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 · Live 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
Do these programmes cover the Basel III final reforms and the ICAAP/ILAAP cycle?
Yes. The BIZENIUS banking curriculum is built around the Basel III endgame, ICAAP, ILAAP, IRRBB, IFRS 9 provisioning, stress testing and BCBS 239. Participants leave able to quantify the output floor on their own portfolios, write capital and liquidity documents that withstand supervisory review, and defend the numbers to their board.
Are the programmes adapted to regional supervisors such as SAMA, CBUAE or BCEAO?
Casework is built around supervisory documents rather than textbook theory, and faculty include former practitioners who have sat on both sides of an examination. Programmes address the questions SAMA, CBUAE, BCEAO and other home regulators actually put to the desk, and an in-house edition can be tailored to a single jurisdiction.
How do I secure a seat on a banking programme?
Apply for a seat or request the brochure from the programme page. A senior practitioner — not a sales team — responds within one business day, and the brochure arrives with that reply. BIZENIUS runs on enquiry: there is no online checkout.
Can a programme run in-house for our bank?
Every BIZENIUS programme can be delivered in-house, tailored to your balance sheet, your regulator and your data, in English or French. Many institutions start with an open cohort, then commission a private edition for the wider team.
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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
From the Mandate Record
Mandate № 01 · Africa
The training programme that became national regulation
What the team mastered, the regulator wrote into the rulebook.
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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.