WHAT'S NEW?

FINANCIAL MARKET COURSES

Value at Risk (VAR)

Courses In This Course

The aim of this course is to provide users with an understanding of the concept of value at risk (VAR) as used in risk measurement, and to describe in detail the three alternative methodologies for calculating VAR. Topics covered in the course include the variance-covariance, Monte Carlo and historical simulation approaches to measuring VAR, the benefits/drawbacks of each of these three methods, the regulatory issues surrounding the use of VAR, back testing, stress testing and extreme value theory.

Objectives

In this course, you will explore:

The basic VAR concept and the statistical theory behind it

The variance-covariance, Monte Carlo and historical simulation approaches to calculating VAR

Basel Committee standards for the use of VAR models to calculate market risk capital requirements

The concepts of back testing, stress testing and extreme value theory in risk measurement

Learner Profile

This course is designed for:

 

Senior managers

New recruits to banking and financial organizations

All risk management staff

Treasury department staff

Finance personnel

IT staff

Compliance and regulatory staff

  •    VAR - AN INTRODUCTION

    Overview

    With the initial growth of the derivatives market in the 1980s, banks, regulators and other market professionals were all faced with more complex portfolios to evaluate and explain. Work done in the major trading banks in the early 1990s was instrumental in devising better ways to analyze portfolio risk. Value at risk (VAR), the result of this work and the subject of this course, has subsequently become one of the key measures that risk managers use to understand the risks in a portfolio and to compare the risks in one portfolio with those in another.

    Course Duration

    50 mins

    Prerequisite Knowledge

    Interest Calculations

    Time Value of Money

    Probability

    Distributions & Hypothesis Testing

    Estimating Volatility

    FIND OUT MORE

  •    VAR - VARIANCE-COVARIANCE APPROACH

    Overview

    This course examines the first of the three approaches to calculating VAR - the variance-covariance or parametric approach. Starting off with a simple, single-asset portfolio, the course progresses to include more advanced VAR calculations for portfolios containing derivatives, incorporating concepts such as incremental VAR and interest rate dependent mapping.

    Course Duration

    120 mins

    Prerequisite Knowledge

    VAR - An Introduction

    FIND OUT MORE

  •    VAR - MONTE CARLO SIMULATION

    Overview

    As options and other financial derivatives became more complex, the use of Monte Carlo simulation methods to price them became more popular. Today, many financial institutions with large derivatives portfolios employ this technique. This course looks at how Monte Carlo simulations are applied to VAR calculations. Monte Carlo VAR is an important approach because it can be used for more difficult positions, such as those involving optionality, when other approaches such as variance-covariance are inappropriate.

    Course Duration

    90 mins

    Prerequisite Knowledge

    VAR - An Introduction

    VAR - Variance-Covariance Approach

    FIND OUT MORE

  •    VAR - HISTORICAL SIMULATION & OTHER ISSUES

    Overview

    Historical simulation is one of the three most common approaches used to calculate value at risk. The use of real historical data, coupled with its ease of implementation, has made historical simulation a very popular approach to estimating VAR.

     

    Apart from historical simulation, this course also examines how techniques such as stress testing, backtesting and extreme value theory are used by risk managers.

    Course Duration

    90 mins

    Prerequisite Knowledge

    VAR - An Introduction

    VAR - Variance-Covariance Approach

    VAR - Monte Carlo Simulation

    FIND OUT MORE

Support

Accreditations

General: info@intuition.com

Accounts: ar@intuition.com

http://support.intuition.com

Intuition engages with over 30 accreditation bodies to ensure Know-How can be used for CPE credits. If your organization needs CPE from a body not listed below, contact us and we will endeavour to have them included.

© Copyright 2016 by Intuition. All Rights Reserved.