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.
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35 Hours of Learning
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1.3K+ Learners
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35,000 (incl. GST)
Skills You Will Learn
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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:
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Self-paced
Modules -
Case studies
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Assessments
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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.
