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Value at Risk (VaR) - The Central Concept

What is VaR?

FFM Concrete Example: Daily VaR

Drawdown - The Cumulative Loss

Simple Definition of Drawdown

FFM Concrete Example: Drawdown Scenario

Stress Tests - Simulating the Extreme

Principle and Method of Stress Tests

The 5 FFM Scenarios Explained

Liquidity Risk - Being Able to Sell

Two Dimensions of Liquidity

FFM's Liquidity Tier System

The Open Interest (OI) Limit Explained Simply

Concentration Risk - Preventing Over-Exposure

FFM's Concentration Limits

Concrete Example: Concentration Calculation

Risk Reporting Cycle and Overview

Risk Reporting Cycle: Who Does What, When

Summary Table: Overview of FFM Risks

What You Must Know by Heart for FINMA

Knowledge Checks

Quiz 1: Value at Risk Fundamentals

Quiz 2: Understanding Drawdown

Quiz 3: Simulating the Extreme

Quiz 4: Assessing Liquidity

Quiz 5: Managing Concentration

Welcome to 'FFM Risk Management: VaR, Stress Testing, and Portfolio Limits,' the definitive course designed to equip financial professionals with the essential tools to navigate and mitigate market risks. In today's volatile financial landscape, understanding how to protect a portfolio from excessive losses is paramount.

Welcome to 'FFM Risk Management: VaR, Stress Testing, and Portfolio Limits,' the definitive course designed to equip financial professionals with the essential tools to navigate and mitigate market risks. In today's volatile financial landscape, understanding how to protect a portfolio from excessive losses is paramount. This comprehensive course dives deep into the core pillars of financial risk management, specifically tailored around FFM's robust frameworks. You will start by mastering Value at Risk (VaR), the central concept for identifying potential daily losses, before moving on to tracking cumulative losses through Drawdown analysis. We don't just stop at theory; you will explore concrete FFM examples and realistic scenarios to see these concepts in action. Furthermore, the course covers critical Stress Testing methodologies, simulating extreme market conditions like the 2008 Financial Crisis and the LME Nickel Squeeze. You will also learn how to assess Liquidity Risk using FFM's Liquidity Tier System and Open Interest (OI) limits, ensuring you can always exit positions when necessary. Finally, we will tackle Concentration Risk to prevent over-exposure and review the complete Risk Reporting Cycle, including essential FINMA compliance requirements. Whether you are a risk analyst, portfolio manager, or compliance officer, this course provides the practical knowledge and rigorous testing needed to safeguard your firm's assets.

FFM Risk Management: VaR, Stress Testing, and Portfolio Limits

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            <p>Effective financial management requires a robust framework to identify and mitigate potential losses before they jeopardize a portfolio's stability. This course explores the fundamental metrics used by FFM to quantify market exposure, beginning with Value at Risk (VaR) as the central concept for predicting potential financial losses under normal market conditions. Beyond instantaneous risk, we will examine the mechanics of Drawdown to understand cumulative losses from historical peaks, providing a comprehensive view of portfolio health and the protective measures necessary to navigate daily market volatility.</p>

<p>Moving beyond standard metrics, the curriculum delves into simulating extreme market conditions through rigorous Stress Testing, utilizing historical scenarios such as the 2008 Financial Crisis and the LME Nickel Squeeze to prepare for systemic shocks. Participants will also analyze the critical dimensions of liquidity risk—ensuring assets can be sold when necessary through a tiered liquidity system—and the strategic application of concentration limits to prevent over-exposure to single assets. Finally, the course outlines the daily risk reporting cycle and the essential indicators required for FINMA compliance, ensuring that risk management is maintained as a disciplined operational standard and a regulatory priority.</p>
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