Risk Management and Modelling: VAR and Beyond
Short course
In Singapore (Singapore), London, New York (USA) and another venue.
Description
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Type
Short course
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Location
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Duration
2 Days
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Start date
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.
Facilities
Location
Start date
Start date
Start date
Start date
Start date
About this course
Numerate background (intermediate)
A good grounding in capital markets products and techniques
Microsoft Excel
Reviews
This centre's achievements
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 15 years
Subjects
- IT risk
- Risk
- Credit
- Market
- Approach
- Market Risk
- Volatility
- Correlation
- Coherent risk
- Risk Management
- VAR
- Liquidity Risk
- Historical simulation
- Investors
Course programme
Background, Market Risk, VAR and Expected Shortfall
Classical view of financial risk
The Gaussian distribution
Volatility
Correlation
Risk management by Greeks
The failure of models
Value at Risk (VAR) and beyond
Introduction to market risk
Definition
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
Background
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