Investment Banker

Market Risk Modelling using Python

Overview

Master Python for advanced market risk modelling, covering VaR, expected shortfall, stress testing, and regulatory calculations under Basel 2.5 and FRTB for robust financial risk management.

  • 4 Hours 35 Hours of Learning
  • Learners 1.3K+ Learners
  • GST Derivatives 35,000 (incl. GST)

What You Will Learn

Build VaR models Perform portfolio simulations Apply backtesting methods Handle RNIV treatment Conduct stress testing Calculate Basel 2.5 metrics Implement FRTB IMA & SA

Skills You Will Learn

Skills
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    Python risk modelling

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    Portfolio VaR analysis

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    Model validation techniques

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    Regulatory calculation skills

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    Risk sensitivity analysis

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    Stress test design

Course Key Highlights

  • Develop multiple VaR models using Python libraries
  • Perform correlated Monte Carlo portfolio simulations
  • Backtest and validate risk models effectively
  • Apply RNIV treatment in market risk assessments
  • Conduct expected shortfall and stress testing scenarios
  • Calculate Basel 2.5 and FRTB IMA & SA metrics

Course Time

Includes:
  • Time

    Self-paced
    Modules

  • Time

    Case studies

  • Time

    Assessments

  • Time

    35 Hours of Learning

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FAQs

What programming language is used in this course?

Python is the primary tool for all risk modelling and regulatory calculations.

Will I learn different VaR modelling techniques?

Yes, the course covers parametric, historical, Monte Carlo, and EWMA HS models.

Does the course include regulatory frameworks?

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

Is Excel knowledge required for this course?

No, this program focuses entirely on Python-based modelling.

Are stress testing and RNIV covered?

Yes, both stress testing techniques and RNIV treatment are part of the curriculum.

Infra

Advance your career in market risk through applied Python-based modelling expertise.

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