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Description

Market Risk: Tracking Sensitivities, Setting Limits and Hedging

Steer a market exposure beyond a single VaR figure by using sensitivities and limits

  • 0.43 days — 3 h
  • In-person or virtual
  • Intermediate
  • Up to 6 participants

A market risk monitoring framework cannot be reduced to one summary indicator. Sensitivities by risk factor, net positions by maturity and stress tests each tell a different and sometimes contradictory story. When a limit is breached, the question becomes operational: who decides, and with which instrument.

Three hours online focused on management rather than calculation: building a coherent set of indicators, calibrating limits that carry real meaning, organising the alert chain and selecting hedging instruments suited to the exposure. This module complements the valuation measurement approach by taking the perspective of day-to-day steering.

Learning objectives

  • Build a set of indicators suited to the positions held
  • Interpret sensitivities by risk factor
  • Calibrate a framework of limits and alert thresholds
  • Organise the handling of a limit breach
  • Select a hedging instrument consistent with the exposure

What makes this programme different

A limits framework built step by step during the session
Stress scenarios worked through on realistic exposures
The alert and escalation chain formalised with participants

Programme

1Mapping Exposures

Knowing what you are sensitive to

  • Identify the risk factors carried by the positions
  • Read interest rate, foreign exchange and equity sensitivities
  • Build net positions by maturity
  • Spot basis risk and unstable correlations

2Limits, Thresholds and Alerts

Giving indicators operational weight

  • Define the types of limits and how they fit together
  • Calibrate thresholds against loss-bearing capacity
  • Organise the escalation of a breach
  • Document the decisions taken

3Managing and Hedging

From alert to decision

  • Choose between reducing the position and hedging it
  • Select the appropriate hedging instrument
  • Measure the effectiveness of the hedge put in place
  • Report to the risk committee

Who is it for

Market risk managers · portfolio managers · treasurers and internal controllers responsible for monitoring exposures.

Prerequisites

Familiarity with common market instruments and the main risk indicators.

Dates & locations

12 scheduled dates between November 2026 and December 2027. Seats are confirmed in the order enquiries are received.

November 2026

December 2026

January 2027

February 2027

March 2027

April 2027

May 2027

June 2027

September 2027

October 2027

November 2027

December 2027

None of these dates suit you? We open additional sessions on request, and any programme can be run privately for your team.

Practical details

Before the programme
Online positioning questionnaire. Your development objectives are shared with the trainer, who tailors the practical case studies to your context.
Teaching methods
Theoretical input, workshops and practical case studies. Digital course materials and method sheets provided.
Assessment
Multiple-choice tests and role-play exercises. Assessment of learning at the start and end of the programme, with immediate and 60-day follow-up evaluations.
After the programme
One year of access to the e-learning platform. Self-assessment of the skills acquired and a 30-day follow-up session with your trainer.
How to register
Registration online or on the basis of a quotation.
Lead time
11 working days after confirmation of registration.
Accessibility
Accessible to people of determination. Contact our accessibility coordinator to design a suitable solution: contact@mpf-academy.ae
Start dates
Rolling intake: in addition to the scheduled sessions, this programme can start on request.