Quantitative Value-At-Risk Analysis
Gain an up-to-date working knowledge of all aspects of VaR analysis, including the latest VaR models in theory and practice
Course Highlights
“The course was interesting and organised with structured talks and subjects”
P.H., Reuters Ltd
- Evaluating different models for effective VaR calculation and practical problem solving
- Assessing the latest improvements to VaR calculations to help develop your knowledge and skills
- Calibrating and implementing Monte Carlo simulation techniques for improved risk measurement
- The benefits to be gained from assessing credit risks
- Using VaR for capital allocation, trading limits and risk control
- Applying optimal techniques for integrating credit and market risk into VaR
- Examining the benefits of stress-testing
For details of the course trainer, please download the course brochure
Booking Information
| Dates | Prices | Book This Course | Discount |
|---|---|---|---|
| 14 - 15 Dec 2009 |
£ 1899 |
 |
-
|
Course Programme
“The course was interesting and organised with structured talks and subjects”
P.H., Reuters Ltd
I liked this course because it gives the attendees a good quantitative toolpack for applying risk management and VaR in practice directly
R.T., KLM Pensionfunds
Clear course, avoided jargon. Very good and approachable overall
S.W., Moscow Narodny Bank Ltd
Introduction to VaR
- Definition
- Regulation
- Uses of VaR
- VaR and the organisations
- Building in safeguards:
- understanding tensions in risk measurement systems
- measurement hierarchy to overcome tensions
- - limit concept
- Stress scenarios and regulatory stress testing
- Management reporting - generic structure
- Best practices in risk control
- Backtesting
- Pros and cons
Calculation of VaR for basic assets
- Historical simulation
- Variance-covariance methods for linear portfolios
- Normal distribution
- Pros and cons
- The square root of time rule
Analytical methods for option and bond portfolios
- The Delta method
- The Gamma method
- Delta-Gamma normal
- Duration and convexity for bond portfolios
- Overcoming problems with these methods
Risk properties of prices and returns
- Risk correlation over time
- Risk correlation across assets
- Fat tails and risk management
- Detecting fat tails
- The volatility smile
- Principles of modelling risk
Other measures of risk
- Coherent risk measures
- Expected shortfall
- Extreme value theory (EVT)
- application of EVT models
- pros and cons of EVT
- estimation of EVT models
- The square root of time rule revisited
- Modelling extreme dependence with copulas
Forecasting volatility and correlations
- Autocorrelation in volatility
- Dynamic volatility models
- - GARCH
- Risk Metrics
- Other models
- Portfolio volatility models
- Multivariate GARCH models
- Factor volatility models
- Stochastic volatility
- Implied volatility
WORKSHOP : Volatility forecasting of the SP-500 Index
The components of credit VaR
- Settlement risk versus pre-settlement risk
- Current replacement cost
- Potential credit exposure
- Probability of default
- Recovery rate
- Summary of relevant statistics: mean, variance and covariance
Modelling credit exposure
- Transaction-based Credit Risk Factor models
- Problems with CRFs for individual transactions
- Problems with CRFs for a portfolio of transactions
Assigning economic capital by counterparty
- Expected and unexpected loss
- - Exposure profiles, default profiles, loss profiles
- Monte Carlo simulation of economic capital for credit risk
- Credit migration / Probability of default
- Recovery rates
- Credit spreads
Credit portfolio models
- Simple extension to a portfolio of independent counterparties
- ISDA Si mplified Model
- Parameters for classifying portfolio models
Monte Carlo Simulation methods for derivatives
- Why and when using Monte Carlo
- Pitfalls in Monte Carlo methods
- Generation of random numbers
- How many simulations are needed
- Application to assessing bond risk
- the importance of simulation of bonds
- simulation of VaR for a bond
- Application to options
- the log-normal correction
- main steps in stimulating the option
- obtaining VaR from the simulation
- Si mulation of price paths
- Portfolio risk and simulation
- Choleski decomposition
- simulation of VaR for a portfolio of options and stocks
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