Start a conversation ↗

Description

Market Risk: Measuring Exposures, Calibrating VaR and Managing Limits

Measure market exposures and maintain a limits framework that holds up under stress

  • 2 days — 14 h
  • In-person or virtual
  • Expert
  • Up to 6 participants

Market risk indicators are often produced without ever being challenged. Value at risk is published every morning, yet the model assumptions are no longer questioned. Limit breaches are cleared without analysis. The framework exists on paper and loses its early-warning value.

These two days are designed for practitioners. You revisit sensitivity measures by asset class. You compare value-at-risk calculation methods and the assumptions behind them. You build a backtesting programme and stress scenarios you can defend. Finally, you connect these measures to a limits system and an escalation governance structure.

Learning objectives

  • Calculate position sensitivities by risk factor
  • Compare value-at-risk calculation methods and their limitations
  • Build a backtesting programme and interpret its exceptions
  • Design stress scenarios suited to the portfolio
  • Structure a limits framework and its escalation procedure

What makes this programme different

Comparative VaR calculation using several approaches on a single portfolio
Construction of stress scenarios based on documented market episodes
Critical review of a risk dashboard brought by participants

Programme

1Risk Factors and Sensitivities

Knowing what drives the value of a position

  • Mapping risk factors
  • Interest rate, FX and equity sensitivities
  • Greeks of option positions
  • Aggregation and offsetting effects

2Value at Risk

A useful measure provided you know its assumptions

  • Historical and parametric approaches
  • Monte Carlo simulation
  • Horizon, confidence interval and aggregation
  • Limitations of the measure and complementary indicators

3Validation and Stress Testing

Testing the model against reality

  • Backtesting and analysis of exceptions
  • Building historical scenarios
  • Hypothetical scenarios and reverse stress testing
  • Liquidity and concentration risk

4Limits Framework and Governance

Turning measurement into decisions

  • Limit architecture by activity
  • Monitoring breaches and escalation
  • Reporting to committees and senior management
  • Alignment with ongoing controls

Who is it for

Risk managers and market risk controllers, as well as portfolio managers, trading desk staff and internal auditors involved in market activities.

Prerequisites

Practical familiarity with market instruments and a solid grounding in statistics.

Dates & locations

36 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.