This subject focuses on the management of market risk. It examines the concept of market risk management and details an institutional framework for understanding how risk arises and how it is managed. The subject examines the lessons from some of the most prominent financial disasters of the past thirty years, including the Global Financial Crisis (GFC). The subject considers an integrated framework for market risk management and examines value-at-risk (VaR), stress testing and control of model risk. The subject examines the common types of market risk and the instruments used to manage it: spot risk; forward risk; vanilla options risk; and exotic options risk. The subject focuses on the identification, measurement and mitigation of market risk.
This subject contributes to the risk management major.