Market Risk - Intermediate

 
  • Price: US$ 150.00
  • Publisher: KESDEE
  • Number of modules: 8
  • Length: 16 hours
  • Language: English
  • Subscription: 12 months
whats-included

Learn Back Testing, Stress Testing, and Detailed VaR Techniques

 
 

1. Emerging Market Risk

  • Emerging Market Risks
  • Measuring Emerging Market Risk
  • Supervision in Emerging Market


2. Market Risk Models

  • Parametric Models
  • Historical Simulation Models
  • Monte Carlo Simulation Models
  • Value at Risk Implementation


3. Stress Testing

  • Need for Stress Testing
  • Incorporating into Market Risk Models
  • Implementation
  • Evaluating Stress Tests


4. Supervisory Requirements

  • Backtesting
  • Supervision


5. Risk Management Systems

  • Choosing a Risk Solution
  • Algorithmics
  • RiskMetrics
  • Askari
  • SunGard Trading and Risk Systems
  • Financial Engineering Associates


6. Case Study – Orange County

  • History
  • Crisis
  • Analysis through Measures


7. Case Study – Barings Bank

  • Kobe Earthquake and it Fallout
  • Trading Mechanics
  • Applications of Value at Risk


8. Case Study – Metallgesellshaft

  • Hedging Alternatives
  • Analysis of MGRM’s Methods
  • Lessons Learned