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Master Market Risk, VaR & Interest Rate Models

EDUCBA via Coursera

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Overview

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Master market risk measurement, VaR, and financial models used by top risk professionals. Learn how to apply real-world risk frameworks and excel in FRM II. This course provides a comprehensive, practical approach to market risk measurement and management, covering key concepts such as Value at Risk (VaR), Expected Shortfall, correlation modeling, and hedging strategies. You will explore advanced topics including interest rate models, fixed income valuation, volatility modeling, and option pricing using Black-Scholes and binomial trees. Designed for finance professionals and FRM candidates, this course bridges the gap between theory and real-world application. You will learn how to analyze portfolio risk, implement hedging techniques, and evaluate financial models used in modern risk management. By the end of this course, you will be able to confidently apply market risk frameworks, interpret model outputs, and understand regulatory requirements such as the Internal Model Approach (IMA). Whether you're preparing for the FRM exam or advancing your career in finance, this course equips you with industry-relevant skills.

Syllabus

  • Foundations of Market Risk Measurement
    • Develop foundational knowledge of market risk, VaR methodologies, Expected Shortfall, and model validation techniques for practical risk measurement.
  • VaR Applications & Model Validation
    • Analyze VaR implementation, backtesting frameworks, and correlation dynamics to improve portfolio risk assessment and diversification strategies.
  • Correlation & Hedging Strategies
    • Apply correlation modeling and hedging techniques including DV01 and regression-based methods to manage interest rate and portfolio risk.
  • Interest Rate Models & Valuation
    • Evaluate interest rate dynamics, binomial trees, and valuation techniques for bonds, swaps, and interest rate derivatives.
  • Advanced Modeling & Derivatives
    • Explore advanced financial models including Vasicek, lognormal models, and option pricing frameworks for accurate risk and valuation analysis.
  • Volatility, Markets & Regulatory Framework
    • Understand volatility structures, option market behavior, and regulatory frameworks shaping modern market risk management.

Taught by

EDUCBA

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