Objectives On completion of this tutorial, you will be able to:

• Recognize how the measurement of market risk has evolved from crude measures such as notional amounts in the early days to sophisticated modeling techniques
• Identify the various market risk measures and their limitations, including beta, duration, convexity, option Greeks, Value at Risk (VaR), and expected shortfall (ES)

Tutorial Overview Accurate and reliable measurement of market risk enables banks to make decisions at a transactional, portfolio, and strategic level. It also provides evidence to regulators and other external stakeholders on the extent of a bank's risk exposures and how well they are being managed. But all market risk measures have their limitations. This tutorial describes these measures in detail and looks at the issues associated with their usage. Prerequisite Knowledge Market Risk - An Introduction Tutorial Level: Intermediate Tutorial Duration: 60 minutes