Value at Risk
- Price: US$ 300.00
- Publisher: KESDEE
- Number of modules: 16
- Length: 32-48 hours
- Language: English
- Subscription: 12 months
In-Depth Course for Understanding, Managing, and Profiting from Value at Risk
Value at risk is a vital metric for measuring a portfolio's market risk. You will need to know how to calculate and explain VaR for any type of role in banking or corporate finance.
Sign up for this online course and you will learn all aspects of VaR analysis, to help you manage risk and limit losses. You will also learn advanced testing and modeling techniques, and study real-life examples of poor VaR management such as Barings Bank, Orange County and Metallgesellschaft.
Value at Risk: 16 modules of 2 - 3 hours each
Review of Statistical Concepts
- Statistical measures: measures of central tendency and measures of dispersion
- Statistical relationship between the standard deviation and confidence intervals for normal distributions
- Correlation and volatility and the methods to calculate them
Value at Risk
- Value at Risk
- Trading and banking books
- Estimating VaR
- Strength and limitation of VaR
- VaR of foreign exchange spot, foreign exchange options positions, common stocks, fixed income portfolios and more
- Applications of VaR
Application of Analytical Techniques
- Analtical techniques - gap, duration, simulation and value at risk
- Concept and assumption under each technique
- Comparison and analysis of each technique across various parameters
- Application of techniques in real-life case studies
Regulatory Issues
- How market risk can be regulated
- The purpose of regulatory capital
- Approaches applied to capital charges
VaR Models
- Measuring value at risk: parametric, historical simulation and Monte Carlo simulation
- Comparing methods according to their characteristics, advantages and disadvantages
- Value at risk implementation
Stress Testing
- Stress testing as a complimentary tool to value at risk analysis
- Building hypothetical and historical scenarios
- Implementation of stress test scenarios into market risk modeling
- The growing use of stress testing to risk managers
Back Testing
- Backtesting
- Different types of backtesting
Risk Management Systems
- Choosing a risk management software vendor
-
The main software solution vendors in the market; the products they offer and their salient features
Case Studies: Orange County, Barings Bank, Metallgesellschaft
Advanced VaR Models
- Emerging forms of VaR: Component VaR and Del VaR
- Impact of individual trades on Total VaR using these forms
- Developments in Monte Carlo simulation
- Variance reduction techniques employed for Monte Carlo simulation
Advanced Measuring Volatility and Correlation
- Vol atility and volatility clustering
- Conditional volatility models: Exponential Moving Average approach and GARCH
- The importance of time errors and the impact of crashes on correlation and its effect on VaR calculation
Advanced Scenario Analysis and Stress Tests
- Aggregating stress tests
- Maximum Loss and Extreme Value Theory
- How systematic stress testing is used with the help of stress test matrices
Risk Adjusted Performance Measurement
- Need for risk adjusted performance measurement
- Risk capital and details of the measures for risk capital on revenue (or earnings) volatility, Earnings At Risk (EaR), and asset volatility
- Capital allocation in risk adjusted performance measurement
Job Aids
- Measurement Tools
- Disclosures
- Global Best Practices
- Benchmarking Data
- Policy Templates
Calculators in Value at Risk
- Duration
- Confidence Level for a Given Standard Deviation
- Standard Deviation for a Given Confidence Level
- Value at Risk Variance –two asset portfolio
- VaR for Required Period and Confidence Level
- Undiversified and Diversified VaR
- VaR of Equities
- VaR of an FRA
- Jensen's Measure
- Sharpe's Measure
- Treynor's Measure
- Variance Co-variance
