Master Market Risk, VaR & Interest Rate Models

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Master Market Risk, VaR & Interest Rate Models

This course is part of Credit, Market & Liquidity Risk Specialization

Instructor: EDUCBA

Included with

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6 modules

Gain insight into a topic and learn the fundamentals.

1 week to complete

at 10 hours a week

Flexible schedule

Learn at your own pace

6 modules

Gain insight into a topic and learn the fundamentals.

1 week to complete

at 10 hours a week

Flexible schedule

Learn at your own pace

What you'll learn

Apply VaR, Expected Shortfall, and market risk models to measure portfolio risk effectively.
Analyze interest rate, fixed income, volatility, and option pricing models for risk management.
Evaluate hedging strategies, regulatory frameworks, and financial model outputs in practice.

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This course is part of the Credit, Market & Liquidity Risk Specialization

When you enroll in this course, you'll also be enrolled in this Specialization.

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There are 6 modules in this course

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.

Develop foundational knowledge of market risk, VaR methodologies, Expected Shortfall, and model validation techniques for practical risk measurement.

What's included

8 videos4 assignments

8 videosTotal 52 minutes

Introduction to Course7 minutes
Learning Objective7 minutes
Paramedic Estimation Approaches5 minutes
Example 110 minutes
Expected Shortfall7 minutes
Non-Paramedic Approaches7 minutes
Two-Non-Paramedic Approaches2 minutes
Back testing VaR7 minutes

4 assignmentsTotal 60 minutes

Course Orientation & Objectives10 minutes
Parametric Risk Measurement10 minutes
Non-Parametric Methods & Backtesting10 minutes
Foundations of Market Risk Measurement30 minutes

Analyze VaR implementation, backtesting frameworks, and correlation dynamics to improve portfolio risk assessment and diversification strategies.

What's included

8 videos4 assignments

8 videosTotal 68 minutes

Back testing VaR Continue7 minutes
VaR Mapping8 minutes
VaR Mapping Continue7 minutes
Academic literature8 minutes
Correlation Basics Part 111 minutes
Correlation Swap Payoff13 minutes
Correlation & Default Risk Example8 minutes
Correlation in Financial Crisis8 minutes

4 assignmentsTotal 60 minutes

Backtesting & Mapping Techniques10 minutes
Theory & Research Foundations10 minutes
Correlation in Practice10 minutes
VaR Applications & Model Validation30 minutes

Apply correlation modeling and hedging techniques including DV01 and regression-based methods to manage interest rate and portfolio risk.

What's included

7 videos4 assignments

7 videosTotal 48 minutes

Empirical Properties of Correlation11 minutes
Correlation Modelling4 minutes
DV01 Hedging Basics7 minutes
DV01 Hedge Calculation7 minutes
Yield Regression Hedging5 minutes
Interest Rate Trees Basics5 minutes
Binomial Tree Bond Valuation9 minutes

4 assignmentsTotal 60 minutes

Advanced Correlation Insights10 minutes
Hedging Fundamentals10 minutes
Regression-Based Hedging10 minutes
Correlation & Hedging Strategies30 minutes

Evaluate interest rate dynamics, binomial trees, and valuation techniques for bonds, swaps, and interest rate derivatives.

What's included

8 videos4 assignments

8 videosTotal 60 minutes

Option Valuation on Bonds8 minutes
Discounting & Node Valuation8 minutes
Non-Recombining Trees & Volatility8 minutes
Swap Valuation Using Trees5 minutes
Black-Scholes for Fixed Income5 minutes
Parametric EVT12 minutes
Basis of Future Interest Rate8 minutes
Interest Rate Volatility6 minutes

4 assignmentsTotal 60 minutes

Bond & Option Valuation10 minutes
Advanced Tree Models10 minutes
Extreme Value & Interest Rate Concepts10 minutes
Interest Rate Models & Valuation30 minutes

Explore advanced financial models including Vasicek, lognormal models, and option pricing frameworks for accurate risk and valuation analysis.

What's included

8 videos4 assignments

8 videosTotal 70 minutes

Example of Demonstrate Jensen's Inequality8 minutes
Model 1 and Model 2 Effectiveness9 minutes
Term Structure Model with No Drift10 minutes
Arbitrage Free Model and Equilibrium Models6 minutes
Vacisek Model11 minutes
Time Depent Volatility12 minutes
Lognormal Model6 minutes
Put Call Parity8 minutes

4 assignmentsTotal 60 minutes

Mathematical Foundations10 minutes
Term Structure & Interest Rate Models10 minutes
Volatility & Distribution Models10 minutes
Advanced Modeling & Derivatives30 minutes

Understand volatility structures, option market behavior, and regulatory frameworks shaping modern market risk management.

What's included

7 videos4 assignments

7 videosTotal 60 minutes

Example of Put Call Parity12 minutes
Volatility Smiles6 minutes
Volatility Smiles for Equity Options7 minutes
Volatility Term Strucre6 minutes
History of Trading Book11 minutes
Revised Internal Model Approach9 minutes
Solving Trading and Banking Book Issue9 minutes

4 assignmentsTotal 60 minutes

Options & Volatility Concepts10 minutes
Volatility Structure & Market Evolution10 minutes
Regulatory Developments in Market Risk10 minutes
Volatility, Markets & Regulatory Framework30 minutes

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Instructor

EDUCBA

1,533 Courses318,998 learners

Offered by

EDUCBA

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