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Board of Governors of the Federal Reserve System
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Board of Governors of the Federal Reserve System

International Training and Assistance (ITA)
for Bank Supervisors

Market Risk Analysis SeminarFederal Reserve System Courses

Type of Participant Targeted

The Market Risk Analysis Seminar (MRAS) is a course designed for individuals with one to three years of supervision and regulation experience. The curriculum is designed to provide the basic set of examination skills needed to understand and provide supervisory oversight of market risk inherent in a financial institution's trading book and overall balance sheet. The typical participant will have experience with (1) bank examinations, (2) the analysis of financial institutions, and (3) the examination of investment portfolios and treasury activities during the examination or inspection of financial institutions.


Participants should be familiar with financial derivatives (futures, forwards, swaps, and options) and financial mathematics, including bond duration. They should also have a basic understanding of trading activities. Participants will receive a pre-seminar reading assignment, "Review of Basic Math and Financial Concepts," to determine their familiarity with the concepts covered. In addition, they will receive background papers on related topics as supplementary review materials.

Course Overview

MRAS provides an overview of market risk management with respect to both the trading portfolio and overall balance sheet. The course also covers related topics including counterparty credit risk and liquidity risk management. MRAS introduces market risk metrics, such as value-at-risk (VaR), earnings at risk, and economic value of equity, and illustrates a proper risk-management framework, including policies, limits, and internal controls. The course is a combination of lectures on technical risk management topics and short case studies that apply the concepts studied. Fully qualified participants will not require any pre-course study, although background papers on various subjects are provided if participants wish to review basic concepts.

Course Objectives

At the end of this one-week seminar, the participant will, at a minimum, be able to

  • Describe the elements of sound internal controls and risk management systems for a bank's trading book and banking book
  • Discuss investment and derivative products and understand the components of market risk that can be controlled through the use of on- and off-balance-sheet instruments
  • Describe market organization, regulation, and emerging issues in the derivatives market
  • Discuss the significance of credit risk management for trading activities
  • Describe the VaR method as it relates to trading activities and portfolio management
  • Discuss the tools commonly employed to identify, measure, monitor, and control balance sheet market risk and liquidity risk
  • Discuss the incentives for securitization, the major types of securitized assets, and the risks and regulatory considerations when a bank begins securitization activities
  • Describe the basic accounting concepts and methods for derivative instruments from an international accounting standards perspective

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Last update: February 2, 2017