FINANCIAL MARKET COURSES
Japanese Equity Market
Receivable Finance (New)
Lending - An Introduction
The Lending Cycle
Commodities - An Introduction (Revised)
Commodities - Trading (New)
Commodities - Livestock (New)
Commodities - Softs (New)
Primer – MiFID II/MiFIR (New)
Understanding Private Wealth Management Business
Private Wealth Management Products & Services
Primer – Smart Beta (New)
Available on iPad and Android tablets as well as desktop
VAR - An Introduction
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.
On completion of this course, you will be able to:
• Explain how value at risk is used to measure market risk
• Describe the three methods for calculating VAR
• List the main advantages and disadvantages of VAR as a measure of risk
Topic 1: Methods of Calculating VAR
• Historical Simulation
• Monte Carlo Simulation
Topic 2: Definition
• What is Value at Risk?
• Steps for Calculating Value at Risk
Topic 3: Advantages and Disadvantages of VAR
ESTIMATED COMPLETED TIME
VAR - Variance-Covariance Approach
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.
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.
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