Market Risk For Actuaries (Exams SP9/CM2/CP1)

For the Actuarial Students

• This course is designed for actuaries writing exam: SP9/CM2/CP1.

• It is theoretical in nature and designed to introduce a student to the material.

• It is not a substitute for studying, rather a supplement.

Introduction

• Risk is defined as the consequences resulting from uncertainty.

• Market Risk is defined as the unexpected changes in an assets price.

Content

• Part 1 is an introduction to Risk and looks at the mathematical properties of risk measures.

• Part 2 is about being aware of Market Risk

• Part 3 is about identifying Market Risk and its sources of uncertainty.

• Part 4 is about the models used to assess Market Risk

• Part 5 is about managing Market Risk and going beyond just hedging and derivatives.

• Part 6 is about monitoring Market Risk with the Sharpe and Sortino Ratios

• Part 7 is about how Black Scholes can be used to calculate an Implied Volatility for Market Risk Models