The Market Risk Analytics Validation Playbook

Description

What is the The Market Risk Analytics Validation Playbook course about?

Build the validation, attribution and client-readable evidence pack that defends every market risk number you publish to portfolio-manager clients. The VaR figure is the easy part. The hard part is defending why it moved, which factors drove it, and which positions contributed, in a 20-minute call with a portfolio manager who has another vendor's numbers on a second screen. Includes a hand-built.

What does the The Market Risk Analytics Validation Playbook cover on the Market Risk Analytics Validation Playbook?

Why this course?

What do you take away from the The Market Risk Analytics Validation Playbook course?

Own the validation evidence pack for every market risk number your desk publishes, with back-testing, factor coverage and attribution structured for client review. Walk a sophisticated portfolio-manager client through factor model coverage, ex-ante to ex-post variance and exceedance handling without deferring to research. Design and document stress and reverse-stress scenarios that survive a buy-side risk committee question on assumptions and severity calibration.

What you get with this course?

Twelve written modules covering factor validation, attribution, stress, liquidity, IM/SIMM, FRTB-IMA, model change governance and client defence. A factor coverage register and gap workbook. A back-testing log template with exceedance commentary structure. An ex-ante to ex-post variance attribution worksheet with worked multi-asset example. A stress and reverse-stress scenario library across rates, credit, equity and FX. A SIMM tie-out workbook and counterparty dispute.

What you will have in hand by Day 1, Week 1, Month 1?

Within 24 hours your account in the learning environment is provisioned and the tailored implementation playbook is delivered alongside it. Weeks one to two cover modules one to four, focused on factor coverage, back-testing and ex-ante to ex-post attribution. Weeks three to four cover modules five to eight, focused on stress, liquidity, SIMM and FRTB-IMA evidence. Weeks five to six cover modules.

What does the The Market Risk Analytics Validation Playbook cover on before and after?

You publish the numbers, you can run the calculations, and you can answer most client questions when they arrive. But when a sophisticated PM on a bake-off starts asking about residual factor risk, exceedance categorisation or reverse-stress assumptions, the call gets escalated to research and the relationship feels one degree less owned by you. You own the validation evidence stack behind every.

What happens if you do not address this?

Buy-side clients are running side-by-side analytics evaluations more often as portfolio complexity rises and as their own internal model risk governance gets tighter. The vendor analyst who cannot defend factor coverage, attribution and stress design from first principles loses the renewal to the one who can, even when the underlying calculation is identical. The skill you build here is the difference between.

More answers: what you get with every course, refund policy, all help answers.

A focused course, tailored for you

The Market Risk Analytics Validation Playbook

Build the validation, attribution and client-readable evidence pack that defends every market risk number you publish to portfolio-manager clients.

The VaR figure is the easy part. The hard part is defending why it moved, which factors drove it, and which positions contributed, in a 20-minute call with a portfolio manager who has another vendor's numbers on a second screen.

$199 one-time

Tailored to your situation. Access within 24 hours. 30-day money-back.

Includes a hand-built implementation playbook delivered alongside course access, generated for your specific situation.

Why this course

Market risk analytics that ship to external clients sit in a different category from internal risk reporting. A buy-side PM does not just want a daily VaR file. They want the factor model coverage list, the residual contribution chart, the back-testing exceedance log, the ex-ante to ex-post variance bridge, and a written explanation of any methodology change since the last quarter. When two vendors are on a bake-off, the one whose analyst can sit in a call and walk through factor coverage, attribution and stress design from first principles wins the renewal. That defence is not a slide deck. It is a body of validation evidence built up over weeks, kept current, and rehearsed. This course gives you the structure to build that evidence, the templates to deliver it, and the calm to talk through it when a sophisticated client is probing for weaknesses.

What you walk away with

Own the validation evidence pack for every market risk number your desk publishes, with back-testing, factor coverage and attribution structured for client review.
Walk a sophisticated portfolio-manager client through factor model coverage, ex-ante to ex-post variance and exceedance handling without deferring to research.
Design and document stress and reverse-stress scenarios that survive a buy-side risk committee question on assumptions and severity calibration.
Produce a one-page client-facing risk note for any model change, methodology shift or notable exceedance that closes the question before the call.
Tie market risk output to IM, SIMM, FRTB-IMA and PRA SS 1/23 expectations cleanly enough that the same evidence serves the regulator and the client.

The 12 modules

Module 1. What a market risk analytics defence actually contains

Maps the full evidence stack a sophisticated client expects when they question a VaR or ES number. Factor coverage register, back-testing log, exceedance commentary, methodology change log, residual attribution, scenario library and the supporting governance. Sets the standard the rest of the course builds toward, with a worked example of an evidence pack from a fixed-income multi-asset book.

Module 2. Factor model coverage and the residual problem

Walks through how to inventory the factors that drive your client's portfolio, what coverage proof looks like for equity, rates, credit, FX and commodity exposures, and how to handle residual risk that no factor explains. Includes a coverage gap workbook that flags when a new structured position has broken the model and demands explicit residual treatment before the next client report.

Module 3. Back-testing under Basel and under client scrutiny

Builds the back-testing log a client can read. Daily P&L versus VaR, clean versus dirty P&L treatment, exceedance categorisation, traffic-light status by horizon and the difference between Basel traffic lights and what a buy-side client actually cares about. Includes a template for the exceedance commentary that turns a bad day into a confident written explanation.

Module 4. Ex-ante to ex-post variance attribution

The single most asked client question is why this month's realised volatility differs from last month's predicted volatility. Module covers the bridge analytics that decompose the gap into factor moves, position changes, correlation shifts and residual, with a worked attribution on a multi-asset portfolio and a one-page client narrative format.

Module 5. Stress and reverse-stress design beyond regulator templates

Covers historical, hypothetical and reverse-stress scenario construction that survives a serious risk committee. Stress narrative writing, severity calibration against historical episodes, factor co-movement assumptions, liquidity adjustment and tail dependency. Includes a scenario library starter pack across rates shocks, credit widening, equity gap-down and FX dislocation.

Module 6. Liquidity-adjusted VaR and the gap from theoretical risk

Walks through liquidity horizons, bid-ask widening, position-size impact and the difference between an idealised VaR and a number that respects what the desk could actually unwind. Covers LVaR methodology, capacity assumptions and the documentation a client needs to see when liquidity adjustment changes the headline number materially.

Module 7. IM, SIMM and the bilateral margining tie-out

Many market risk outputs feed initial margin and SIMM calculations for non-cleared derivatives. Module covers SIMM bucketing, sensitivity inputs, the AANA threshold logic, dispute resolution arithmetic and the reconciliation evidence both sides of a trade expect. Includes a sample SIMM tie-out workbook and a counterparty dispute response template.

Module 8. FRTB-IMA evidence design for bank clients

For analytics consumed by bank clients running internal-model approval, covers the evidence FRTB-IMA model approval requires: P&L attribution test logic, expected shortfall calibration, non-modellable risk factor treatment, liquidity horizon bucketing and the documentation pack that an internal audit team will demand. Avoids regulator jargon in favour of practical worked examples.

Module 9. Model change governance the client can audit

Any methodology change, parameter recalibration or new factor introduction needs a paper trail a client can audit. Module covers change classification, approval routing, parallel-run evidence, client notification timing and the public-facing change log. Includes a methodology change note template and a one-page client communication that pre-empts the inevitable inbound question.

Module 10. The PRA SS 1/23 and SR 11-7 read-across for analytics vendors

Buy-side clients increasingly ask their analytics vendors to evidence model risk management consistent with PRA SS 1/23 and US SR 11-7 even when the vendor itself is not regulated. Module covers model inventory, tiering, independent validation expectations, ongoing performance monitoring and the documentation that lets the client tick the box internally without you reorganising your operation.

Module 11. Writing the one-page client risk note

Most client churn risk on analytics deals is not the calculation. It is silence after an unusual move. Module covers the structure of a one-page note that explains what happened, why it happened, what it means for the client portfolio and what changes if anything in the methodology. Includes five worked examples across an exceedance day, a stress regime shift, a factor coverage gap and a methodology change.

Module 12. Defending the number in a live client call

Closes the course with the call itself. How to prepare a 20-minute methodology defence, how to handle a side-by-side vendor comparison without dismissing the other vendor, how to answer a sceptical quant on the client side and how to close with a clear next step. Includes a rehearsal script, a question bank and a debrief template that turns each client interaction into a learning record.

How this addresses your situation

Specific modules that map to what you said you are dealing with.

PM calls in asking why ex-post realised vol diverged from the ex-ante number for the third month running.

A bank client preparing FRTB-IMA submission asks for the evidence pack on factor coverage and non-modellable risk factor treatment.

SIMM bilateral margining dispute between two counterparties using the same analytics, needing a tie-out within 48 hours.

Risk committee at a buy-side client asks for a reverse-stress scenario where the portfolio fails, with severity calibration evidence.

What you get with this course

Twelve written modules covering factor validation, attribution, stress, liquidity, IM/SIMM, FRTB-IMA, model change governance and client defence.
A factor coverage register and gap workbook.
A back-testing log template with exceedance commentary structure.
An ex-ante to ex-post variance attribution worksheet with worked multi-asset example.
A stress and reverse-stress scenario library across rates, credit, equity and FX.
A SIMM tie-out workbook and counterparty dispute response template.
A FRTB-IMA evidence pack outline.
A model change note template and one-page client communication format.
Five worked one-page client risk notes covering exceedance, regime shift, coverage gap and methodology change.
A live client call preparation script, question bank and post-call debrief template.
The hand-built implementation playbook tailored to your client mix and asset class coverage.

What you will have in hand by Day 1, Week 1, Month 1

Within 24 hours your account in the learning environment is provisioned and the tailored implementation playbook is delivered alongside it.

Weeks one to two cover modules one to four, focused on factor coverage, back-testing and ex-ante to ex-post attribution.

Weeks three to four cover modules five to eight, focused on stress, liquidity, SIMM and FRTB-IMA evidence.

Weeks five to six cover modules nine to twelve, focused on model change governance, the PRA SS 1/23 read-across, client notes and the live call defence.

Self-paced throughout with the implementation playbook available for reference work from day one.

Before and after

Before

After

You own the validation evidence stack behind every number your desk publishes. The PM call about residual factor risk lands on your desk and stays there. The bake-off conversation closes with the client thanking you for walking them through coverage and attribution. The model change note goes out before the inbound question. The methodology defence is something you can do calmly in 20 minutes.

What happens if you do not address this

Who it is for

A market risk analytics professional working at a vendor or in-house quant function who publishes risk numbers, attribution and stress results to portfolio managers, risk committees or regulators, and who has to defend those numbers to sophisticated external audiences without leaning on engineering or research to translate for them.

Who this is NOT for. Pure quant researchers who build factor models but never face clients, junior analysts who only run pre-built reports without owning the methodology, and anyone whose work is exclusively credit or operational risk rather than market risk.

How it arrives

Text-based course in the Art of Service learning environment, plus downloadable templates and worked examples for every module, plus the hand-built implementation playbook delivered alongside course access.

Time investment. Six to eight hours per week for six weeks, or compressed to a focused two-week sprint, depending on how much immediate client-call pressure you are managing.

Why $199 is the right number

Vendor-led FRM curriculum gives you the textbook foundation but does not give you the artefact templates a client expects, and CFA-IR coursework is positioned at the PM rather than at the analyst defending the methodology. Internal training inside an analytics vendor tends to teach the calculation rather than the client-facing defence. This course sits in the gap, focused on the evidence pack and the live defence rather than on first-principles derivation.

FAQ

Is this written for vendor-side analysts or buy-side analysts?

Both. The angle is whoever has to defend a market risk number to a sophisticated audience that may have another vendor or another methodology on the second screen. The templates work either way.

Does it cover credit risk and operational risk?

No. It is specifically about market risk analytics: factor models, VaR, ES, stress, SIMM, FRTB-IMA. Credit and operational risk are a different evidence stack.

How current is the FRTB-IMA material given ongoing rulemaking shifts?

The course covers the structure of the evidence pack the rules require rather than the rule text itself, which means the templates remain useful even as transposition timelines shift in different jurisdictions.

Will I get help adapting templates to my actual portfolio mix?

Yes. The hand-built implementation playbook delivered alongside the course is tailored to your asset class mix and client type, so the templates land already adjusted for what you ship.

30-day money-back guarantee. If after a week of working through the materials this is not what you needed, reply to the receipt email and a full refund is processed. No questions, no forms.

Within 24 hours your account in the learning environment is provisioned and the tailored implementation playbook is delivered alongside it.