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.
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45 Hours of Learning
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2.1K+ Learners
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25,000 (incl. GST)
Skills You Will Learn
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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:
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Self-paced
Modules -
Case studies
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Assessments
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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.
