EduMarkets Market Risk

Portfolios built across the platform (bonds, swaps, options, and CDS) come into one place for risk analysis. The module covers Value at Risk under Monte Carlo, Expected Shortfall for the tail, stress tests against historical and hypothetical scenarios, and sensitivities to the factors that drive the portfolio. Aggregation runs across asset classes, so a hedge in one book offsets exposure in another where the risk factors overlap.

Handbook chapters

  1. Introduction to Risk
  2. Value at Risk (VaR)
  3. VaR Methods
  4. Expected Shortfall
  5. Horizon Scaling
  6. Historical Simulation
  7. Full Revaluation
  8. Portfolio Decomposition
  9. Stress Testing
  10. VaR Validation
  11. Model Risk Management
  12. Risks Not In VaR (RNiV)
  13. Basis Risks
  14. Crowding & Herding Risk

Tools and exercises

  • Portfolio
  • VaR & ES
  • Stress Testing
  • VaR Validation
  • FRTB
  • Exercises
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