Market Risk Management with MATLAB

This one-day course provides a comprehensive introduction to market risk management using MATLAB® and computational finance toolboxes. The course is intended for risk analysts, risk managers, portfolio managers, and other financial professionals with prior experience of MATLAB who require to analyse, assess, and manage market risk. The course uses examples from market risk, although the techniques demonstrated are applicable in most risk areas, including liquidity, interest rate, and operational risk.

High-level course themes include:

  • Constructing baselines for market risk assessment and analysis
  • Assessing the impact of market risk and relative portfolio performance
  • Portfolio backtesting and computing commonly used risk metrics
  • Parametric and nonparametric market risk models
  • Monte Carlo simulation and analysis
  • Creating volatility surfaces using nonparametric methods and the stochastic alpha beta rho (SABR) model
  • Creating and analysing generalised autoregressive conditional heteroscedastic (GARCH) risk-oriented models
  • Applying extreme-value theory, copulas and filtered historical simulation to assess market risk
  • Evaluating value-at-risk models by performing hypothesis tests and descriptive backtesting


Prerequisites: MATLAB for Financial Applications and knowledge of risk management concepts.

Download the course outline