Market Risk - Advanced

 
  • Price: US$ 100.00
  • Publisher: KESDEE
  • Number of modules: 4
  • Length: 8 hours
  • Language: English
  • Subscription: 12 months
whats-included

A Library of 4 courses
See our Advanced Market Risk course brochure.
 
 

Advanced tools for Experienced Traders and Analysts

Market Risk - Advanced is made up of four modules of 1 - 2 hours each.

1. Description of Advanced VaR models

  • New forms of VaR
  • DelVaR
  • Advances in Monte Carlo Simulation
  • Variance Reduction Techniques in Monte Carlo Simulation

2. Advanced Measuring Volatility and Correlation

  • Advanced Volatility Models
  • Advanced Correlation Models

3. Advanced Scenario Analysis and Stress Tests

  • Aggregate Stress Tests
  • Maximum Loss Approach
  • Extreme Value Theory
  • Systematic Testing

4. Risk Adjusted Performance Measurement

  • Measuring Risk Capital
  • Capital Allocation