Introduction to Value at Risk (VaR)

Introduction
  • Notions of risk measurement
  • Types of risks
  • Risk factors and Mark-to-Market
  • Practical workshop
  • Analyse risk factors and P&L for various products
  • Regulatory framework (Basel II and CRD)
Value at Risk (VaR): Methods
  • Analysis of spreads: rate/historical prices
  • Notion of probable losses on real data series
  • Historical VaR
  • Revision of statistics (variance, covariance, correlation)
  • Estimation and market price fluctuation models
  • Parametric VaR
  • Monte Carlo VaR
  • Analysis and comparison of the three VaR methods
  • CRD3 and stressed VaR
Lessons from the crisis
VaR limits and alternatives
  • Back-testing and notion of stress tests
  • Regulatory constraints
  • Practical studies
  • Calculation of simple statistical indicators using EXCEL™ spreadsheets
  • Decomposition of VaR calculations using pre-formatted EXCEL™ spreadsheets
  • FX positions
  • Interest rate positions
  • Indices and equity positions
  • Multi-market portfolios
Uses
  • Regulatory capital
  • Internal risk management and internal controls (e.g. limits)
  • Strategic tools
Challenges and market impacts of the Basel II and III reforms

  • Understand risk factors and sensibilities for financial products
  • Master the concept of Mark-to-Market variation of capital market products
  • Familiarise with simple statistical tools (variance, standard deviation, covariance, correlation, normal distribution...)
  • Make simple risk measure calculations in accordance to various VaR methods
  • Know the advantages, disadvantages and limitations of each VaR method
  • Understand the uses of VaR in the Basel reforms (II and III)
  • Understand changes within the regulatory environment
  • Instructive method to teach the main statistical tools used in risk management
  • Comprehensive analysis of all market risks - practical application to the main products
  • Takes account of the current statutory and economic environment
  • Risk management
  • Financial divisions
  • Middle office
  • Inspection / Internal control / Auditors
  • External audit
  • Structurers
  • Compliance
  • IT
Close

Send a link to this seminar

You can recommend this seminar to your contact using this form. A link to this page will be included in your message.