Investment Banker

Market Risk Modelling using Excel

Overview

Gain practical expertise in Excel-based market risk modelling, from advanced VaR methods to Basel 2.5 and FRTB regulatory calculations. Learn to perform stress testing, sensitivity analysis, and backtesting for robust risk management.

  • 4 Hours 45 Hours of Learning
  • Learners 2.1K+ Learners
  • GST Derivatives 25,000 (incl. GST)

What You Will Learn

Apply advanced VaR models Perform portfolio VaR analysis Backtest and validate models Conduct stress testing Perform RNIV treatment Calculate Basel 2.5 metrics Implement FRTB calculations

Skills You Will Learn

Skills
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    VaR modelling techniques

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    Portfolio risk analysis

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    Regulatory calculation skills

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    Model validation methods

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    Stress testing design

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    Excel financial modelling

Course Key Highlights

  • Build and validate advanced VaR models in Excel
  • Apply correlated Monte Carlo simulations for portfolio risk
  • Perform comprehensive backtesting for model accuracy
  • Understand RNIV treatment in market risk frameworks
  • Design and run robust stress testing scenarios
  • Calculate Basel 2.5 and FRTB metrics in practice

Course Time

Includes:
  • Time

    Self-paced
    Modules

  • Time

    Case studies

  • Time

    Assessments

  • Time

    45 Hours of Learning

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FAQs

What tools are primarily used in this course?

The course is fully Excel-based, focusing on advanced market risk modelling techniques.

Does this course cover regulatory risk calculations?

Yes, it includes Basel 2.5 and FRTB SA & IMA calculations.

Will I learn multiple types of VaR models?

Yes, you will work with parametric, historical, Monte Carlo, and EWMA HS models.

Is prior knowledge of risk management required?

Familiarity with market risk concepts is helpful but not mandatory.

Familiarity with market risk concepts is helpful but not mandatory.

Yes, it covers backtesting and model validation techniques.

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Advance your market risk expertise with hands-on Excel modelling and global best practices.

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