Risk Management and Modelling: VAR and Beyond

In London, New York (USA), Singapore (Singapore) and another venue.

Price on request


  • Duration

    2 Days

  • Start

    Different dates available


This course develops a set of tools essential for the accurate management of the wide range of risks encountered in capital markets. Techniques are applied cumulatively in a sequence of workshops that include Value at Risk and its limitations, practical uses of Monte Carlo simulations and different methods for estimating default probabilities.




Hong Kong (Hong Kong)
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Different dates availableNow taking bookings
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34 Curlew Street, se12nd


Different dates availableNow taking bookings
New York (USA)
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Different dates availableNow taking bookings
Singapore (Singapore)
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The Finexis Building


Different dates availableNow taking bookings

To take into account

Numerate background (intermediate) A good grounding in capital markets products and techniques Microsoft Excel

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Achievements for this centre


All courses are up to date

The average rating is higher than 3.7

More than 50 reviews in the last 12 months

This centre has featured on Emagister for 12 years


  • IT risk
  • Risk
  • Credit
  • Market
  • Approach
  • Market Risk
  • Volatility
  • Correlation
  • Coherent risk
  • Risk Management
  • VAR
  • Liquidity Risk
  • Historical simulation
  • Investors

Course programme

Day One

Background, Market Risk, VAR and Expected Shortfall
Classical view of financial risk

The Gaussian distribution
Risk management by Greeks
The failure of models
Value at Risk (VAR) and beyond

Introduction to market risk
Problems with VAR
Coherent risk measures
Expected shortfall (ES)
Workshop: Studying the properties of coherent risk measures. Comparing VAR and ES

Market Risk and VAR

Variance covariance approach
Historical simulation
Monte Carlo simulation
Identifying trades to reduce VAR
Backtesting and procyclicality
Stress and Scenario Risk Management, Liquidity Risk

Difference between scenarios and stresses
Impact of liquidity ensuring futures risks can be managed
Liquidation VAR
Optimal Liquidation
Workshop: Building a model to assess the price impact of a large liquidation

Day Two

Credit, Operational and Liquidity Risk

Potential Future Exposure

Credit limits
Defining Credit Exposure
Impact of ageing
Typical credit exposure profiles
Workshop: Simulating the credit exposure of a portfolio of options

Credit Risk

Credit rating, migration and transition matrices
Credit spreads and implied default probabilities
Credit risk and double default
Credit portfolio approach
Workshop: Calculation of default probability using a market implied approach

Credit Value Adjustment (CVA)

Definition of CVA
Debt value adjustment (DVA) and Funding value adjustment (FVA)
The impact of collateral
Wrong way risk
Central clearing
Workshop: Investigating impact of wrong way risk on CDS

Operational Risk

Extreme value theory
Modelling event probability
Modelling event severity
Operational risk VAR

Risk Management and Modelling: VAR and Beyond

Price on request