MATLAB and Simulink Training

Market Risk Management with MATLAB

This one-day course provides a comprehensive introduction to market risk management using MATLAB® and computational finance toolboxes. The course is intended for risk analysts, risk managers, portfolio managers, and other financial professionals with prior experience of MATLAB who require to analyze, assess, and manage market risk. The course uses examples from market risk, although the techniques demonstrated are applicable in most risk areas, including liquidity, interest-rate and operational risk. High-level course themes include:

  • Constructing baselines for market risk assessment and analysis
  • Assessing the impact of market risk and relative portfolio performance
  • Portfolio backtesting and computing commonly used risk metrics
  • Parametric and non-parametric market risk models
  • Monte Carlo simulation and analysis
  • Volatility risk and the SABR model
  • Creating and analyzing GARCH risk-oriented models
  • Extreme-value theory, copulas and filtered historical simulation
  • Value at risk backtesting

See detailed course outline

Course Schedule

Prerequisites

MATLAB for Financial Applications and knowledge of risk management concepts

This program has been approved by GARP and qualifies for 7 GARP CPD credit hours.  If you are a Certified FRM or ERP, please record this activity in your credit tracker at http://www.garp.org/cpd


MATLAB and Simulink Course Schedule

There are currently no scheduled classes for this course.