with you.
One request — the full agenda, the faculty and the next cohort dates, sent personally by the admissions team.