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Description

Market Risk VaR and MTM: Valuation, Measurement and Interpretation

Understand what a VaR figure actually measures and what mark-to-market valuation reveals about a portfolio

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

VaR appears in every risk report, yet few stakeholders can state what lies behind it: which calculation method, which horizon, which confidence level and which historical data set. Mark-to-market valuation suffers the same fate, caught between observed prices and internal models. Discussions between the front office, risk control and senior management stall for want of shared definitions.

Three hours online to rebuild both concepts: the mechanics of mark-to-market valuation, VaR calculation methods and a critical reading of the figures produced. The module focuses on the limitations of the indicator and the controls that must accompany it, rather than on mathematical demonstration.

Learning objectives

  • Explain the principle of mark-to-market valuation and its price sources
  • Distinguish between VaR calculation methods and their underlying assumptions
  • Interpret a VaR figure in light of its horizon and confidence level
  • Identify the limitations of VaR and the indicators that complement it
  • Challenge a market risk report and the figures it presents

What makes this programme different

The three VaR calculation methods compared on a single portfolio
A critical reading exercise on anonymised risk reports
The distinction between observed prices and model-based valuation addressed explicitly

Programme

1Mark-to-Market Valuation

From price to result

  • Position mark to market within position monitoring
  • Identify price sources and assess their reliability
  • Distinguish valuation from observed prices and from models
  • Recognise common valuation adjustments

2Calculating a VaR

Three routes, one indicator

  • Set the horizon and confidence level parameters
  • Build a historical VaR
  • Apply a parametric VaR
  • Understand the simulation-based approach
  • Compare the results obtained

3Reading and Challenging the Figures

What VaR does not tell you

  • Identify the limitations of the indicator in stressed market conditions
  • Position back-testing and understand its role
  • Complement VaR with tail loss measures
  • Formulate the questions to put to the producer of the figure

Who is it for

Risk controllers, middle office analysts, internal auditors and compliance officers working on market portfolios.

Prerequisites

Familiarity with the main financial instruments and with basic statistical calculation.

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.